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

[destriero]

Cubic spline interpolation is inadequate for estimating implied volatility with synthetics due to its disregard for the no-arbitrage condition, which is critical for a model's validity in financial markets.

lol no it is not.

You're modeling the forward here.

Bro, everything I stated here is accurate and remedial. I can't fix you/stupid.

 

[destriero]

It seems there was a misunderstanding. I am aware of the approach of using weekly options to estimate the implied volatility structure, akin to creating a synthetic VIX-like indicator. By utilizing the prices of weekly options, one can derive a snapshot of market expectations of volatility over the short term, potentially without the need for constant rebalancing, thus saving on transaction costs. However, my concern was about ensuring the no-arbitrage condition while employing this method.Using cubic spline interpolation on the implied volatilities derived from these weekly options can indeed provide a smooth curve across different strike prices. Yet, it's crucial that this method adheres to the no-arbitrage condition to prevent any mispricing or incorrect risk assessments. Any methodology that overlooks the no-arbitrage condition could lead to misleading conclusions about the volatility structure, regardless of the data source, be it prices of options or the underlying security.The no-arbitrage condition is fundamental for maintaining a reliable and robust model, ensuring consistency and validity in the financial markets. So, while the approach of using weekly options combined with cubic spline interpolation might offer a way to estimate implied volatility, it's essential to confirm that this method satisfies the no-arbitrage condition to provide a truly accurate representation of the implied volatility structure.

wow, nice moonwalk. You are aware of exactly. shit. And they are arb=.

 

[steve42]

wow, nice moonwalk. You are aware of exactly. shit. And they are arb=.

The term 'moonwalk' refers to backtracking or altering a statement when proven incorrect, not to illogical or nonsensical arguments. In our case, the arguments presented were incoherent and invalid, which doesn't align with the concept of 'moonwalking'. My understanding was consistent, but external factors prevented me from articulating this effectively. Our discussion's focus should remain on the logical coherence and validity of arguments, not on misapplied slang terms

 

[destriero]

Are you drunk?

 

[steve42]

Well I was trying to be diplomatic about it but you childishly chose to " expose' I'm sure you're mind with a screenshot of something that was clearly meant to be deleted for a reasonI meant what I said that was pretty funny no I'm not but clearly your mom was that would explain a lot fetal alcohol syndrome

 

[destriero]

dont you create the interpolated curve from the index values? so those points are already on the curve

Dude doesn't know CBOE quotes the synthetic futures. Steve is so blind, dumb and pot-committed to this hit and run thread.

 

[steve42]

lol no it is not.

You're modeling the forward here.

Bro, everything I stated here is accurate and remedial. I can't fix you/stupid.

The babbling of schizophrenics also makes sense to them. When your communicating with others you have to make sense and that's why I do mathematics and clearly you don't. I'm not asking you to f****** write equations here but formulating technically correct precise statements that are low on word count and high on information ratio would go a long ways towards getting your point across if indeed that was one of your goals. If one of your goals was to spew acronyms in a context where they could mean f****** anything and then few more non-specific garbage and then declare everyone to be an idiot because they can't see into the internals of your autistic brain to see the obvious fact that you just happen to know because for some reason you think people can make sense of your gibberish. Over using dense jargon and technobabble has never f****** helped anything so if you want to restate that s*** in a way that is coherent and makes sense maybe offline put your house back in the seat and pretend you're right in the damn term paper or something and then post something coherent maybe I'll look at it and see wow he was right I didn't know I've had my head up my ass but until then I'm not going to do that because that's not what actually happened

 

[steve42]

Dude doesn't know CBOE quotes the synthetic futures. Steve is so blind, dumb and pot-committed to this hit and run thread.

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

 

[destriero]

Well I was trying to be diplomatic about it but you childishly chose to " expose' I'm sure you're mind with a screenshot of something that was clearly meant to be deleted for a reasonI meant what I said that was pretty funny no I'm not but clearly your mom was that would explain a lot fetal alcohol syndrome

Yessssss, your master plan! You certainly spent some time on it!

 

[destriero]

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

Making up a “different synonym”?

Do tell. Entertain us.