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Quant版 - VIX modeling
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话题: vix话题: index话题: options话题: futures话题: trading
1 (共1页)
k*******d
发帖数: 707
1
Recently I have some interest in learning VIX and VIX option modeling. I am
wondering if there are someone there having similar interest. We may be able
to work together. What I plan to do is to go through some paper by Peter
Carr or Jim Gatheral. I am in Chicago. I have some background in option
modeling and trading. You probably need to have similar math background and
also extra time to go through the paper thoroughly.
Thanks for reading.
a*****k
发帖数: 704
2
These are academic papers. Pretty much useless for actual trading.
2 cents.

am
able
and

【在 k*******d 的大作中提到】
: Recently I have some interest in learning VIX and VIX option modeling. I am
: wondering if there are someone there having similar interest. We may be able
: to work together. What I plan to do is to go through some paper by Peter
: Carr or Jim Gatheral. I am in Chicago. I have some background in option
: modeling and trading. You probably need to have similar math background and
: also extra time to go through the paper thoroughly.
: Thanks for reading.

v********8
发帖数: 8
3
I trade volatility including VIX futures, VIX ETFs and options. I am also
very interested in the subject if it is of applicable value to trading. The
underlying securities of VIX options are VIX futures, instead of VIX index.
Most of brokerage firms show wrong Greeks for VIX options by using VIX index
as the underlying security for all VIX options. But the term structure of
VIX futures is hard to model, since they are independent of interest rate
and carrying cost. I am interested in developing models which can be used
for arbitraging among various VIX derivatives. (d h 8888 on S k y p e, also
in Chicago)
z****u
发帖数: 185
4
I am interested, and send an email to your mitbbs account.
s******e
发帖数: 1751
5
2nd this, do not find those paper too useful.

【在 a*****k 的大作中提到】
: These are academic papers. Pretty much useless for actual trading.
: 2 cents.
:
: am
: able
: and

c*******y
发帖数: 1630
6

The
.
index
there is nothing wrong about it. VIX options are cash settled by SOQ of VIX
index.
also

【在 v********8 的大作中提到】
: I trade volatility including VIX futures, VIX ETFs and options. I am also
: very interested in the subject if it is of applicable value to trading. The
: underlying securities of VIX options are VIX futures, instead of VIX index.
: Most of brokerage firms show wrong Greeks for VIX options by using VIX index
: as the underlying security for all VIX options. But the term structure of
: VIX futures is hard to model, since they are independent of interest rate
: and carrying cost. I am interested in developing models which can be used
: for arbitraging among various VIX derivatives. (d h 8888 on S k y p e, also
: in Chicago)

k*******d
发帖数: 707
7
There are some interest. Thanks for all that. I haven't thought about
trading aspects of the market. I believe if there is a thorough
understanding of the market the trading ideas can be built around the model.
In this research I intend to avoid the trading aspects because I thought
the trading applications have secretive nature and involve intellectual
property issue. I thought we can have more open and constructive discussion
if we just confine to academical research.
v********8
发帖数: 8
8
Commodity: You are right that at expiration date, VIX future and its option
will be settled at SOQ. But for trading purpose, it is not desirable to hold
them to the end since there is too much uncertainty with SOQ.
If I hold VIX options purely for directional trading, I may not care about
the difference in the underlying securities. But for hedging the VIX option
positions or arbitraging VIX products, then I would like to know the details
about the Greeks.
s******e
发帖数: 1751
9
future and option expires at the same time, that's why it's cash settled.
but the option is on future.
and vix future and vix index are not the same thing.

VIX

【在 c*******y 的大作中提到】
:
: The
: .
: index
: there is nothing wrong about it. VIX options are cash settled by SOQ of VIX
: index.
: also

c*******y
发帖数: 1630
10
no, it's cash settled because there is no way to even make a
synthetic of VIX index(as it's calculated by quote(MID) not trades price).
VIX options are options on index not on VIX futures.nevertheless,
I won't be surprised if CFE lists VIX options on VIX futures in the future.

【在 s******e 的大作中提到】
: future and option expires at the same time, that's why it's cash settled.
: but the option is on future.
: and vix future and vix index are not the same thing.
:
: VIX

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暑期实习求推荐。。how to arbitrage in stock index future?
c*******y
发帖数: 1630
11
http://www.cboe.com/products/indexopts/vixoptions_spec.aspx
underlying is index not futures on index.
for SPX, you have options on SPX index and options on SPX futures.
for VIX, currently only on VIX index.
nothing wrong with greeks calculation, the issue is due to no synthetic/direct underlying(so no easy arb), greeks is not informative/suggestive in the usual way.
There is no way AAPL 350C is quoted less than 30 bucks when [email protected]
but you will see VIX C40 sold at 5 when [email protected] and VIX C10 at 10 when [email protected] a lot. (Just an example)

option
hold
option
details

【在 v********8 的大作中提到】
: Commodity: You are right that at expiration date, VIX future and its option
: will be settled at SOQ. But for trading purpose, it is not desirable to hold
: them to the end since there is too much uncertainty with SOQ.
: If I hold VIX options purely for directional trading, I may not care about
: the difference in the underlying securities. But for hedging the VIX option
: positions or arbitraging VIX products, then I would like to know the details
: about the Greeks.

a*****k
发帖数: 704
12
commodity: c'mon.
I immediately found my sentence interesting! Haha
But yes, you just made my day.

direct underlying(so no easy arb), greeks is not informative/suggestive in
the usual way.
15 a lot. (Just an example)

【在 c*******y 的大作中提到】
: http://www.cboe.com/products/indexopts/vixoptions_spec.aspx
: underlying is index not futures on index.
: for SPX, you have options on SPX index and options on SPX futures.
: for VIX, currently only on VIX index.
: nothing wrong with greeks calculation, the issue is due to no synthetic/direct underlying(so no easy arb), greeks is not informative/suggestive in the usual way.
: There is no way AAPL 350C is quoted less than 30 bucks when [email protected]
: but you will see VIX C40 sold at 5 when [email protected] and VIX C10 at 10 when [email protected] a lot. (Just an example)
:
: option
: hold

y*****y
发帖数: 3
13
This is related to nothing but the European style settlement of VIX options.
I think utilizing VIX future for modeling is a good idea, cause otherwise u
can hardly derive non-arbitrage pricing based on an untradeable asset, VIX
index.

【在 c*******y 的大作中提到】
: http://www.cboe.com/products/indexopts/vixoptions_spec.aspx
: underlying is index not futures on index.
: for SPX, you have options on SPX index and options on SPX futures.
: for VIX, currently only on VIX index.
: nothing wrong with greeks calculation, the issue is due to no synthetic/direct underlying(so no easy arb), greeks is not informative/suggestive in the usual way.
: There is no way AAPL 350C is quoted less than 30 bucks when [email protected]
: but you will see VIX C40 sold at 5 when [email protected] and VIX C10 at 10 when [email protected] a lot. (Just an example)
:
: option
: hold

w******i
发帖数: 503
14
Jim Gatheral? Why do you think his paper is worth reading?
c*******y
发帖数: 1630
15
I think both
even for euro style like XEO options, it won't be traded with negative TV,
cause there is ETF on it, you can *synthetically* settled it anytime. VIX
options could have negative TV over VIX index but not over VIX futures.
I agree, modeling on VIX futures is better. I was talking about contract
specification. Proper underlying in the model is another thing.

options.
u
VIX

【在 y*****y 的大作中提到】
: This is related to nothing but the European style settlement of VIX options.
: I think utilizing VIX future for modeling is a good idea, cause otherwise u
: can hardly derive non-arbitrage pricing based on an untradeable asset, VIX
: index.

s******e
发帖数: 1751
16
You read some facts, but... think about it a bit more.
it's not a difficult subject.

【在 c*******y 的大作中提到】
: I think both
: even for euro style like XEO options, it won't be traded with negative TV,
: cause there is ETF on it, you can *synthetically* settled it anytime. VIX
: options could have negative TV over VIX index but not over VIX futures.
: I agree, modeling on VIX futures is better. I was talking about contract
: specification. Proper underlying in the model is another thing.
:
: options.
: u
: VIX

c*******e
发帖数: 150
17
agree with vtrader168's comment. the underliers for VIX index change from
day to day (since it is the tenor-average of the near basket and the far
basket), whereas the underlier for VIX future is always the far basket (
hence a martingale under the EMM measure). Another fundamental distinction
between VIX index and VIX futures is that there is no termination time for
VIX index, and we know it has to be a bounded process ( between 10 to 85,
say). so if ever VIX index becomes a tradable asset, I can always bet on the
mean-reversion of this process (in other words, CANNOT be a martingale). On
the other hand, there is expiration time for any particular VIX futures
contract. Hence under the EMM measure, it is always the expectation of its
value at settlement (though please don't confuse it with the expectation
under the physical measure which your board cares about at year-end :)
Since on expiration date, VIX index and VIX futures converge, you can either
say VIX options settle against the index (which is more grandma-friendly),
or VIX options settle against the future's settlement (which is more
modeling and hedging-friendly).
just my two cents

option
hold
option
details

【在 v********8 的大作中提到】
: Commodity: You are right that at expiration date, VIX future and its option
: will be settled at SOQ. But for trading purpose, it is not desirable to hold
: them to the end since there is too much uncertainty with SOQ.
: If I hold VIX options purely for directional trading, I may not care about
: the difference in the underlying securities. But for hedging the VIX option
: positions or arbitraging VIX products, then I would like to know the details
: about the Greeks.

L******2
发帖数: 274
18
I am in. Thanks!
1 (共1页)
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相关话题的讨论汇总
话题: vix话题: index话题: options话题: futures话题: trading