Recent content by Baozi

@earth_imperator 1. Use a local volatility model to estimate a likely IV at price S and time T for both assets 2. Plug those values into the call and put functions that take the BSM inputs 3. Repeat for all spot values within the expected range no guarantees that this is the correct approach...

Gentlemen, thanks a lot for your contribution. Now I can finally pull the plug on this chapter and move on.

its not really an interpolation because the curve is parametric, the inputs are spot, dte and six other parameters related to the curve shape. but yes of course once you have it you can estimate the values at otc strikes. what about the related probability density function ? Also that quite...

Had to look up 'coprolith', but besides this, thanks A lot man, this is giving me the closure I was looking for..

your code is difficult to read, seems that you are hardcoding all scenarios instead of creating a flexible structure. But I dont know your language so maybe Im wrong. Said this, selling naked puts and legging in the long after so many days (without any other edge) is no better than selling...

Correct. This is also what the rational part of my brain is telling me. And trading should be a rational endeavor.. and yet so many times the psychological part messes things up..

ha.. no idea if this is the right place to post.. I guess it's something in between options and trading psychology.. anyways.. it's already been more than one year that I religiously download every day the option chain for the assets I'm following, and for each asset and each tenor calibrate...

tbh I would also feel triggered if after replying politely to a question to the best of my knowledge, some random dude started attacking me out of the blue even linking my previous posts.. when we disagree with someone, we should all take one step back and honestly try to debate the idea rather...

OP, the problem with options is that there is no absolute 'best' , any option play or structure is good under certain circumstances, bad in others. A screener works according to your search criteria, but you must know what you are looking for. In general selling naked like you do is not...

OP, besides a screener, some basic knowledge of how volatility works should be your next priority.

Hmm that academia guy knows his s*!@t!

haha ok let's talk again in the future, when I'll be surely full of mint.. ..Or maybe full of something else :p

ok let's take one step back. Here I'm not trying to guess prices, but modeling a scenario, a "what if.. "case. So I assume that stock A in the future will get to price X. I have verified that stock A and B are not only correlated with a factor of beta but also cointegrated, which makes me...

Hi BWS, I looked it up a bit, actually there is not a single way to estimate beta because it's.. well, an estimation. Your method is fine and generally accepted, the method I use is to do a linear regression to find the best fit for the formula Y=alpha(the intercept)+beta(the slope...