<t>thanks for your answer, I know that these settlement prices are subject to discussions so maybe they don't reflect the truth at all and I'm trying to deduce something general from incorrect data. Unfortunately there is always the same problem, if you take live quotes you are also subject to noise...

<t>Quadrature:My implied vols are coming from LIFFE website if you go to Quotes & Prices then settlement dataLondon Equity and Index Options then you will see something like:+++ FTSE 100 Index (ESX) (ESX/O) +++ CALLS PUTSSettlement Volatility Delta Expiry Strike Settlement Volatility Delta------...

<t>Thank you for your answers, it gives me new ideas about articles to read on this subject. Quadrature:I'm not taking the European Options to deduce American Implied Vol but I started from the Put-Call parity which says implied vol Call = implied Vol Put.then I said Ok, Americans just add the possi...

<t>Hello,Do you know any theoretical argument to deduce the American implied volatility from European implied volatilityon the same underlying?I took the FTSE American/European options and noticed that we almost always haveImplied Vol European Call > Implied Vol American CallImplied Vol European Put...

FDAXHunter; yes I get it now.last question, would you enter in the same strategy with american options?I did the same easy example replacing European by American and the result is a loss.There is also the risk of being exerciced before maturity.Thanks for your help

<t>FDAXHunter:If call is trading at 30 and 2000 put is trading at 30 then I guess500 Calls - 500 Puts = 0P&L on futures looks also to be 0Total P&L is 0My point is that you need to pay the interest rate if you initiate a strategy like that: + 500 Calls Strike 2000 implied vol 20%- 500 Puts S...

<t>FDAXHunterYou're a.. what's that word Nonius uses... mook. That's it, you're a mook.I take that as a compliment until I meet sir Nonius,It's certainly obvious to everybody but I still don't understand how you manage to make a gain with the time decay of your options, even if vol call = vol put an...

<t>quadrature: You should have no vol risk whatsoever. Remember a call is a put and put is a call. If a call is put and a put is call I should have:1) exactly the same trades at the same time everyday, whatever is the call I should be able to buy the equivalent Put, unfortunately this is not true fo...

replace the second leg of the strategy:+ 500 Puts Strike 2000 implied vol 18%by+ 500 Puts Strike 1800 implied vol 18% Incorrect copy and paste, sorry

<t>Johnny,thanks for the answer, you're right I forgot to mention one side of my strategy:I take + 500 Calls Strike 2000 - 500 Puts Strike 2000 - 500 Calls Strike 1800 + 500 Puts Strike 1800I first make the hypothesis that everything stays constant, I keep the portoflio like that for 2 months.The re...

<t>Dear Forum,I would like to understand what is the real risk of an option box strategy.For example if I am + 500 European Call 150 days Strike 2000 and - 500 European Put 150 days Strike 2000 theoretically the only risk I have is an interest rate risk whatever is the underlying or the implied vola...

Hi egmont,I found on the internet:Correlation modelin by Peter ChristoffersenandThe most general methodolgy to create a valid correlation matrix for risk management option pricing purposes by Rebonato and Jackel

<t>Algo looks the best in term of look&feel but it's not necessary the most powerfull.Summit systems has a great real time tool with an incremental delta gamma VaR.For MonteCarlo VaR, Carma by Misys is also well designed, here the product is not sexy at all but users are all agree to say that in...

easy question:Do you know where the name "SABR" comes from?Is that names of people?Thanks

Why don't you try R, it's free , you can forecast GARCH, ARIMA models, you can plot, 2d, 3d even moving graphs, you can download data from internet with a specific financial module and it saves money to invit your mum to the restaurant.byehttp://cran.r-project.org