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basic idea is to delta hedge strip of options daily vs delta hedging that same strip of options weekly (other freq intervals applies as well) slides 14-15 http://www.cboermceurope.com/uploads/1/1/7/2/11724266/day_3_keynote.dupire.pdf i dont see how the eqn in slide 15 will implement this...

posted in economics section but no traction..reposted here What do you see as tail risks in the market now? if we define tail risk as assets with good chance of 3std dev move in a day? or 10 std dev in 5 days? What appears as "bubbles" to you? Not only assets/metric that are way too high...

What do you see as tail risks in the market now? if we define tail risk as assets with good chance of 3std dev move in a day? or 10 std dev in 5 days? What appears as "bubbles" to you? Not only assets/metric that are way too high but also way too low

sorry just 1 more question: a) in order to determine the weights of each spx option strikes, how is the sqrt sign typically taken care of? or is it typically ignored assuming small changes in vol? more generally how to size spx options vs vix futures? vega flat i presume? any other creative...

hi FSU, i owe u an apology... just saw this and you have already answered this qn before... cheers!

ok thks, trickyname. and it should be "Depends on how 'they' run 'their' books." ahha do mm usually flatten risk going expiry maybe using vix futures/options subject to liquidity? or is it usually via spx options? or its just a bit of both. if retailers/investors are not heavily involved...

arh got it from liquidity provider's point of view. thks trickyname! thinking abt it from mm perspective. please correct me if I am wrong. if mm wanted to buy options to hedge expiring vix future, after HOSS, there is no need to buy those options already. After HOSS, their book would be...

http://www.stanford.edu/~iwrm/simple%20variance%20swaps%20latest.pdf http://onlyvix.blogspot.sg/2011/09/intuitive-understanding-of-vix-formula.html ahhah ok got it. the above images keeps getting stuck in my mind and keep thinking that having bids on the put tail is not going to affect much...

saw this in the past http://onlyvix.blogspot.sg/2011/10/how-to-manipulate-vix-settlement-price.html but he retracted later http://onlyvix.blogspot.sg/2013/12/retraction-how-to-manipulate-vix.html the price weights are largest near atm and prob tough to affect you can prob extend the tails...

hi FSU, in http://www.cboermc.com/media/52743 on pp. 22-23, it was mentioned that there is a way to play the HOSS by being liquidity providers. do you know how it works? i cant seem to figure it out. my impression is that on vix settlement day, due to spx options hedge demand (via...

VXN is going to be an awesome short soon? (liquidity is an issue though) TskTsk, can i PM you?

interesting...can start mixing cocktails from all the derivatives of derivatives... SPX/SPY/VXST/VIX weekly/monthly/quarterly/index option/future/future options/ETFs/ETF options...geez thoughts/comments? anyone knows how to get the bbg tickers for later expiries? i can only find Z1 to Z5...

hi hi 1) to neutralize gamma you will probably be trading more options and these options has its only greeks which contaminates your original position (e.g. original vega, theta are affected) 2) i believe weighing by time allows comparison across expiries and across time to decide cheap and...

haha got it. its weekend effect sorry just ignore my posts barking to my own self haha :p

bad example. let me regen and repost. not sure how i can remove post. sorry :D first day pnl is bid ask spread.

sorry i posted too fast is it because 1D is a big time step and hence pde is not accurate? would it be fixed if we do it continuously throughout the day? is it also because the change are large enough that the assumption that changes are small is invalid? had this problem for quite some...

sorry TskTsk, digging up some old threads to ask you something http://www.elitetrader.com/vb/showthread.php?threadid=237843 http://www.elitetrader.com/vb/showthread.php?t=280693 did u manage to fix the pnl attribution? When i use the Black'76 and the pde, i can only explain about 60%...

thks newwurldmn! i missed out this. cos otherwise there is no realized vol on the long legs! so really more flexibility if we use single names or partial sector ETFs/partial single names

just throwing out an idea for discussion and have not thought very deeply abt it yet. pls feel free to give your comments/opinions can we do a dispersion trade using sectors ETFs? so XLE, XLE, XLU, XLK, XLB, XLP, XLY, XLI, XLV against SPY Pros: 1) less work/concern about choosing the...

yeah it certainly seems like a very interesting conference Trading Volatility Across Asset Classes Volatility of Volatility http://www.cboermc.com/agenda/ here are some more briefs http://www.cboeoptionshub.com/tag/cboermc/ trying to fish around for materials w/o much luck though.