OM Session 5

Bruno

Member
A bit more digging into B&S this coming Thursday.
Last time I mentioned I have a B&S spreadsheet available on request (bruno@aeromir.com)
I shall return to volatility soon, so please bear with me if those sessions sound a little too academic. They're actually not; it is very much an (advanced maybe) practitioner's view on options modelling. I can certainly send links to quant forums and research papers. A very different story altogether !
 

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garyw

Member
A bit more digging into B&S this coming Thursday.
Last time I mentioned I have a B&S spreadsheet available on request (bruno@aeromir.com)
I shall return to volatility soon, so please bear with me if those sessions sound a little too academic. They're actually not; it is very much an (advanced maybe) practitioner's view on options modelling. I can certainly send links to quant forums and research papers. A very different story altogether !
I am very grateful for your contributions here! Your chart on "Vertical skew against moneyness" is packed with insight! I am curious if you prefer the moneyness formula to include the "atm IV" as shown in the equation provided? -- I had NOT used that previously, but do see it is mentioned in Wikipedia to express moneyness in standard deviation units! <-- My brain seems to explode attempting to "grok" that -- I have been using the form without the IV ->{log(X/F)/sqrt(t)} -- and had a "warm feeling" that it may be sufficient. --- No response required, as I suspect this is more of a personal thing! I really appreciate your taking the time/effort to educate us as you have been graciously doing.
 
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