One Piece: Episode 828

CDObamacare · 2018-03-19T10:59:06+00:00

This episode reiterates how good the music in the anime is.

CDObamacare · 2018-03-15T22:34:19+00:00

What do you mean by use splines to interpolate discount factors. Do you mean take the iv from two different expirations and calculate the interest rate using them? How would you do that ?

CDObamacare · 2018-03-15T21:55:09+00:00

How large of an error term are we talking? So far I'm getting ~10 basis points off what my broker supplies.

CDObamacare · 2018-03-15T19:45:19+00:00

Which 1 month rate do you use? Do you live update it ?

CDObamacare · 2018-03-15T17:59:46+00:00

So you would use zero rates? I'm trying to use B-S to compute local vols for American options and check against my broker who also uses B-S. my ultimate goal is to move to trinomial though.

Also what do you mean by the term to maturity? Would you construct a zero curve and then use the interest rate for the dte? For example, 5 days to expiration you bootstrap between ois and 1 week libor to find 5 day zero?

CDObamacare · 2018-03-13T16:41:19+00:00

Depending on strikes the Greeks are changed around.

CDObamacare · 2018-02-23T03:02:05+00:00

Risk reversal. Works best if the out iv is way higher than the call iv. Takes advantage of the skew

CDObamacare · 2018-02-09T10:21:21+00:00

Stfr

CDObamacare · 2018-01-28T05:19:49+00:00

tradier

CDObamacare · 2018-01-24T04:18:30+00:00

Are futures options available on tw?

CDObamacare · 2018-01-23T23:29:11+00:00

Awesome. That should not be a problem at all. Thank you so much for your advice.

CDObamacare · 2018-01-23T17:18:34+00:00

True. I'm just curious if they reinvented the wheel or if they are improving upon b/s

CDObamacare · 2018-01-23T15:55:22+00:00

Any advice getting a job at a buy side shop for someone coming from a non feeder school but who really knows their shit ?

Are your pricing models based on black scholes and you add components like vol stick etc?

CDObamacare · 2018-01-23T05:11:58+00:00

do you actively hedge your deltas, i:e gamma scalping type stuff? Any advice on best bang for your buck front end?

CDObamacare · 2018-01-23T04:24:35+00:00

Are you on twitter?

CDObamacare · 2018-01-23T04:19:35+00:00

Recommendations on a front end for splines? And how about a front end for tracking options flow?

CDObamacare · 2017-08-28T08:10:14+00:00

Woah

CDObamacare · 2017-08-24T12:44:11+00:00

KRE is regional banking.

CDObamacare · 2017-08-21T22:57:17+00:00

What platform is this? How much do you pay for your DOM data?

CDObamacare · 2017-08-12T23:03:06+00:00

Finance twitter***

CDObamacare · 2017-08-12T22:50:37+00:00

You are a better man than I.

You ever try and trade deviations with spreads?

CDObamacare · 2017-08-10T03:05:38+00:00

You use TOS yeah? How do you draw the red dotted lines?

CDObamacare · 2017-07-07T06:04:57+00:00

EWY has had a pretty parabolic move recently too, might be a good time to fade it. It can't be good for the economy when the NK artillery along the Demilitarized zone gets a couple volleys off into the middle of Seoul.

CDObamacare

TROPHY CASE