Search results

  1. P

    VIX futures term structure shape anomaly

    whats with the dip in december? is this normal or is something expected that i am not aware of
  2. P

    price in dividend yield when no div will be paid over life of option?

    bump... anyone know?
  3. P

    price in dividend yield when no div will be paid over life of option?

    I was looking at the NRZ May 20 11 ATM calls and puts. NRZ has a large yield so it affects option prices pretty substantially. iVol is ~8% higher for the calls. When i plug this in to my model with the dividend yield, parity hold and the market price is pretty much fair value. setting the...
Back
Top