tag:blogger.com,1999:blog-8081587502662049436.post7308072437134641392..comments2023-10-23T10:38:16.748-07:00Comments on Volatility Square: VIX Fair Value ModelRoberthttp://www.blogger.com/profile/02265486123983837708noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-8081587502662049436.post-12840695518872168222010-12-26T05:30:16.761-08:002010-12-26T05:30:16.761-08:00i trade vix futures exclusively. if you could shar...i trade vix futures exclusively. if you could share some fair val modeling i am certain i can add equal insights in return.Anonymoushttps://www.blogger.com/profile/02781223931807816586noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-40297616799989817082010-09-29T05:29:50.019-07:002010-09-29T05:29:50.019-07:00Have you heard about spurious regressionsHave you heard about spurious regressionsPeterhttps://www.blogger.com/profile/14159049476249945639noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-2741229218924785742010-03-30T21:07:44.441-07:002010-03-30T21:07:44.441-07:00Robert,
did you decide to drop this blog? Why? ...Robert,<br /><br />did you decide to drop this blog? Why? I thought you were writing some good things. This VIX model is interesting, I would like to discuss, give me a ring.Unknownhttps://www.blogger.com/profile/11962769052868026353noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-46185784907448235422010-02-24T09:01:26.252-08:002010-02-24T09:01:26.252-08:00Sorry, I meant 6 contracts out. Great blog by the ...Sorry, I meant 6 contracts out. Great blog by the way, very informative and thought provoking.Unknownhttps://www.blogger.com/profile/07467142758682190370noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-59574390449505208932010-02-24T08:40:10.502-08:002010-02-24T08:40:10.502-08:00So it's the VIX futures 6 months out? Great, t...So it's the VIX futures 6 months out? Great, thanks very much!Unknownhttps://www.blogger.com/profile/07467142758682190370noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-42338860818156315152010-02-24T07:54:54.974-08:002010-02-24T07:54:54.974-08:00By near term+6 I meant the 6th expiration. For exa...By near term+6 I meant the 6th expiration. For example, today that would be 12/18/2010. You can find more info about the VIX term structure on CBOE website. Send me an e-mail to volatilitysquare@gmail.com if you want the OAS data.Roberthttps://www.blogger.com/profile/02265486123983837708noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-53302995613974853112010-02-23T12:00:12.111-08:002010-02-23T12:00:12.111-08:00Hey,
Great blog, congratulations!
Where did you g...Hey,<br /><br />Great blog, congratulations!<br />Where did you get your OAS data, is it freely available somewhere?<br />Also, what exactly do you mean by "near-term+6"?<br />Thanks, and apologies if these questions don't make any sense.Unknownhttps://www.blogger.com/profile/07467142758682190370noreply@blogger.com