Recent content by lcs

basic idea is to delta hedge strip of options daily vs delta hedging that same strip of options weekly (other freq intervals applies as well) slides 14-15 http://www.cboermceurope.com/uploads/1/1/7/2/11724266/day_3_keynote.dupire.pdf i dont see how the eqn in slide 15 will implement this...

posted in economics section but no traction..reposted here What do you see as tail risks in the market now? if we define tail risk as assets with good chance of 3std dev move in a day? or 10 std dev in 5 days? What appears as "bubbles" to you? Not only assets/metric that are way too high...

What do you see as tail risks in the market now? if we define tail risk as assets with good chance of 3std dev move in a day? or 10 std dev in 5 days? What appears as "bubbles" to you? Not only assets/metric that are way too high but also way too low

sorry just 1 more question: a) in order to determine the weights of each spx option strikes, how is the sqrt sign typically taken care of? or is it typically ignored assuming small changes in vol? more generally how to size spx options vs vix futures? vega flat i presume? any other creative...

hi FSU, i owe u an apology... just saw this and you have already answered this qn before... cheers!

ok thks, trickyname. and it should be "Depends on how 'they' run 'their' books." ahha do mm usually flatten risk going expiry maybe using vix futures/options subject to liquidity? or is it usually via spx options? or its just a bit of both. if retailers/investors are not heavily involved...

arh got it from liquidity provider's point of view. thks trickyname! thinking abt it from mm perspective. please correct me if I am wrong. if mm wanted to buy options to hedge expiring vix future, after HOSS, there is no need to buy those options already. After HOSS, their book would be...

http://www.stanford.edu/~iwrm/simple%20variance%20swaps%20latest.pdf http://onlyvix.blogspot.sg/2011/09/intuitive-understanding-of-vix-formula.html ahhah ok got it. the above images keeps getting stuck in my mind and keep thinking that having bids on the put tail is not going to affect much...

saw this in the past http://onlyvix.blogspot.sg/2011/10/how-to-manipulate-vix-settlement-price.html but he retracted later http://onlyvix.blogspot.sg/2013/12/retraction-how-to-manipulate-vix.html the price weights are largest near atm and prob tough to affect you can prob extend the tails...

hi FSU, in http://www.cboermc.com/media/52743 on pp. 22-23, it was mentioned that there is a way to play the HOSS by being liquidity providers. do you know how it works? i cant seem to figure it out. my impression is that on vix settlement day, due to spx options hedge demand (via...

VXN is going to be an awesome short soon? (liquidity is an issue though) TskTsk, can i PM you?

interesting...can start mixing cocktails from all the derivatives of derivatives... SPX/SPY/VXST/VIX weekly/monthly/quarterly/index option/future/future options/ETFs/ETF options...geez thoughts/comments? anyone knows how to get the bbg tickers for later expiries? i can only find Z1 to Z5...