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MAW, I have been trying to find some specific stuff on the matter. I have found a few links, but they don't address the question specifically (there's a few papers that talk about it on JStor, but I can only see abstracts). My understanding of this is that calculation of standard deviation...

Nobody can answer the question apart from the IB customer service. Do what Mark suggested. It's entirely possible that their margin calculations are monumentally stupid and don't floor the premium at 0.

I don't quite understand the point... Isn't the whole point of most stochastic vol models to ultimately determine the correct deltas? So much work on this has been done by Derman and Dupire in equity vols and by Hagan and Rebonato in rates, just to name a few. The paper you cited by...

Hmmm, let's see... Going by manufacturing output, where do you think UK ranks among the world's countries? Just a wild guess would do... What about when its competitiveness is measured against that of other countries using one of the common metrics?

Remember also that it's month-end, which means index extension in fixed income (relatively big 'un in TIPS and EUR guvvies, not so big in USTs) and god-knows-what in equities...

Lemme find you a paper written by someone better than me. If I can't, I'll figure out how to say it meself.

We're going out 410/430 here...

CTAs, apparently...

Sometimes it's optimal to exercise suboptimally... Where was the contract trading at the time? For instance, in a rather extreme example, if the contract was 1.94/1.97 in the mkt, exercising puts suboptimally at 1.95 would have been a good idea. This is just one of the possibilities. Others...

In the absence of vol of vol, it implies negative fwd variance, which is arbitrageable. In the presence of vol of vol, the equation doesn't have to hold. So be careful when trying to apply this logic in the presence of skew to non-ATM options.

This is a pretty good paper on the subject from the IMF. I'd classify it as "guardedly pessimistic". http://www.imf.org/external/pubs/ft/wp/2010/wp1019.pdf

Look on Wilmott, there are answers aplenty there...

There's a methodology that attempts to take this into account. I am referring to the Human Development Index (HDI) that, apart from the per capita GDP, also includes life expectancy and levels of education. Arguably, like GoC says, it offers a much better metric. Scandi countries lead in the...

lpchad, you wanna be a trader, right? If that's truly the case, you might wanna practice some scenario analysis, rather than asking random people for advice. You might find surprise yourself and obtain some valuable insights. Regardless, good luck to you and the missus. You both sound like...

You don't ask for much, do ya?

Is this something you're proud of (I assume you're American)?

By itself, means nothing... Just another signal that, some time in the future, the Fed is hoping to harness the interest on reserves mechanism to be able to withdraw liquidity. That would imply, as the article suggests, that the FF Tgt might lose some significance. It's not clear...

Dude, trust me on this, pls, if you can. What was happening in Greece last week was definitely new. Maybe not new info, more like new realization, but it was unlike anything seen before. As to the size of Greece, I wouldn't really say it's that small. Total Greek debt outstanding amounts...

I thought I'd plug the one bit of punditry that I do really enjoy reading. It's well written, lucid and insightful, IMHO. I am referring to Jeremy Grantham's quarterly letters. The latest can be found here: http://www.gmo.com/websitecontent/JGLetter_ALL_4Q09.pdf

Why are you shocked? When people are starting to have doubts about the ability of sovereigns, not banks, to fund themselves, what do you expect? In extremis, suppose Greece and/or Japan actually default, God forbid. What would you expect to happen to treasuries and FedFunds?