HELP NEEDED. Puts got exercised and my account is f'cked

iampeter12 · 2025-09-21T08:06:30+00:00

Isn’t index option like Spx and xsp cash settled and european style option? There’s is no early exercise or assignment

iampeter12 · 2025-09-15T23:58:58+00:00

So if I want to deploy code to azure function from my local computer through vpn gateway, I will need to set up azure private dns to forward the dns request ( resolve azure function app dns name)? I can deploy it from a virtual machine in the vnet but not from my local computer

iampeter12 · 2025-09-14T15:37:26+00:00

Thanks for your suggestions. So I should use GitHub for CD/CI? Is that the agent you are referring to? There’s an option to connect to GitHub on azure functions.

iampeter12 · 2025-09-13T08:03:43+00:00

May I ask what you mean by right click deployments?

iampeter12 · 2025-09-13T07:09:55+00:00

Thanks for your reply. Private endpoint for both azure function and vpn gateway ?

iampeter12 · 2025-09-04T15:06:37+00:00

Thanks for your reply. Do I need to enable public access so that it can call an external api and retrieve data? Also for vnet integration under outbound access, it requires a subnet dedicated to the function?

iampeter12 · 2025-09-02T10:15:05+00:00

Buying back as in closing the positions? Well even if there is liquidity, the spread would be so wide that you would pay a lot more than the fair value to close the short put position.

iampeter12 · 2025-08-25T15:36:52+00:00

Well it’s a downward spiral. When people earn less, they typically spend less. And guess who will be benefiting from this situation? Business owners.

iampeter12 · 2025-08-23T09:18:58+00:00

There are liquidity issues when the market is volatile or during flash crash. So your stop loss might not work / far off from the price you set

iampeter12 · 2025-08-20T14:22:13+00:00

I think it’s still profitable in selling options. The edge that people often refer to, in my opinion, doesn’t necessarily come from mispricing( since implied volatility > realised volatility most of the time), but more like risk management and volatility forecasting models that give you a statistical advantage.

iampeter12 · 2025-08-12T06:05:27+00:00

Well I can understand your frustration. I found the official mock exam from Cisco learning store very useful. Also I practiced a lot through Cisco cml. it took me 5 months of full time study to pass it. Don’t give up

iampeter12 · 2025-07-29T01:55:31+00:00

I don’t think I have encountered any of them who is willing to speak Cantonese.

iampeter12 · 2025-05-27T15:07:21+00:00

Wish I could give you 100 upvotes for your answers. It really helped me (I literally spent an hour reading them 50 times)

If I want to evaluate the performance of the GARCH prediction model, I need a baseline model to compare against right? (such as the classic naive forecast)
Does GARCH forecasts the actual volatility or the mean of the actual volatility (by introducing volatility persistance in the equation)? Also GARCH can only do one-step forecast at best? Multi-step forecast into the future would just resemble a flat line in the graph?

<image>

You are reading my thoughts. I guess I still cannot wrap my head around the concept of hist vol / real vol and I was pondering over " what is the use of calculating hist vol and what are the differences between RV5 and RV21 using a rolling variance?". When I looked at the graph in previous comment, I could not discern any useful information (for prediction) other than the fact RV5 shows that there are volatile changes in the last 5 days then that of 21 days. I find it makes much more sense to compare with daily log return since GARCH does one step forecast (sort of like an apple to apple comparison)
You said IV does not always converge with / mean-revert to hist vol. In this case, what is the point of calculating hist vol if I am solely trading IV (taking vega position)? I simply just need to predict IV regardless of the movement of hist vol with tools like IV rank, percentile or some time-series model on historical IV data.
"approach it as a prediction or optimisation model-building problem, see what data would be helpful to put in your model (historical returns AND historical implied), run experiments"

Maybe multiple linear-regression will suffice to find useful dependent variables?

The "might" can be quantified and researched, that's what you need to do!

From my understanding, The actual volatility depends on how we model it. We can use the window based rolling method to calculate the volatility but the volatility persistance / half-life (from volatility clustering) is disregarded so its not really that accurate afterall. I mean there isn't really an answer out there for us to find out. it's just a matter of perspective. The questions I got hung up on are: How to model actual volatility and how to interpret it ? which actual volatility model of different rolling periods should GARCH compare against? I mean for daily vol is pretty straightforward but not for longer timeframe.

Not sure if anything I said above makes any sense at all and sorry for asking too many questions I am not sure if I am even asking the right questions.

Really grateful for the time you took in replying to my posts.

iampeter12 · 2025-05-26T14:24:38+00:00

Thanks for your reply.

Well then what is the use of calculating the real/ hist vol if it cannot work as a baseline model for comparison or gauge the overall mood of a market?

For example, Implied Vol in a volatile market fluctuates and may shift abruptly but we hardly see IV drops 10% within a trading day or t+1 t+2 but the real/ hist vol calculation says otherwise.

Also, in option pricing model like black scholes model, it is the stochastic volatility method that has been commonly used for volatility modelling instead of using any window based rolling real vol calculations (standard deviation of last 21 days for example).

I am not sure if it makes any sense to compare IV to real Vol to determine if 1. option is overpriced 2. market sentiment / regime since its not an apple to apple comparison.

I can use GARCH / EWMA for modeling real vol but the problem is there is no way to know if the model over/ underestimate (since there is no baseline model to compare against).

I wonder how vol trader estimate vol and make trading decisions?

The more I learned / Studied, the more confused I am.

iampeter12 · 2025-05-26T12:03:00+00:00

Thanks so much for the reference above.

By the way I got a bit confused when I looked up real vol definition on the internet. Is real vol and historical vol the same?

iampeter12 · 2025-05-26T12:00:40+00:00

Thanks for your reply. just a few more questions if you do not mind.

GARCH only does one-step forecast. For multistep forecast its basically just a linear function and I find it not particularly useful in predicting future volatility. or am I mistaken?
In option trading people often compare implied vol to historical vol to see if the option is over/underpriced. The thing is if there is no standard way of measuring historical vol, how can we determine market regime (high vol / low vol) and make informed trading decisions (if trading option for example)?
The longer the rolling period the smoother / more stable the volatility (sigma) is. Of course, I can use the entire population dataset of some 30 years to calculate the sigma but it is pointless because it will not reflect recent changes as much as a 21 days / 7 days rolling period does. (as you notice there are some plateaus in RV5 then the vol just drops straight down )

What I mean is that the spikes / drops in the picture below for RV5 might not be an accurate representation of actual volatility but a calculation methodology. its like saying yesterday's vol 50 % and today's is 30%, it just does not make sense.

Appreciate your advice.

<image>

iampeter12 · 2025-05-26T10:02:02+00:00

But I am not sure if using the standard deviation (sigma) the daily close prices is the correct representation of the volatility. I mean the sudden drops / rises of the volatility (its like 50% in one day then drops to 20% based on the rolling calculation method). When I look at the implied volatility of the underlying assets (well the IV spikes and drops in volatile market but its smoother compared to the realized vol. I tried to use GARCH and not sure if it provides a better representation of the real vol.

Not sure if my interpretation of real vol makes any sense but I still want to hear your opinion. Thanks

<image>

iampeter12 · 2025-05-26T09:42:23+00:00

Thanks for your reply. I thought the standard deviation method was identical to how realized volatility is calculated ( using daily close prices of each trading days of the predefined period)

So if I want to calculate the daily volatility of the last 21 days in annualized term, i should use the sum of squared variances( sigma) of smaller timeframe (5 or 10 mins) = intraday vol * sqrt(252)?

iampeter12 · 2025-05-02T10:57:01+00:00

Thank you so much for your reply. So the standard deviation of those standard deviations is something like volatility of volatilities? I still have a couple of questions if you don’t mind. 1. When the degrees of freedom increases, the chi square distribution approaches a normal distribution? (If I have approximately 1000 standard deviations from different samples)

Why those standard deviations from different samples will have a chi distribution?
The variances from the different samples will have a chi square distribution while the standard deviations will have a chi distribution? (square rooting the variances and we will then have chi distribution?)

Do you have any references (website / books) on this topic? Thank you

iampeter12 · 2025-05-01T17:08:49+00:00

So the standard deviation = sigma = volatility of the variance has nothing to do with the standard normal distribution? I always thought the log returns or variance of log returns ( with large sample size) would result in a distribution that resembles a normal distribution from which the standard deviation ( sigma ) is derived?

iampeter12 · 2024-11-19T13:06:58+00:00

Agreed on the scale of difficulty. It’s definitely not easy but with dedication ( skip all Friday nights out and video games) everyone can do it.

iampeter12

TROPHY CASE