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by pankajchitlangia
January 3rd, 2020, 4:36 am
Forum: Student Forum
Topic: Realised Volatility v Calculated Daily Volatility
Replies: 2
Views: 5289

Re: Realised Volatility v Calculated Daily Volatility

pankajchitlangia: if annualized volatility is 19.105% then daily volatility should be 1% assuming daily volatility is same across. >> This is true only in an ideal world in which (1) stock prices follow geometric Brownian motion (GBM) with a constant volatility, and (2) realized volatility is measu...
by pankajchitlangia
January 2nd, 2020, 3:28 pm
Forum: Student Forum
Topic: Realised Volatility v Calculated Daily Volatility
Replies: 2
Views: 5289

Realised Volatility v Calculated Daily Volatility

if annualized volatility is 19.105% then daily volatility should be 1% assuming daily volatility is same across.  However, if I have an ATM options with implied vols of 19.105%, then if the futures prices has daily movement of 1% till expiry, why doesn't the realized volatility is equal to the premi...
by pankajchitlangia
August 15th, 2017, 4:04 pm
Forum: General Forum
Topic: CBOE VIX INDEX - Logic behind the Formula
Replies: 5
Views: 1294

Re: CBOE VIX INDEX - Logic behind the Formula

Derman - varswap replication paper
Thanks! 
by pankajchitlangia
August 15th, 2017, 9:00 am
Forum: General Forum
Topic: CBOE VIX INDEX - Logic behind the Formula
Replies: 5
Views: 1294

Re: CBOE VIX INDEX - Logic behind the Formula

look at the vix FAQ at the CBOE
there's a link to a vix white paper
Thanks, but I have already gone through this. What I was looking for is more of derivation of the formula used - which explains the mathematical logic behind it. This white paper just states the formula
by pankajchitlangia
August 14th, 2017, 5:02 pm
Forum: General Forum
Topic: CBOE VIX INDEX - Logic behind the Formula
Replies: 5
Views: 1294

CBOE VIX INDEX - Logic behind the Formula

Need to understand the mathematical logic behind the CBOE VIX Index. Is there a white paper on that which cab be of help?
by pankajchitlangia
August 4th, 2017, 10:45 am
Forum: Student Forum
Topic: ATMF Call Delta in High Vols or long time to maturity - why much higher than 0.50
Replies: 8
Views: 2326

Re: ATMF Call Delta in High Vols or long time to maturity - why much higher than 0.50

Since [$]\Delta^{(F)} \equiv C^{Black}_F = e^{-r T} \Phi(d_1)[$], this delta will ultimately tend to 0 as [$]T \rightarrow[$] for any r>0. But when [$]r T \ll \sigma^2 T[$] ; i.e. [$] r \ll \sigma^2[$] and [$]r T[$] small, it will behave like a delta w.r.t. spot. That's what you're seeing. (More ca...
by pankajchitlangia
July 29th, 2017, 3:19 pm
Forum: Student Forum
Topic: ATMF Call Delta in High Vols or long time to maturity - why much higher than 0.50
Replies: 8
Views: 2326

Re: ATM Delta in High Vols or long time to maturity - why much higher than 0.50

more chance to be in the money. you should also try to be more precise: atm spot or atm forward? call or put delta? how does the forward term structure look like? etc. Thanks: Question edited. More chance of be in the money how ? Returns would be normally distributed so chances that the stock price...
by pankajchitlangia
July 29th, 2017, 2:36 pm
Forum: Student Forum
Topic: ATMF Call Delta in High Vols or long time to maturity - why much higher than 0.50
Replies: 8
Views: 2326

ATMF Call Delta in High Vols or long time to maturity - why much higher than 0.50

In case of high vols (say 500%) or long tenor (say 10 years) - why ATMF call delta is much higher than 0.50 (>0.80). Theoretically I understand in N(d1) if time is very high, it will give number greater than 0.50. But how can one explain it intuitively? Assuming the term structure is flat.
by pankajchitlangia
July 17th, 2011, 1:15 am
Forum: Technical Forum
Topic: lmplied Volatility Term Structure
Replies: 1
Views: 20692

lmplied Volatility Term Structure

lf one has standard maturity ATM vols (i.e. 1m, 2m, 3m, 6m and 1y) which model do one use to determine ATM vols between those maturities? ls cubic spline interpolation method most appropriate in this case ?
by pankajchitlangia
March 3rd, 2011, 3:20 am
Forum: Technical Forum
Topic: Smile Delta Adjustment
Replies: 4
Views: 24549

Smile Delta Adjustment

Yes ... the first question was the result of over-burdened mind ...hope to see clues for second question though.
by pankajchitlangia
March 2nd, 2011, 3:11 pm
Forum: Technical Forum
Topic: Smile Delta Adjustment
Replies: 4
Views: 24549

Smile Delta Adjustment

<t>As per my understanding smile adjusted delta can be found from the formulaSmile adjusted delta = delta + vega * dvol/dSNow assume a positive risk reversal scenario - in that case dvol/ds would always be positive (if spot moves up vols move up and vice versa)In that case 1 - will both put and call...
by pankajchitlangia
March 19th, 2010, 11:01 am
Forum: General Forum
Topic: put-call parity violation
Replies: 24
Views: 39090

put-call parity violation

<t>Basically put call parity is p + S = c + Ke-rt ... rearranging c - p = S - Ke-rt Now LHS = long forward (this has to be the case in OTC market else there would be arbitrage opportunities... in exchange traded option this may not be true due to bid offer spread) and value of long forward F = S - K...
by pankajchitlangia
March 18th, 2010, 3:06 am
Forum: Technical Forum
Topic: BS and Volatility - Interpretation
Replies: 9
Views: 32051

BS and Volatility - Interpretation

Thanks everyone for clarifications .... (a mock experimentation in excel sheet of option delta hedging also was a great help)
by pankajchitlangia
March 15th, 2010, 7:10 am
Forum: Technical Forum
Topic: BS and Volatility - Interpretation
Replies: 9
Views: 32051

BS and Volatility - Interpretation

am clear on "b" ... but still not able to convince myself on "a" though i know intuitively it should be 1% per day movement on stock but not able to explain logically
by pankajchitlangia
March 15th, 2010, 6:33 am
Forum: Technical Forum
Topic: BS and Volatility - Interpretation
Replies: 9
Views: 32051

BS and Volatility - Interpretation

<t>In that case ... a. Assume that I buy a call on a stock pay premium based on implied volatility (in BS) of 1% every day - then to recover the premium paid (i.e. realized volatility = implied volatility) should i. stock move 1% every day on average or ii. there has to be some outcome on the return...
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