The FairPut Initiative

thecoder

thecoder

The FairPut Initiative

This journal is more a blog about my attempt to develop a new just option pricing model
that shall give the same payoff for both CALL and PUT at same z distance from K.

I tried this first for the Black-Scholes-Merton (BSM) model. I even succeeded in finding
a method, but in the end it unexpectedly was causing arbitrage, though it shouldn't
b/c IMO the math was solid.
So, I concluded that it didn't work b/c the BSM model must be wrong!

So, here I am again with a new challenge for myself: fix that damn BSM first,
then everything else will fit naturally, as this is maths, pure maths, no voodoo science.

Some crypto just for the record (its meaning will be revealed sometime later):
11.791142218895, not 11.923538474048
More...

Help and constructive criticism welcome.
Spammers and other idiots of course not welcome and will be reported to keep this journal on-topic and clean.

Ok, let's start this new adventure to finally dethrone this buggy BSM ! :)
 
Cognitive dissonance. The DumbPut initiative.

Your silly puts are listed or you're just dumb enough to offer them OTC. How? Doesn't matter.

SPX 25D 1M RR is trading 10 points puts over calls and you are offering 25D puts and 75D calls at $-parity to the 25D calls. You'd be sitting on a $5 loss per contract on as many as you could handle.

Which model is brkn? The model resulting in arb-gains or the model which caused your destruction? In reality no model is needed. Your dumb shit being too cheap. It's arithmetic.

Just stop, dude. You're embarrassing yourself.
 
@destriero you idiot, just read the initial posting here carefully about what this new attempt is about at all.
It's about finding a new option pricing model.
So, your above example is meaningless, since it's based on this buggy BSM model currently in use in the industry.
1 million flies can't be wrong! Yes, they can! :)
 
thecoder said:
...

Ok, let's start this new adventure to finally dethrone this buggy BSM ! :)
More...

I've mentioned it before...Yer trying to re-invent a wheel. The entire world uses the "BSM" model, right? Why not just learn how to trade options in the BSM way, rather than try to invent something new that only you can understand, so that you finally make money?

And insulting ET users like dest will not get you anywhere.

 
Overnight said:
I've mentioned it before...Yer trying to re-invent a wheel. The entire world uses the "BSM" model, right? Why not just learn how to trade options in the BSM way, rather than try to invent something new that only you can understand, so that you finally make money?
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Maybe you can't understand it, but it's not about making money, it's rather
about having a fair and just option pricing model, which this buggy BSM surely isn't!
And insulting ET users like dest will not get you anywhere.
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That idiot did insult me first, just read his usual crap type of postings.
 
thecoder said:
Maybe you can't understand it, but it's not about making money...
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I finally disbelieve you now.

Are you trying to tell me you are being altruistic with all this work you are doing to create an entirely new option-pricing model? You are doing it for "the children", and not to make money?

What a load of crap! Mother Teresa in our midst!
 
thecoder said:
@destriero you idiot, just read the initial posting here carefully about what this new attempt is about at all.
It's about finding a new option pricing model.
So, your above example is meaningless, since it's based on this buggy BSM model currently in use in the industry.
1 million flies can't be wrong! Yes, they can! :)
More...


Your put would be arbitraged out of existence. "Buggy"? The value of any pricing model is in the value of strikes across the smile. Relative value. Frictionless hedging... meaningless. As stated; you're one of those 12-step moron comp-sci D-students that discovered vola on WSB.

Stick to the kiddie pool.
 
thecoder said:
@Overnight, yes, YES, and YES!
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Dest gave you your response there. He gave you the equivalent of a rock lobster.


If you want to work on something truly worthy, how about a continuous future contract that could be actually traded? That would be worthy. For an equity index with only 3 listed months it seems simple. AVG settlement price of all 3 each day, performance bond inclusive, dividend calcs, etc.

Work on that. You'd have more champions for it.
 
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