concept for adjoining (rough) realized index values to the (smooth) interpolated term structure curv

steve42 said:
That's a great point I wouldn't . I haven't got all that part there yet because the models that I have for pricing are for options only (jointly calibrating to SPX and VIX at the same time with the same parameters) they are similar to the future pricing's models but I just haven't got to that stage yet.

I understand you can simulate volatility options like Vicks on single name stocks with synthetics but you have to basically rehedge those constantly to keep them in line do you not and the spreading commissions eat up most of it?
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lol ur weak.
 
steve42 said:
Dude you're just making up a different synonym and I'm not sure what pot committed . But anyway welcome back to my s*** list I recommend you take my advice I'm not the first one we thought you're totally full of s*** and put you on the ignore list immediately
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In before your ignore is broken. Dude, delete this thread.
 
How about just using imp vol to project the next day(s) range?

(Imp vol * sqrt (days/365 * Probability Factor) ) * Price

Probability Factor (i.e. Standard Deviation) is selected by trader depending on market/historical volatility fudging a little if needed.

Is it the greatest, prolly not ... shrugs its all I got.
 
My apologies… I thought you were @steve46. I should have done a quick check of post-history. Doesn’t change the argument but I wouldn’t have come across as such a hard on.
 
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