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by Nimbus3000
March 15th, 2021, 6:11 pm
Forum: Technical Forum
Topic: Interpolation of a Implied Volatility Surface
Replies: 20
Views: 6232

Re: Interpolation of a Implied Volatility Surface

If you need to extrapolate the IV time slices outside the available strikes, I have some nice fits here . See pages  30, 31.  I am using Gaussian mixture model fits, which have some nice properties, esp. for my application (equity risk premium), and lead to interesting extrapolations.     However, ...
by Nimbus3000
September 28th, 2020, 8:51 am
Forum: Trading Forum
Topic: Options Market Maker
Replies: 0
Views: 1584

Options Market Maker

What is the kind of post trade analytics that a high frequency options market maker should do? Slippage and breaking profits into various greeks are the first few things which come to my mind. Any other ideas?
by Nimbus3000
April 29th, 2020, 4:29 pm
Forum: Trading Forum
Topic: When to sample data for IV Curve
Replies: 4
Views: 4353

Re: When to sample data for IV Curve

Thanks a lot Alan, I will look into it. A side note, I am looking at it in a high feequency context. Did you use it in a similar context?
by Nimbus3000
April 27th, 2020, 2:13 pm
Forum: Trading Forum
Topic: When to sample data for IV Curve
Replies: 4
Views: 4353

When to sample data for IV Curve

What is a good process to sample data (option prices and the corresponding underlying prices) to calculate implied vols and the IV curve. I mean the problem I am facing is this: say i sample the prices (bid and offer prices for options and underlying) at a time t. Now, I dont know what happened just...
by Nimbus3000
February 24th, 2019, 8:40 am
Forum: Trading Forum
Topic: Sticky Strike or Sticky Delta
Replies: 2
Views: 4614

Sticky Strike or Sticky Delta

Given market tick data for a single tenor for a futures and a set of options on the futures, how can I say if the IVs in the market at this point is closer to sticky strike or to sticky delta? I was trying to solve the problem looking at change in the futures price and the comparing the change in IV...
by Nimbus3000
August 9th, 2017, 6:23 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

I tried to fit the raw SVI with the Quasi Explicit Method by Zeliade. The parameters turned out to be too unstable for reference use in real trading (though the model does fit well). The problem seemed to be that there are too many local min's when using iterations in the second step to get the opt...
by Nimbus3000
June 13th, 2017, 3:44 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

Another question. I came across this , where the author discusses natural SVI, SSVI and SVI-JW in addition to raw SVI. Now since the parameters of Natual SVI and SVI-JW are calculated from the parameters of raw SVI, i assume that when we optimize of raw svi, we are optimizing on the other two as wel...
by Nimbus3000
June 12th, 2017, 6:50 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

Some possible issues beyond simply out-of-sync or bad market data: 1. Since this is a single-name stock, what is the exercise style and how are you converting to Euro-style if it is American-style?  2. Are you using exclusively out-of-the-money options to calculate IV's? (I would, so puts for K < S...
by Nimbus3000
June 12th, 2017, 5:36 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

Yes, I do on more than one strike.  Any ideas for improvement? I'll wait first until you can confirm /answered Alan's points 1 & 2 & 3 above. Also I am assuming that the quotes you gave are snapped at the same time (including the futures/forward level) and that you are only using quotes for...
by Nimbus3000
June 12th, 2017, 5:33 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

Some possible issues beyond simply out-of-sync or bad market data: 1. Since this is a single-name stock, what is the exercise style and how are you converting to Euro-style if it is American-style?  2. Are you using exclusively out-of-the-money options to calculate IV's? (I would, so puts for K < S...
by Nimbus3000
June 12th, 2017, 2:26 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

Which one is the SVI fit and why isn't it a smooth curve? Also what are the actual strikes of your data? 

If it's a smooth curve and always between the bid-ask IV, I would declare victory.
Unfortunately, its not always within the bid/ask spread
by Nimbus3000
June 12th, 2017, 1:41 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

Yes, I do on more than one strike. 
Any ideas for improvement?
by Nimbus3000
June 12th, 2017, 1:02 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

0.027397260274 years to expiry, underlying futures trading at 301.925 The results I get are: Excel Solver Optimization = [0.360682481, 0.337546389, 0.319759614, 0.307708779, 0.301424743, 0.30055971, 0.304457585, 0.312288467, 0.32318996, 0.336370424, 0.351161344, 0.367029353, 0.383565105] LM Optimiza...
by Nimbus3000
June 12th, 2017, 12:51 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 7406

Re: Listed option IV curve

Starting with 280 till 340, with a difference of 5, my IVs are [ 0.3610335  0.33629    0.322188 0.3071335  0.297602   0.301366   0.308532 0.310931   0.325343   0.3342465  0.3472695  0.369975 0.383803 ]