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, ...
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?
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...
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...
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...
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...
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...
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...
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...
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 ]