Recent content by NaturallyNick

For example, if SPY IV crushes 179 basis points, or ~10% of its total IV of 17.9% (Source:Barchart), is there a way to tell with any predictive power what that will do to the IV of the SP500 Underlyings (AAPL in this case)?

Found the answer here: https://quant.stackexchange.com/questions/70414/the-wikipedia-formulas-for-vanna-differ-by-a-factor-of-100x-why-is-that Cheers!

Just started working through this, up to Vanna now, and everything up to there is accurate (matches my sheet anyways), but the total for Vanna is exactly 100x less than mine. It looks like I'm using the first formula from this Wikipedia page, and you're using the second. I wondered if you had...

Other options would be LIBOR/SOFR, US Treasuries, or the Fed Funds Rate/OIS. Some people discount it entirely, but since it's fairly easy to add into my spreadsheet early on, I wanted to keep it. But I see a lot of conflicting opinions on the "correct" one. Any idea what the MMs or derivatives...

I was looking at this: https://www.theice.com/iba/ice-swap-rate (1 year, US denominated) as I can just get the data from TradingView easily enough but wasn't sure if it was an appropriate one to pick. What do you guys think?

I actually like SSE for it is. It's clean interface with all the "excellence" you expect out of an IE based app. Bugs and crashes galore, but it's much more customizable/usable than ToS for 95% of users. But they will let you do "illegal" things. Fidelity on the other hand will restrict your...

In the below image, on step 5, they have the formula: e^(-qt)*sqrt(T-t)* N'(d1)(d2/σ) Step 6, they adjust the bolded part to: e^(-qt)*sqrt(T-t)* N'(d1)(1-d1) and I can't seem to figure out how they did it. I'd be grateful if anyone had a little bit of knowledge they'd want to share. (I...