Calendar and Backspread Question

nitro · Jul 28, 2003

Quote from metooxx:

Tried to use it a year or two ago, scratched an entire month, switched back to our normal feed, status quo ...

Are any of your strategies based on skew?

nitro

metooxx · Jul 28, 2003

Quote from nitro:

Are any of your strategies based on skew?

nitro

Yes ...

nitro · Jul 28, 2003

Quote from metooxx:

Yes ...

So you are calculating Implieds on the entire market at once on each strike?

nitro :eek:

metooxx · Jul 28, 2003

Quote from nitro:

Ok...

So you are calculating Implieds on the entire market at once on each strike?

nitro :eek:

You got it ...

metooxx · Jul 28, 2003

100K plus strikes in real time ...

metooxx · Jul 28, 2003

With a proprietary pricing algorithm ...

nitro · Jul 28, 2003

Quote from metooxx:

With a proprietary pricing algorithm ...

:eek: :eek: :eek: :eek: :eek: :eek:

nitro :eek:

nitro · Jul 29, 2003

Quote from metooxx:

With a proprietary pricing algorithm ...

metoo,

Do you use the binomial, Black-Scholes, Monte Carlo, GARCH, etc to evaluate the option?

I understand that the actual calculation is Proprietary, just wondering what algorithm you are using.

It seems to me that if it is going to be distributable to a cluster, it is probably Monte Carlo?

nitro

cartm · Jul 29, 2003

Quote from metooxx:

100K plus strikes in real time ...

That is so sweet, all from the bahamas with a T1.........you can never pay too much for good data.

metooxx · Jul 29, 2003

Quote from nitro:

metoo,

Do you use the binomial, Black-Scholes, Monte Carlo, GARCH, etc to evaluate the option?

I understand that the actual calculation is Proprietary, just wondering what algorithm you are using.

It seems to me that if it is going to be distributable to a cluster, it is probably Monte Carlo?

nitro

Modified BS ...