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Was there a risk of liquidation at any point due to the marks being off? Also, was this driven by the broker or by the CFE (I don't know what spreads you have on, but I don't remember any super-drastic moves like these)?

I am sure he is a bright guy (just like Taleb is), but it does not mean he knows what he's talking about. Not sure which book you mean, but the one that I have seen is (a) peddling stuff that is dated and border-line useless (b) does it in a manner that is fuzzy and non-mathematical (c) has...

Nothing prevents you from building one yourself, the number of underlying is small and there is plenty that can be done in Excel alone.

systems problems at CFE. move along, nothing to see here

tenor = length of the period, e.g. if you are trying to calculate 10 day forecast, are you going to use a distribution 10-day returns or standard deviation of 1 day returns and re-scale them by sqrt(10).

We have gone through the whole list. The core EOD data is more or less the same for all vendors - we have actually made a mistake of thinking otherwise and found out that bad days in historicaloptiondata are almost the same for LiveVol. As far as implied volatility calculations go...

You surely mean log of returns? While the standard deviation of log-returns it's not the same thing as standard deviation of price, to the first order they relate to each other multiplicatively (StdLog =~ StdPx / Px). So there is no real difference there. I think the key is if you are using...

Bloomberg. They are not cheap (to say the least), but you can't beat them in terms of quality and support. However, even they don't have everything - I do buy some data (historical) piece-meal from a couple vendors (CQG and tickdata.com).

I could not find anything referring to being able to "exercise" at any time (e.g. collect 100% once you actually touch or pass the level), i did see that you are able to sell the option for whatever Nandex think it's worth (a worthless feature in my mind).

The B-firm. Pretty much because they got everything and have really good support.

Prediction of what? Of dynamics, volatility or relative value? For example, if I have a model to forecast changes in implied volatility as a function of the spot price, does it contradict your view of the world? Ok, so you are doing some simple noise analysis and some simple autoregressive...

The book does not say anything about predicting the price. It talks about either modelling the dynamics of price (in univariate case) or modelling the relative value (in multi-variate case). Two questions for you: (a) Do you have any math education beyond grade school? (b) Did you...

Never looked at these and I thought initially that these are one-touches that trade (that is, if gold touches 2000, you get a $100), not digital options (that is, gold has to be above 2000 at expiration). In the digital case, I can't see ANY advantage over vanilla option spreads, the payoff is...

The key difference is the value of continuous barrier observation and how that value relates to the skew. In general, continuous barriers are too rich.

The key Greek really depend on the type of stuff in of your portfolio. On one side, the index book I used to run at the Evil Firm had an average duration of 7 years, so most of my concerns where vega and funding. In fact, you start playing all sort of games around the quality of collateral...

The models presented in that book is the sort of stuff "grown-up" (institutional) quantitative traders actually use. People who trade cross-sectional statistical arbitrage use PCA or other factor models, cointegration or threshold chaining etc. People who trade longitudinal statistical arbitrage...

Fair value of an option is determined by the expected volatility (from the perspective of a delta-hedger). This of couse, is also false, since a lot of it has to do with supply and demand for specific risk factors, especially in longer-dated options. PS. Dude, can I ask you for a favor...

Exotics are definitely priced imperfectly (it's an art, not a science), while margins on flow exotics (at least in equities) are paper-thin since the products are a commodity by now. Most index structured products desks survive either on fat retail flow (e.g. guys at Merrill) or on taking...

Yes, barriers are cheaper and there are some simple tricks to understanding if they are good value or not.

Out of curiosity, what public R packages have you found to be useful for your work? I barely use anything beyond time series and definitely do not use anything financial, aside from the timeDate package.