What is Volatility?
After thirty years of trading volatility, I have my ideas,
But let's hear from you.
Regards, from Lenny Jordan, Author of
The Financial Times Guide to Options

Hello everyone,Is anyone familiar with the Black NL model? Liffe uses this to calculate implieds on Short Sterling and Euribor options. I'd like to know its origins, and how it differs from other models. Cheers.

<t>Please correct me if I'm misinformed, but I seem to remember that LTCM started with convergence trades on European assets, but then later applied the same strategies to emerging markets. Applying the same or similar model to two practically incomparable groups would indicate a poor trading decisi...

<t>I've heard of learning courses that simulate real-time market conditions, but for a fee, of course. The way many of us learned was by working as clerks for senior traders. If you're at a bank, try to get as close to the front as possible. Alternatively, you might consider opening a spread betting...

What delta is the option?

<t>Hello,I recall GE options trading at appx 40 implied in the week leading up to October 19, 1987. The GE market makers were selling record high vol - or so they thought. On Monday, October 19, 1987 the ATM implied settled at 100. Today, the historical is about 12.Recently I went to the CBOE websit...

Hello,As a footnote, you might look at the Black '76 model.LJ

Hello,You might start by looking at www.originalturtles.orgLJ

Hello Frichetti,May I please get into the act?Cheers,LJ

Hello All,If you're looking for a practical, intelligently written guide to trading vanilla options, it seems that my book is still the first choice: Options Plain and Simple (FT/Pearson). I refer you to the reviews on amazon.co.uk

<t>I heard my name mentioned. Anyone interested in structured products had better understand the basics of options or they run the risk of being caught in a debacle. Because my book drills the reader on application and risk management, it can only be ignored at investors' peril, and those who serve ...

Hello again,I see that this topic has already been addressed. Any further comments?

Hello Everyone,Lately the topic of behavioral finance has been routed to fame via the Nobel prize. Are there any comments from the quant community? Does anyone know of websites, articles, or idiots' guides?

<t>Man,Because continous hedging is impractical and impossible, many traders pick a time interval as the hedge point: at each day's close, for example, or even weekly. Others, such as myself, hedge intra-day, and simply maintain a neutral position within a pre-set number of deltas. The problem with ...

<t>Paul,I sense that you are discussing an arbitrage situation of implied vs actual (historical), which is most likely to be effective with medium to long term options of 90 days + . In my experience, the implied-historical correlation breaks down with short term options, especially those under 30 d...