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    Implied Distribution from Skew

    Sorry for jumping in late in the thread here. I'm trying to take my trading to a higher level too, by incorporating implied distribution of skew, and taking maximum from vanna and vega convex positions. At this juncture, I have the same question as you do. Do you know any software that helps me...
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    variance swaps

    Sorry for jumping in late. I just joined this forum. So... you hedge var swaps EOD using change in position deltas at the close-close. For ex, As the payout of variance swaps is based on the close-to-close return, they all have an intraday delta (which is equal to zero if spot is equal to the...
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    Skew delta quick and dirty?

    Do you know any software that calculates vanna exposure, lets say and updates it using shadow delta assumptions?
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