r**a
发帖数: 536 | 1 google "Derman local volatility". U'll get something you want. |
|
x****e
发帖数: 1780 | 2 有人问我怎么arbitrage option implied volatility skew。
我不懂这个问题。
有人能在这个问题上面指导一下吗？
谢谢！ |
|
x****e
发帖数: 1780 | 3 If stock A currently trades at 100.
IV for call with strike 100 is 50%
IV for call with trike 90 is 60%
So a bear call spread (long 100 call and short 90 call) will give us
statistical advantage.
If the future realized volatility is between 50% and 60%, delta hedging this
bear call spread will give us advantage? |
|
q*****l
发帖数: 124 | 4 实验目的只是想验证SV model是不是对empirical implied volatility surface的一个
good fit。。比如Gatheral's book的fig 3.8. |
|
q*****l
发帖数: 124 | 5 嘛，可能之前表述的不清楚。。其实我的目的是求出heston model的implied
volatility，其中需要用到standard BS price formula。所以我的问题是既然heston
跟standard BS两个模型是inconsistent的，为什么可以用standard BS来求出implied
vol？如要何解释求出来的Heston implied vol？ |
|
s*****u
发帖数: 164 | 6 Does anybody have any idea how the FX vol smile
is constructed in Bloomberg? I tried to use 25
delta market quotes to fit with quadratic delta
vol, vanna-volga, and SABR. Quadratic delta vol
gives lower volatilities for options deep out of
money, and VV and SABR gives higher results. I
also tried to find any documentation for the recipe
used in Bloomberg, but could not find anything.
Can anybody help me on this matter? Thanks! |
|
c********d
发帖数: 253 | 7 我有５个stock的price data，是按分钟测量的，一共有一年，要求我forecast 之后一
个月的volatility。请问这种分钟数据用什么model比较合适？用garch好么？另外因为
前后分钟的价格变化不大，所以很多return接近zero，这会对分析造成影响么？恳请各
位帮助，拜谢 |
|
c********d
发帖数: 253 | 8 我有５个stock的price data，是按分钟测量的，一共有一年，要求我forecast 之后一
个月的volatility。请问这种分钟数据用什么model比较合适？用garch好么？另外因为
前后分钟的价格变化不大，所以很多return接近zero，这会对分析造成影响么？恳请各
位帮助，拜谢 |
|
L*******t
发帖数: 2385 | 9 Modeling and Forecasting Realized Volatility
Andersen, Bollerslev,还有一个人一起发在Econometrica上的文章。
可以看看，there is a whole literature on this.... enjoy.. |
|
m*****n
发帖数: 2152 | 10 在公司earning report的时候，市场观察implied volatility for options在报告之前
上升，报告之后下降，假如报告exactly和市场预期一致，股价不变。这个反映在
option价格上是不是季报之后一定下跌，因为vol下跌了。如果这样的话，不就可以通
过卖空的方式来套利了吗？即使股价变化，亦可以通过做组合来对冲掉。这种套利模式
有什么不对吗？ |
|
E***e
发帖数: 3430 | 11 option策略可以自己开账户玩玩
反正亏也就几百
最后你会发现
本来就几毛钱赚头
再被bid-ask一吃
剩下那点非常不合算
真想玩好volatility是要很高技术的
风险也很大
所以玩vol arb的还是prop为主
面过几个vol arb
感觉里面压力太大
新人有点难发展
所以还是没出息的去做hedging了 |
|
b*****d
发帖数: 7166 | 12 有过去几年的股票价格，间隔是5分钟。每天的最后一个数据跟第二天的第一数据总有
个明显的gap。这种数据预测volatility用什么模型比较好？
我想到的是garch。但是一般garch的时间间隔是固定的。那是不是只用每天的最后一个
价格做daily price去算.但是这样大量的intra day数据就没有用了。特别是在某些天
中间会有jump发生。如果只取一个daily price就会丢掉很多信息。
另一个问题是如果数据基本是pure jump process，就是大多时候是常数，中间有随机
的jump。这种数据用什么方法分析比较好？或者有连续几天数据丢失，发生若干次，这种
情况怎么处理好？
有没有这方面的书或是文章推荐一下？我手上只有Tsay，但书里只讲基本方法。谢谢。 |
|
h******5
发帖数: 58 | 13 最简单的话就sticky strike 或sticky delta。short term vol还是比较有粘性的。不
知道你要forecast的时间区间是多长？
另，你的数据是免费的还是买的？买的话价格是多少，哪个vendor？
有过去几年的股票价格，间隔是5分钟。每天的最后一个数据跟第二天的第一数据总有
个明显的gap。这种数据预测volatility用什么模型比较好？我想到的是garch。但是一
般ga........ |
|
t********t
发帖数: 1264 | 14 swaption quotes the vol of swap rate, which is the average of forward rates.
The longer the term, the less volatile the average |
|
t********t
发帖数: 1264 | 15 Sorry for the typo. should be T in my original post, not sqtr(T).
In Black76, the swaps rate variance is sigma^2*T. Even for a constant vol,
the swap rate at long maturity is way too volatile, which is not what
happens in the market. It must be decreasing in time to maturity |
|
d*******1
发帖数: 293 | 16 GARCH 可以用来预测volatility，算是time series method 的一种，这个和直接计算
variance of tiem series data 有什么区别呢，什么情况下应该使用GARCH model？ |
|
w*****y
发帖数: 130 | 17 1
Y=AX+e1
e1*e1=bt+c(t*t)
2
Ln(Y)=AX+e2
e2*e2=mt+n(t*t)
The coefficients (b,c) from model one is quite different from those(m,n)
from 2nd model? I know the scale of dependable variables are the source of
difference. so I am wondering if there is any way to compare the e1 with
e2 because there two indexes from each regression?
people want to know how volatility(e1,e2) changes with the length of time
and which index performs better? how large is the difference b/w these
two?Reason two model use d |
|
b*****n
发帖数: 685 | 18 不懂volatility是啥，估计就是说的y_t这个process了，说白了好像就是个有特殊形式
mean的Gaussian process，然后这个mean depend on一个AR process。关键是你要
estimate什么参数？ |
|
w*******o
发帖数: 6125 | 19 比如说我觉得11.2/11.3 Volatility会很大，但方向不明，该怎么搞?
Short butterfly on option of VXX ? |
|
C*G
发帖数: 7495 | 20 ER季节又来了。
作为投资手段，先读报表，参考大盘和行业形势再找机会。
作为投机手段，赌ER的期权波动交易获利。
以下别人总结的高Volatility股票，仅供参考。
hiahia |
|
C*G
发帖数: 7495 | 21 isrg 够 Volatile，sp500第二好汉。
hiahia |
|
C*G
发帖数: 7495 | 22 这个ER Volatility的砖扔的好像只有我自娱自乐。
哭死哭死 |
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E**O
发帖数: 1980 | 23 "Volatility Trading" 应该是靠做IV的差价赚钱，而不是押注。大家有什么做IV的差
价赚钱的套路吗？ |
|
t*******o
发帖数: 1464 | 24 【 以下文字转载自 bluechips 俱乐部 】
发信人: tanmaomao (坛猫猫), 信区: bluechips
标 题: Volatility Laboratory: risk measures for top US Financial Firms
发信站: BBS 未名空间站 (Mon Jun 7 22:07:27 2010, 美东)
http://vlab.stern.nyu.edu/welcome/risk/ |
|
y*****l
发帖数: 5997 | 25 【 以下文字转载自 Stock 讨论区 】
发信人: walstudio (午夜未眠人), 信区: Stock
标 题: 更新版的Most Volatile ER play
发信站: BBS 未名空间站 (Tue Apr 12 15:10:37 2011, 美东)
风古神刚才问哪些股可以跟MM玩"车震"，这里有一份list
(好像以前有人贴过的，这是更新版, data compiled as 4/6/2011) |
|
s***m
发帖数: 6197 | 26 【 以下文字转载自 Quant 讨论区 】
发信人: throwaway (专门注册), 信区: Quant
标 题: 答谢文，谈谈VIX 和 VIX future
关键字: VIX
发信站: BBS 未名空间站 (Sun May 11 18:02:53 2014, 美东)
上次发文求建议，收到很多真诚的帮助。想了想可以写篇我对 VIX index 的学习心得
，算是表达感谢吧。
说明一下，我毕竟是个菜鸟新人，这篇也只是综合公开资料再加上我自己对 VIX 的理
解，也就希望对准备学习这个领域的人有所帮助，熟悉volatility trading的内行看了
肯定觉得简单，有不对的地方请多多指正。
废话完毕。
1. Rationale behind VIX
想了解 VIX index 计算方法的依据，必读的文章是
“More than you wanted to know about variance swap".
http://elis.sigmath.es.osaka-u.ac.jp/research/gs-volatility_swa
具体的证明比较繁琐，我总结就是:
In a n... 阅读全帖 |
|
t*******y
发帖数: 18 | 27 上次发文求建议，收到很多真诚的帮助。想了想可以写篇我对 VIX index 的学习心得
，算是表达感谢吧。
说明一下，我毕竟是个菜鸟新人，这篇也只是综合公开资料再加上我自己对 VIX 的理
解，也就希望对准备学习这个领域的人有所帮助，熟悉volatility trading的内行看了
肯定觉得简单，有不对的地方请多多指正。
废话完毕。
1. Rationale behind VIX
想了解 VIX index 计算方法的依据，必读的文章是
“More than you wanted to know about variance swap".
http://elis.sigmath.es.osaka-u.ac.jp/research/gs-volatility_swa
具体的证明比较繁琐，我总结就是:
In a nut shell, if we can ignore friction, an out-of-money option portfolio
with certain weights could replicate a variance swap, whose payoff = ... 阅读全帖 |
|
|
b********n
发帖数: 38600 | 29 NYSE Invokes Rule 48 (Once Again) To Pre-Empt Panic-Selling Open
Via NYSE:
Rule 48. Exemptive Relief — Extreme Market Volatility Condition
(a) In the event that extremely high market volatility is likely to have a
Floor-wide impact on the ability of DMMs to arrange for the fair and orderly
opening, reopening following a market-wide halt of trading at the Exchange,
or closing of trading at the Exchange and that absent relief, the operation
of the Exchange is likely to be impaired, a qualified Exc... 阅读全帖 |
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d******8
发帖数: 1972 | 30 http://www.nytimes.com/2011/09/12/business/economy/stock-market
The stock market just can’t seem to make up its mind.
Day after day, stocks swing sharply by hundreds of points. Last week they
tumbled 3 percent in the first 90 minutes of trading on Tuesday morning,
then on Wednesday closed nearly 3 percent higher and dropped almost 3
percent on Friday. All of this on the heels of unusual back-to-back 4
percent leaps and dives in one week in August.
Now traders head into the week with fresh worrie... 阅读全帖 |
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g******0
发帖数: 1165 | 31 Day Trading Filter
Can Use the Filter Below
http://www.trade-ideas.com/StockInfo/_TopListConfig.html
Stock Runing Up : (Trading System 1)
Running up (RU) alert.
Filters :
- Stock Price >1$
- Stock with a spread < 20 cent
- Average $ Daily Volume > 10 000 000$
- Volatile Stock : Volatility > 0.4%
- Current volume (Relative volume) > 6
- Specific RU filter < 4
Channel Breakout : (Trading System 2)
Channel breakout (CHBO) alert.
Filters :
- Stock Price >1$
- Stock with a spread < 20 cent
- Average ... 阅读全帖 |
|
E***r
发帖数: 1037 | 32 “我以前以为给option定价的人是先通过对历史volatility的测量，结合BS模型把价格
给定出来的”——这倒是基本正确的。但此(realized) volatility 非彼 (implied)
volatility。
不同的 options market maker (OMM) 有各自的定价模型（倒不一定是 Black-Scholes
），模型里的 volatility 其实是 estimated volatility (by this particular OMM)
，并不是 implied volatility (IV)。Estimate 的方法一般会参考 realized
volatility，但每家 OMM 都加了自己的 secret sauce，形成自己的 estimated
volatility surface（Google "volatility surface"），按各自的 surface 来给 bid
-ask quotes。也就是说，定价的时候，输入是 (estimated) volatility，输出是
price quotes。
所谓的某个 strik... 阅读全帖 |
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l****z
发帖数: 29846 | 33 As Brad Williams walked the halls of the California state capitol in
Sacramento on a recent afternoon, he spotted a small crowd of protesters
battling state spending cuts. They wore shiny white buttons that said "We
Love Jobs!" and argued that looming budget reductions will hurt the Golden
State's working class.
Mr. Williams shook his head. "They're missing the real problem," he said.
The working class may be taking a beating from spending cuts used to close a
cavernous deficit, Mr. Williams sai... 阅读全帖 |
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z****i
发帖数: 406 | 34 转自wilmott
mghiggins
Senior Member
Posts: 313
Joined: Nov 2001
Sat Jan 04, 03 01:54 PM
User is offline
Qualitative explanation for why there is a vol smile in stochastic
volatility models from a market-making perspective:
First, let's step back and look at the standard Black-Scholes world. Why do
options have value over intrinsic value? Because they have positive Gamma.
As a market-making trader, you buy an option and Delta-hedge it - now, the
value of your portfolio as a function of the ... 阅读全帖 |
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r*****t
发帖数: 7278 | 35 using System;
namespace QFramework
{
///
/// Represents a Cox-Ross-Rubenstein binomial tree option pricing
calculator. May be used for pricing European or American options
///
public class BinomialTree
{
#region "Private Members"
private double assetPrice = 0.0;
private double strike = 0.0;
private double timeStep = 0.0;
private double volatility = 0.0;
private EPutCall putCall = EPutCall.Call;
... 阅读全帖 |
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i******3
发帖数: 376 | 36 刚收到ib的邮件 相关vix的产品margin全部提升至少1倍
这周一会squeeze多少人啊
VIX (the CBOE Volatility Index) has established new all-time lows over the
course of the past month. The price dynamics of that product are such that
it can have very large relative price increases over a very short period of
time base on news and other market factors. In recognition of the special
risk of sudden, large increases in market volatility, that is inherent in
Volatility Products such as VIX, Interactive Brokers will put into place
great... 阅读全帖 |
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i********c
发帖数: 7033 | 37 我想用SABR模型构建implied volatility surface. 在calibrate系数alpha, 一个
方法是微笑曲线过ATM VOL点，需要事先得到 ATM forward volatility（F=K时的
option price代入bs公式倒推得到implied volatility）。
我的问题是， 如果spot price(或者Forward volatility) 在两个 strike price之
间，那么这个ATM forward volatility 并没有直接的市场数据(option price)代入bs
公式可以倒推得到。如果求得呢？ 如果对各个离散的implied volatility 点插值，取
得atm volatility ,那不实际就是fit implied volatility curve的过程了么？
本人小白，还请大家不要嘲笑，多多指教。
|
|
g***e
发帖数: 577 | 38 Thanks for looking.
Updates continued:
http://www.icanbeatmarket.com/research_reports.html
Copied the main updates here on which stocks are suitable for moving average
with support strategy ( a common trend-following strategy ).
AAPL trend following 2011-2017
Strategy Return Volatility Draw_Down Max_Draw_Down Sharpe
Moving Average 2.21 0.14 0 -0.28 0.85
Moving Average with Support 3.43 0.17 0 -0.22 0.94
Bench Mark: Buy and Hold 3.52 0.21 0 ... 阅读全帖 |
|
p*******4
发帖数: 83 | 39 谁看懂这篇文章的解释一下
Are Options Traders Betting on a Big Move in AT&T (T) Stock?
Investors in AT&T Inc. (T - Free Report) need to pay close attention to
the stock based on moves in the options market lately. That is because the
May 4, 2018 $40.00 Call had some of the highest implied volatility of all
equity options today.
What is Implied Volatility?
Implied volatility shows how much movement the market is expecting in the
future. Options with high levels of implied volatility suggest that
investors ... 阅读全帖 |
|
a*******1
发帖数: 1554 | 40 恭喜大牛......偶是小菜鸟，在一家小的高频交易prop trading做，最近我们公司请了
个原先做market making的韩国人。我觉得主要区别在于：
那个韩国人做option market making的，好像叫什么scalping/volatility arbitrage
，trader的工作就是用一些工具fit volatility curve，好像策略是buy volatility,
sell volatility...具体就是有个volatility curve，如果有个option在curve上面就
卖，如果有个option在curve下面就卖，然后还要反向操作对应的future去hedge，但每
次还是有10 cents左右的利润，然后乘以一些系数就是赚的钱。反正买卖的时点都是很
确定的，系统自动程度很高，trader手动做的部分就是当系统漏了一些option的时候手
动去买；quant的工作就是搞模型算volatility，其实我还是不大明白quant跟trader的
工作具体有什么不同；那个韩国人是IT，他负责测试策略和遍交易系统，他们公司大概
3个quan... 阅读全帖 |
|
f**d
发帖数: 184 | 41 要求如下。有意请发简历至: k********[email protected] 或者站内联系
position-1
SRAM Embedded Memory Designer
Position can be located in San Diego, CA or Santa Clara, CA
Develop memory architectures and circuit implementation techniques.
Schematic entry, simulation of major blocks, layout planning, layout
supervision and interface with CAD team for full verification and model
generation.
- Direct industry experience of at least 5 years or more designing embedded
memories for SoC applications
- Deep understanding of SRAM/R... 阅读全帖 |
|
c*******e
发帖数: 621 | 42 其实volatile bool就是thread safe的，不是吗？
thread safe是说get和set都按你的要求完成，不会出现undefined behavior的情况
比如int,你一个thread去set 1,另一个去set 2,结果int里可能变成3，这叫不
threadsafe
而如果一个volatile bool， 如果一个thread去set 1,另一个去set 0,结果不是0，就
是1
如果一个volatile bool， 如果一个thread去set 1,另一个也去set 1,结果只能是1
我觉得volatile bool就是thread safe，只不过它的threadsafety很难帮助你在不用
lock的情况下使你整个程序thread safe，因为如下的case
volatile boolean b;
void foo() {
if( b ) {
//Here another thread might have already changed the value of b to
false
b = false;
}
}
... 阅读全帖 |
|
a*****e
发帖数: 1717 | 43 saw one article about this
Options Highest Since 2007 Shows Gains Intact Amid Hedging (1)
(Updates with today’s S&P 500 level in seventh paragraph.)
By Jeff Kearns and Whitney Kisling
April 25 (Bloomberg) -- The end of the Federal Reserve’s
Treasury repurchase program is prompting options traders to pay
the most in four years for protection against stock declines, a
signal that proved bullish in the past.
The cost of three-month put options to sell the Standard &
Poor’s 500 Index ... 阅读全帖 |
|
m********0
发帖数: 2717 | 44 I guess I will stop this thread, as it's not as thought-provoking as I
thought.
But I decided to share my books on tradings I collected, most of them
are pdf (I bought some of them, stole most of them from internet, I owe
these authors a lot but I guess it's financially harmless as most ppl
here won't buy their books anyway :D
I will include no indicators files, no academic papers(as most ppl
here enjoy empirical stuff). Considering sharing some script, template,
real code.
Someone offers a safe... 阅读全帖 |
|
B****S
发帖数: 597 | 45 Leveraged ETFs[edit]
Leveraged exchange-traded funds (LETFs), or simply leveraged ETFs, are a
special type of ETF that attempt to achieve returns that are more sensitive
to market movements than non-leveraged ETFs.[43] Leveraged index ETFs are
often marketed as bull or bear funds. A leveraged bull ETF fund might for
example attempt to achieve daily returns that are 2x or 3x more pronounced
than the Dow Jones Industrial Average or the S&P 500. A leveraged inverse (
bear) ETF fund on the other han... 阅读全帖 |
|
B****S
发帖数: 597 | 46 Leveraged ETFs[edit]
Leveraged exchange-traded funds (LETFs), or simply leveraged ETFs, are a
special type of ETF that attempt to achieve returns that are more sensitive
to market movements than non-leveraged ETFs.[43] Leveraged index ETFs are
often marketed as bull or bear funds. A leveraged bull ETF fund might for
example attempt to achieve daily returns that are 2x or 3x more pronounced
than the Dow Jones Industrial Average or the S&P 500. A leveraged inverse (
bear) ETF fund on the other han... 阅读全帖 |
|
o*********1
发帖数: 2608 | 47 VIX就挺复杂的， 确实不神秘
版上很多搞UVXY的青蛙估计UVXY大概计价的原理都不知道： 估计知道和spy反着来（大
多数时候是的）
VIX指数本身就是spy option价格的衍生物。
不是说太神秘所以不玩： 如果是我， 要玩绝对玩spy的option，或者ES;
VIX是spy put／call option的平均价格指数, VXX 是VIX futures的指数， UVXY是VXX
的2X; UVXY还有option， 好玩吧？
The CBOE Volatility Index® (VIX)® is based on the S&P 500®
Index (SPX), the core index for U.S. equities, and estimates expected
volatility by averaging the weighted prices of SPX puts and calls over a
wide range of strike prices. By supplying a script for replic... 阅读全帖 |
|
h********o
发帖数: 3320 | 48 过去的一年市场动荡比较大，去年八月份的volatility 上升的速度是创造了历史记录
的，而今年一月份又回去了一次，这两次下跌预示了什么？ 这次的单日跌幅可以媲美
两次的下跌，volatility升高的幅度历史罕见，即使是在Brexit结果之前，大盘上涨，
但是volatility一点都不低，这一切都说明了buller都在大量hedge，说明风险太大。
现在brexit成了定局，风险继续增大。这种情况下赌大盘新高短期基本上是痴心妄想。
后面两周估计市场会继续动荡，但是无论是涨还是跌，volatility估计很难会短期跌
下来，七月份市场恐怕会很难看。我现在是仓位是long volatility with hedged
position。限定了亏损数额，看看市场能走到哪里。 我觉得UVXY加倍的可能性不小，
虽然我没有拥有UVXY。 目前绝对不是short volatility的好时机。 |
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r*****e
发帖数: 7853 | 49 其实bull越有hedge，大盘越不容易crash
这么说吧，我也算牛，但hedge得厉害。大盘再跌20%我也不需割肉，也不会离场。如果
不把一堆牛搞爆了，crash就不容易
[在 hualianmao (HM) 的大作中提到：]
:过去的一年市场动荡比较大，去年八月份的volatility 上升的速度是创造了历史记录
:的，而今年一月份又回去了一次，这两次下跌预示了什么？ 这次的单日跌幅可以媲美
:两次的下跌，volatility升高的幅度历史罕见，即使是在Brexit结果之前，大盘上涨
，但是volatility一点都不低，这一切都说明了buller都在大量hedge，说明风险太大。
:现在brexit成了定局，风险继续增大。这种情况下赌大盘新高短期基本上是痴心妄想
。 后面两周估计市场会继续动荡，但是无论是涨还是跌，volatility估计很难会短期跌
:下来，七月份市场恐怕会很难看。我现在是仓位是long volatility with hedged
:position。限定了亏损数额，看看市场能走到哪里。 我觉得UVXY加倍的可能性不小，
:虽然我没有拥有UVXY。 目前绝... 阅读全帖 |
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E***r
发帖数: 1037 | 50 Historical volatility (HV), or realized volatility
is the actual volatility computed from stock price movement.
Implied volatility (IV) is computed from option prices
based on the B-S options pricing model.
The main argument of the short-volatility school is that
IV usually overstates HV, especially in high IV environment,
rendering short-volatility statistically profitable. |
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