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

[steve42]

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?

So I guess the main point is is that the options don't necessarily tell you directly the expectation only that of the implied volatility whereas the futures do represent the expectation

 

[steve42]

So I guess the main point is is that the options don't necessarily tell you directly the expectation only that of the implied volatility whereas the futures do represent the expectation

I'm trying to set up a nice framework to visualize this thing because I want to extend the volatility models for a curve for the evolution of the forward term structure itself and it's known to very much more sharply during the short durations than long most of the models I've seen in this area are neural net or black box based and I really don't like the kind of thing I was hoping to find something a little more foundational with regards to the mathematics on that

 

[destriero]

 

[destriero]

So I guess the main point is is that the options don't necessarily tell you directly the expectation only that of the implied volatility whereas the futures do represent the expectation

lol wut?

There is no vol in the synthetic. It's Delta1. Quote the mid during market hours and use whatever interpolation you like.

You know what a synthetic is, right?

 

[steve42]

lol wut?

There is no vol in the synthetic. It's Delta1. Quote the mid during market hours and use whatever interpolation you like.

You know what a synthetic is, right?

No dude that's the point we're missing you can't just use whatever interpretation you like every single my new thing affects something it's just different styles I don't especially if you're wrding a computer program to do things you have to be very precise you can't just willy-nilly say oh I'll pick that side this side this method of dividing whatever

No I can't go back and edit my typing I f****** hate typing on the phone

 

[steve42]

lol wut?

There is no vol in the synthetic. It's Delta1. Quote the mid during market hours and use whatever interpolation you like.

You know what a synthetic is, right?

Well being that it's vaguely specified jargon I assume that were talking about a synthetic option that pays on the at the money and whose value is linked to volatility variation and it's supposed to be insensitive to the price variation

 

[destriero]

Well being that it's vaguely specified jargon I assume that were talking about a synthetic option that pays on the at the money and whose value is linked to volatility variation and it's supposed to be insensitive to the price variation

No, I am talking about the weekly forward as represented by the long synthetic in the weekly series. Long 15C, short 15P = long futures at n-date. You're going to run some interpolation method on the monthly series when the weekly forward is_right_there?

Go back to those white papers and look for the VIX 099 section where they tell you to calc the synthetics on the weeklies. 4 data points per month... in real time... and executable to boot.

 

[destriero]

No dude that's the point we're missing you can't just use whatever interpretation you like every single my new thing affects something it's just different styles I don't especially if you're wrding a computer program to do things you have to be very precise you can't just willy-nilly say oh I'll pick that side this side this method of dividing whatever

No I can't go back and edit my typing I f****** hate typing on the phone

lol I can edit on my phone. I can see where this is leading.

You're not getting this.

 

[steve42]

lol I can edit on my phone. I can see where this is leading.

You're not getting this.

Well because you're kind of an idiot and get off on random noise so I don't really do things I don't like and don't care enough to so it really has nothing to do with my capabilities but I get your point but yeah what if the underlying moves you got to move those f****** synthetics right and then that cost that's my point I am getting it you're just not getting that I get it

 

[steve42]

You've always been obsessed with synthetics I understand you made great money with them that's fantastic and all that but I have yet to find a use for them so I don't care that much. You and I have different goals we are not the same