In a sense, nothing is new as every previously traded option became a 0DTE option on its last trading day. But, your question made me look for something interesting at the usual sources: SSRN, arxiv. Nothing caught my eye, until I saw the CBOE is supporting the 1-day SPX options with a new VIX1D (1...
The obvious follow-up: (the arithmetic here look ok to me) ==================================================== >> At a production rate of 9 kilograms per month for 60% uranium, how many nuclear bombs could be constructed from one year's worth of production? Given a production rate of **9 kilograms ...
In early tests, it seemed that ChatGPT could not readily learn to revise its views. Lately, as least based on the version in MS Edge/Bing Chat ( ChatGPT-3.5-turbo ), it seems to be improving in that regard. However, its ability to do simple arithmetic still sucks ! (In the conversation, ">>&qu...
Actually, an early source is an Oct 24, 2023 letter from the New York Post to Harvard.
Harvard's response: a 15-page threat to file a defamation lawsuit
Yes, they'll match up closely near the at-the-money strikes. They'll match up exactly at the special strike in the VIX white paper which generates the forward price. Having said that, it's probably not too useful to think about arbitrage in terms of IV's. What matters for arbitrage are the tradeabl...
Another possibility is the IV's were computed using the last trade prices (a bad idea), in which case the put price is an hour stale relative to the call -- and not even within the current bid-ask spread. But, this seems unlikely given the relative IV values.