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I've seen this lack of skew mentioned before. A little googling reminded where I saw it last: see p 227 of the 2004 edition of My Life as a Quant by Derman.

You're not happy to use your total delta, total vega and an estimate of dVol/dSpot?

Seems more like a side project than a plan to actually build some proper data infrastructure? Sounds like you could save weeks of work (at least) by using something like IQfeed.

I hope they do. £1m bonus each person for every whale they take down would be ideal.

"Under the Financial Services Act 2012 we must pay the Exchequer all financial penalties received, apart from certain enforcement costs incurred in generating these penalties in the same year. We use these retained penalties to reduce our fees, apart from the fees levied on the penalty payer...

Of course it isn't. Good grief. They publish lists of fines they've made each year. If you can spot "a pattern to protect home grown companies" then well done you. https://www.fca.org.uk/news/news-stories/2020-fines

Not sure what you mean. It's not too hard to find that account on fund seeder. Currently has $134.6k. Sharpe is 0.5. Been in drawdown since equity high around the time of that June post.

I think also, better not to think of IV as implying any sort of "move away from here". IV is a measure of dispersion of abs(return) not price. An IV of 16% implies about 68% of a day's returns in the stock will fall within ~+/- 1% of spot at the start of that day, ie within 1 standard deviation...

Yes that's all there is really. A market-maker would just "try" a given vol-curve and then adjust the shape of the curve they bid/offer around given the fills they get.

If you've fitted some sort of spline to the market prices wouldn't you be left with residuals where the market prices don't match the fit exactly?

What does IB need the USD for? They need to post the money as margin to the NYMEX. So it's x% of the GC contract margin (currently $5.5k). To avoid thinking about it too much just do an FXCONV of enough GBP into USD in your IB account. Then you already have the USD for margin should you trade a...

In that example yes I think you are correct but that's not the normal case. Usually a future will appear/net-off on your account after expiry of the option because the future will not expire at the same time. Is there any trading in SGX NK225 options?

Think of it this way. If you held 1 euro until expiry and shorted the equivalent USD then you would earn the interest on the EUR deposit and pay the interest on the USD deposit. For there to be no arbitrage therefore, the forward price expiring on the same date needs to imply THE SAME economics...

The August options are on the September EUR future underlying not on the EURUSD spot price. Sep future is currently 1.1362 (this is due to the interest differential between EUR deposits and USD deposits). If the Sep Future traded at the same price as spot there would be a risk-free arbitrage...

He's a very good speaker. Clearly thoughtful and clear-minded. Shame the interviewer isn't so good but Harding does all his work for him so it's still a great interview.

Yes that's right. As @TheBigShort says all risk measures in options relate only to the current state: tweak the spot, vol, time-to-expiry, interest rate, strike and they change. If delta didn't change with spot then that means gamma=0, ie there is not optionality in the first place, so it...

No cause and effect intended. We're just talking about interesting partial derivatives of a model after all.

These are not rules of thumb. The relationships are formulaic not hand wavy. To put @tommcginnis point another way: the option price change for a $0.01 move in underlying will be almost identical. But since delta itself changes due to the existence of gamma, over a large move in underlying...

I had posted a wrong explanation here earlier about the delta differences but realised I was having a brain fart... I think in reality for shorter dated options you are seeing the effect of gamma on option delta. Longer dated options have relatively more stable delta (less gamma) and so for any...

All vanilla options are contracts priced from the forward price of the underlying on the expiry date. In this case the PYPL stock does not pay dividends (if it did it would pull the forward price down) and so to get to the forward price you have to include the financing cost (interest rates)...