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Could you help me understand why you believe the market values $AMC below $10 after the stock split and conversion? Do you opine that the $APE shares are overvalued because of the arbitrage opportunity? If the ape shares are overvalued because of the arbitrage, shouldn't this mean the $AMC...

My objective is to find out whether the implied volatility of the (let's say) 4400 strike with a 30 Delta and 43IV has experienced a shift from yesterday to today. Perhaps all that's required of me is to: 40 IV t+1 - 43 IV t0 + 5 (negative) spot iv correlation | delta iv...

Hello there, cheers once again :) I am grateful for your help. I completely slipped up and overlooked accounting for the IV for those 24h :banghead: Your formula presumes a sticky strike behaviour, if I'm not off the mark? Otherwise, wouldn't we need to consider the spot vol correlation? On...

What is the purpose? Using the Correlation as a signal that something is off with the implied volatility in KO or PEP? If it's the latter wouldn't you be able to scan for it directly?

I'm endeavouring to work out the disparity in implied volatility of an identical strike 24h apart for a S&P500 option. My initial notion is to add up the alteration of delta, gamma, theta and the spot-volatility correlation vega + delta in the following manner: Price of the Option t0...

Google sample size t-tests and type 2 error

Wednesday eod, it seems the difference came from me taking the bid/ask vs last price. The last price was recorded ~1h before the close so I went with the bid/ask mid. Regarding the IV being to low: tough for me to say. I'm just starting to put my uni theory knowledge into practice, but...

Something that just occurred to me: I should be able to take the ln() of the forward formula forward= spot*e^(rfr-div-borrow rate), use the option implied forward and then solve for the aggregate of implied borrow and dividend rate

strike iv delta gamma rho theta vega 3975 0.2352 0.5067 0.0033 0.3228 -4.6071 2.0301 3970 0.2361 0.5233 0.0033 0.3332 -4.6244 2.0269 Fascinating fact about the arbitrageurs, I am utilizing FactSet's method for...

Cheers! I've attached the data I obtained from yfinance eod on the 11th when the market was closed. I used the bid/ask mid for calls and puts (the numbers read last Price, bid, ask). I can see how you arrived at your forward here from the pictures you've attached using the bid/ask mid for the...

the cash not the forward. I'm using the formula in Hull for the implied dividend implied dividend= -1/T * ln(c-p+Strike*e^(-rfr*T) / S(o))

I am currently trying to tidy up the implied volatility for options on the SPX and I am finding a negative yield for the SPX. The current spot is 3969.61, the strike is 3970, the risk-free rate is 0.047631 (calculated from zero coupon), the time to expiration is 0.016438 (expiration on 17th...