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These are mid-week but I weekend delete outside the front end (CQG, TT, Excel). Pushing dates to LTD +2 days for weekends to model the two (back) tenors if using TDA in cash vols. CME (SPAN) gets it right.

arbs.

SimpleMinds (simplemelike)

False

lol you suck at this. 0/5.

Yeah, The PF is obsolete.

lol this thread is about to overtake the Journal thread.

lol yes, 360 hundred dollars.

Through the complex fly/skew lock.

typo and content edit.

Why is MsDawn replying to a thread concerning a dude he's blocked?

There is a level of material involving NDAs so I need to be somewhat vague beyond the lingo. The most efficient skew model is based upon spread premium; index cs/ps. It’s normed and is w/o peer in a modeling environment. Matrices run >10x faster (prob much more than using vols but not granular...

Pfft, my lingo is w/o peer!

No, "risk" refers to split strike. Split meaning distance; hence risk. A bear synthetic = short call, long put at x. Conversion = bear synthetic + spot. Reversal = bull synthetic - spot.

1) An index RR is down-skewed. OTM puts trade over OTM calls. 2) Puts are the revenue side of the RR. Short put -> long call -> dynamic hedge (short spot). 3) OTM calls trade under all vols below (-skew) so that when spreading the call spread is the revenue side of the RR. 4) Flies are the...

Sure, but at some point gamma (upside) goes to zero and it becomes Delta1. You have to model conservatively to assure that the stress on SD exceeds the loss to vol-corr upside.