Derman

[sna]

A FEW QUESTIONS ABT OPTION VOLATILITY

1) WHATS THE USE OF LOCAL VOLATILITY? THE COMPUTE PROCESS REQUIRES IV WHICH DERIVED FROM BS PRICE BUT IF U CAN DERIVE IV FROM BS U HAVE THE SKEW SO WHY BOTH WITH LOCAL VOLATILITY?

2) LOCAL VOLATILITY VARIES WITH MKT PRICE AND DTE BUT NOT TRUE COS THE PROCESS REQUIRE IV FROM BS SO HOW CAN LOCAL VOLATILITY PROVIDE REMEDY FOR SKEW?

 

[Robert Morse]

When you say ABT is that a stock symbol or an Acronym?

Why all caps?

What are you referring to when you say local volatility?

What is DERMAN?

I not following your question(s).

 

[andrew black]

A FEW QUESTIONS ABT OPTION VOLATILITY

1) WHATS THE USE OF LOCAL VOLATILITY? THE COMPUTE PROCESS REQUIRES IV WHICH DERIVED FROM BS PRICE BUT IF U CAN DERIVE IV FROM BS U HAVE THE SKEW SO WHY BOTH WITH LOCAL VOLATILITY?

2) LOCAL VOLATILITY VARIES WITH MKT PRICE AND DTE BUT NOT TRUE COS THE PROCESS REQUIRE IV FROM BS SO HOW CAN LOCAL VOLATILITY PROVIDE REMEDY FOR SKEW?

Why are you yelling?

 

[nooby_mcnoob]

A FEW QUESTIONS ABT OPTION VOLATILITY

1) WHATS THE USE OF LOCAL VOLATILITY? THE COMPUTE PROCESS REQUIRES IV WHICH DERIVED FROM BS PRICE BUT IF U CAN DERIVE IV FROM BS U HAVE THE SKEW SO WHY BOTH WITH LOCAL VOLATILITY?

2) LOCAL VOLATILITY VARIES WITH MKT PRICE AND DTE BUT NOT TRUE COS THE PROCESS REQUIRE IV FROM BS SO HOW CAN LOCAL VOLATILITY PROVIDE REMEDY FOR SKEW?

BECAUSE IF BS WAS CORRECT YOU WOULD HAVE IV BEING A STRAIGHT LINE BUT YOU DON'T YOU HAVE A SKEW.

 

[sna]

DONT AGREE THE SKEW MAY DERIVE FROM BS WITH USE OF OPTION VALUE

ANYONE WAN TO DISCUSS WHATS THE USE OF LOCAL VOLATILITY FOR A TRADER? WHY COMPUTE LOCAL VOLATILITY WHEN U CAN GET IV FROM BS?

 

[nooby_mcnoob]

DONT AGREE THE SKEW MAY DERIVE FROM BS WITH USE OF OPTION VALUE

ANYONE WAN TO DISCUSS WHATS THE USE OF LOCAL VOLATILITY FOR A TRADER? WHY COMPUTE LOCAL VOLATILITY WHEN U CAN GET IV FROM BS?

CAN YOU CALIBRATE BS WITH MARKET DATA BECAUSE OF SKEW?

 

[deltastrike]

DONT AGREE THE SKEW MAY DERIVE FROM BS WITH USE OF OPTION VALUE

ANYONE WAN TO DISCUSS WHATS THE USE OF LOCAL VOLATILITY FOR A TRADER? WHY COMPUTE LOCAL VOLATILITY WHEN U CAN GET IV FROM BS?

Please turn off your caps lock so I can attempt to take you seriously.

 

[sna]

IF U WAN SKEW U CAN GET FROM BS

BUT THIS THREAD IS ABT THE USE OF LOCAL VOLATILITY NOT BS NOR THE SKEW

 

[guru]

If you cannot communicate professionally without yelling at other people then you’ll never succeed at anything. Trading requires professionalism and attention to detail. And so does require communication. And so does require basic etiquette. You don’t walk into a room and start screaming like an idiot.

 

[nooby_mcnoob]

IF U WAN SKEW U CAN GET FROM BS

BUT THIS THREAD IS ABT THE USE OF LOCAL VOLATILITY NOT BS NOR THE SKEW

BUT CAN YOU ACCURATELY CALIBRATE A SINGLE SET OF BS PARAMETERS WITH MARKET DATA? I DON'T BELIEVE SO.