Recent content by nuandabi

What I mean is that if the price is determined by the market makers' constraints then the market is quote driven by definition (from Investopedia: A quote-driven market is an electronic stock exchange system in which prices are determined from bid and ask quotations made by market makers...

Thank you for the reply. If everyone sees the same order book why are certain strikes RFQ (Request for Quote)? Maybe that's true only for the Italian banks while for the CME and CBOE products everyone sees the same orderbook? I hope I've made it clear Thanks P.s. inventory driven should mean...

In my understanding: bonds, currencies, and commodities (cash, not derivatives) are traded in a quote driven market with a market maker who will either fill your order from its inventory or match you with another order. Of course, investors can try to negotiate better prices, either themselves...

In the link attached https://www.desmos.com/calculator/dzppcqv2tk?lang=it I made an animated function with the time value graph, it is clickable in the parameters s (the volatility) and k (the strike). You can see that with low volatility (till 20%), the time value is perfectly symmetrical for...

From a user of another forum who made the actual calculation.

Yes. That's my point. In theory the extrinsic value graph should be a lognormal. That's also the reason why ATM delta isn't 0,5, and other consequences in terms of probability of touch, etc etc. 'Cause the foundation of Black Scholes model is geometric brownian motion and not simple brownian...

P.s. I switched ITM-OTM positions

Usually extrinsic value is represented as the image below, a bell shape curve My simple question is: Shouldn't the actual representation be a lognormal? (Please excuse the crudity of this GRAPH. I didn't have time to build it to scale) And so: all the typical representations of first...