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by AnalyticalVega
February 10th, 2013, 11:27 pm
Forum: Trading Forum
Topic: $ MARKET ANALYSIS $
Replies: 2025
Views: 336621

$ MARKET ANALYSIS $

<t>We are near a major top in all Stock Market indexes I think, but the price action, volatility levels, and VIX futures term structure tell me there is more upside to go before a major sell off. I don't think all the big stops have been hit so we are not out of buyers yet.of course there may be sma...
by AnalyticalVega
February 10th, 2013, 10:04 pm
Forum: Trading Forum
Topic: How to calculate option price of decaying ETNs
Replies: 7
Views: 9828

How to calculate option price of decaying ETNs

Great! When will vol II be available?
by AnalyticalVega
February 10th, 2013, 9:13 pm
Forum: Trading Forum
Topic: How to calculate option price of decaying ETNs
Replies: 7
Views: 9828

How to calculate option price of decaying ETNs

<t>Thank you very much. BTW your book looks great from the little I was able to find out about it online. Is testing SV models covered in Chapter 11? Are you going to write a new version of the book?PrefaceChapter 1 -- Introduction and Summary of ResultsChapter 2 -- The Fundamental Transform Chapter...
by AnalyticalVega
February 10th, 2013, 7:02 pm
Forum: Trading Forum
Topic: How to calculate option price of decaying ETNs
Replies: 7
Views: 9828

How to calculate option price of decaying ETNs

Thanks Alan. I will look into SV models to determine the best one to use for modeling stochastic VIX futures term structure (percent contango/backwardation) for the front 2 months. Is the Monte Carlo method the best way to verify the accuracy of a SV Model?
by AnalyticalVega
February 8th, 2013, 4:32 pm
Forum: Trading Forum
Topic: How to calculate option price of decaying ETNs
Replies: 7
Views: 9828

How to calculate option price of decaying ETNs

<r>ETNs like VXX have a decay rate equal to the VIX futures negative roll yield (or Percent Contango , <URL url="http://vixcentral.com/">http://vixcentral.com/</URL>) from the front two months. What modifications should be made to BS or Binomial model to account for this?<URL url="http://www.ipathet...