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Option Wing Model Parameters for ORC Trader trading system
Does anyone out here use the wing model on ORC Trader auto trading system for trading options. I just wanted a little more light on on the parameter inputsReference Price, Volatility Reference, Slope Reference, Central skew point, Put curvature and call curvature.Thanks in advanceD
Option Wing Model Parameters for ORC Trader trading system
What do you want to know? ref price = the atm price you set yr vol surface on. slope = slope of the tangent to the curve at atm point. call/put curve are the curvatures of the vol in the up (call) and down (put ) directions from atm point.