<t>Yes I agree the ETF options should have lower implied volatility than VIX index implied vol.However, since the ratio of implied vol of the VIX index to implied vol of the ETF is not close to 2.0 while the historical beta is 2.0, I'm wondering whether there is an opportunity to be short VXX option...

<t>I've noticed an apparent trading opportunity that I'd like the forum's opinion on:Using Bloomberg BETA function, I see the VIX is twice as volatile as the VIXY and VXX ETFs, which tracks the excess/total return from a daily rolling long position in the first and second VIX futures contracts.But w...

According to Derman 99, replicating a varswap involves delta hedging a strip of options AND selling a forward contract.Is my reading correct that by setting S*= F = S_0exp(rT), the forward contract drops out?Thanks

<t>I am looking to estimate the theta of the equity call of convertible bonds.I am concerned for now with vanilla convertibles that may be callable and/or puttable.My first try is just to use black scholes and ignore the convertible's callability/puttability: ?equity option theta? = Black_Scholes_Th...

Thank you. Problem I have is with computing strike from delta from vendor so I need to find out their methodology.Of course delta, d1 and q should be consistent. Thank you.

I apologize I mean: N^-1(delta * exp(qT)) is not defined if the argument delta*exp(qT) > 1. And I don't see how that is necessarily avoided.

I'm not sure what you mean.N^-1(delta * exp(qT)) is not defined if delta*exp(qT) > 0. And I don't see how that is necessarily avoided.

but doesn't delta*exp(qt) need to be <= 1? Couldn't this be > 1?

What if the quantity in N^-1() is >1 or < 0?

They were looking for high frequency strategy with high SR (> 5).My strategy is low frequency, trades ~ three times week with SR 2-3.

<t>I will have an opportunity to pitch my system to the ic at my firm in the next few weeks.If pitch is successful my firm will seed a fund which my system will run (I helped shepherd another system that I designed and built through seeding at my firm; but I was working for another trader whose name...

<t>Earthworm: No explanation was given. I think Dominic's explanation re the finite bonus pool is the real reason; it is against my boss's interests to promote me. KackToodles: My boss is MD and shares in firm profits; it's unlikely he'll leaveDCFC: yes, if I get promoted, my boss loses a worker who...

<t>I would like the advice of the members of this board on how I should proceed.I have been working for two years a trading systems researcher at a large prestigious buy-side fixed income firm. Prior to this I had worked for 12 years as an engineer /scientist in computer, software and defense indust...

I have an interview through a HH with this proprietary trading firm in Zug, Switzerland.Anyone have info on this shop as I find nothing on the web.Thanks