HiI've heard about early trading session at OPRA planned October 2014 for SPX, SPXW and VIXI wonder what do you think about:- how early session may affect regular market trading session? - will there be enough liquidity?thanks

I want to change a user name too, what should I do? thanks

dmp25 - did you check ivolatlity.com? they have all the same as optionmmetrcis and more afordable prices as I know

IVolatility.com has those names

hi quantsI saw following rule for call early exercise: Divs-Interest-OTM put price>0. I wonder why they take into account OTM put price? I guess they can consider this as Time Value for example but still, not sure how this has to do anything with early exercise- any ideas???thanksTanya

<t>well, there can be many ways to extrapolate and I would suggest check article I sent you the link to get the way CBOE uses, I didnt look deeply into their formulas. Typically, interpolation and extrapolation of volatilities is done lineary by sqrt (time), not just lenary by time, so one way which...

<t>farmer: nice explanations, at least very illustrative example, thanks. however I know that most traders don't like this vol in last week before expiration and make it flat for all skew by last reasonable ATM vol (which is typically observed last in 1-2 weeks before expiry) for their risks (greeks...

why black scholes is flawed?

<t>an update for all qho participate in this duscussion - I got quite reasonable reply from AAPL trader "This is simply a reflection of fast markets and the fact that on the regional exchanges those prices are possibly for small "order book" orders.They may not be executable in the way that true ele...

btw, you are right, I am not a trader, but analyst. will try to check with traders

I checked using Hyperfeed/ComStock and Active financial as well, they both showed the same data via GUI, so looks not GUI issue as different vendors showed the same things....

<t>erstwhile: what if I just enter into options models (r-b) instead of (y+b)? my issue that currently I don't have special input for "b" rate into models and want to find out way how do w/o changing inputs much and w/o adding new inputs.so, one way as you higlighted would be enter (y+b) instead of ...

hi, want to hear different opinions on old question why options with expiration within 1-2 weejs have typically very crazy volatility. thanks

<t>well, there is general rule- use number of observations which is close to your investing period. for example, if you want to price 2 month option, you better take 2 months historical vol for that. so, selecting appropriate period for vol and correlation depends on your needs. if you just want to ...

<r>there can be 2 ways: 1. they can take vol from nearest month simply, thus take May vol or 2. they can extrapolate vols from May and June to 30 days. From waht I see at <URL url="http://www.cboe.com/micro/vix/vixwhite.pdf">http://www.cboe.com/micro/vix/vixwhite.pdf</URL> , I guess that do N2, thus...