tag:blogger.com,1999:blog-8081587502662049436.comments2023-10-23T10:38:16.748-07:00Volatility SquareRoberthttp://www.blogger.com/profile/02265486123983837708noreply@blogger.comBlogger18125tag:blogger.com,1999:blog-8081587502662049436.post-86120616293003312032012-07-27T17:17:37.679-07:002012-07-27T17:17:37.679-07:00He recreated it, you might be interested in this t...He recreated it, you might be interested in this to see how the XIV behaved in the past:<br /><br /> http://investing.kuchita.com/2012/06/28/xiv-data-and-pricing-model-since-vix-futures-available-2004/Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-10156196176880639582012-02-19T21:31:07.974-08:002012-02-19T21:31:07.974-08:00The REACH Regulation requires that ECHA identifies...The REACH Regulation requires that ECHA identifies from the "Candidate List" priority substances to be included in Annex XIV of REACH (the "Authorisation List") and recommends Annex XIV entries (i.e. transitional arrangements and, where relevant, exemptions and review periods) for these substances to the European Commission, taking into account the opinion of the Member State Committee. The European Commission finally decides, by "comitology" procedure (with scrutiny), which substances will be included in Annex XIV and with which entries.sell structured settlementhttp://settlement-cash-structured-for-flow.com/noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-90347846122079194322012-02-18T01:56:36.350-08:002012-02-18T01:56:36.350-08:00Indian markets snapped a three-day winning streak ...Indian markets snapped a three-day winning streak and closed on negative note yesterday as weak global markets with another delay in sealing a crucial bailout for Greece weighed on markets sentiment. Worries over a bailout for Greece prevailed after the eurozone leaders reportedly postponed the decision on granting Greece a second bailout despite repeated assurances from Greek leaders on budget reforms. However, the markets pared some of its initial losses, which enabled the BSE Sensex and the NSE Nifty to close above the key levels of 18,000 and 5,500, respectively. The downward movement was led by selling pressure in metal, oil & gas, consumer durables and FMCG stocks while buying activities in real estate, power, capital goods and IT stocks help the markets to pare some of its initial losses.sell structured settlementhttp://settlement-cash-structured-for-flow.com/noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-28732650698050755332012-02-08T03:03:41.402-08:002012-02-08T03:03:41.402-08:00Hi, I came across your site and wasn’t able to get...Hi, I came across your site and wasn’t able to get an email address to contact you. Would you please consider adding a link to my website on your page. Please email me back. <br /> <br />Thanks!<br /><br />Harry<br />harry.roger10@gmail.comRHhttps://www.blogger.com/profile/03266836864567938421noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-78150792549824033532011-09-21T07:19:22.432-07:002011-09-21T07:19:22.432-07:00Welcome back Robert, glad to see you're postin...Welcome back Robert, glad to see you're posting again and sharing your knowledge.onlyvix.blogspot.comhttps://www.blogger.com/profile/13947069891082111297noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-35723661389838187362011-05-31T16:35:12.556-07:002011-05-31T16:35:12.556-07:00Good example of the effects of the implied volatil...Good example of the effects of the <a href="http://www.impliedvolatility.com" rel="nofollow">implied volatility</a> surface. The implications for this are that ratio calendarized put spreads can be developed that have natural edge. To find them however requires a dynamic model including underlying price, volatility skew, implied volatility and time. A fun and potentially rewarding challenge for option traders with a quantitative bent (is there any other type?).Vol Trackerhttp://www.impliedvolatility.com.au/noreply@blogger.comtag: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-8610774512018092812010-04-18T12:35:40.256-07:002010-04-18T12:35:40.256-07:00A friend of mine asked me to help him with hedging...A friend of mine asked me to help him with hedging strategies.<br /><br />He's hot $2 miliion portfolio invested as follows:<br /><br />50% fixed income and cash - $1 million<br />50% stock equities - $1 million<br /><br /><br />I suggested that he shoul buy out of the money ^VIX calls.<br /><br />What he's not sure is:<br /><br />1) how far out of the money should he be buying (strike prices)<br />2) how many call contracts should buy to protect $1 million worth of the stocks he holds<br />3)should he be buying 1 month calls, 3 months calls, 6 months calls? What are the cheapest expiration dates?<br /><br />If you have experience, please post. You help is much appreciated.Anonymousnoreply@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-23582325119206631282010-03-06T09:05:22.554-08:002010-03-06T09:05:22.554-08:00Hi Robert, My impression is that the CBOE based th...Hi Robert, My impression is that the CBOE based the VIX options on the anticipated value at expiration because VIX futures were the only viable underlying for the option market makers to use. If there was a way for market makers to offer vix options that tracked the current value of the VIX I think somebody would be all over it--given the success of the seriously lagging VXX and current VIX option choices. Comments?VanceH-http://sixfigureinvesting.com/blog/noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-5023456458593261552010-03-01T18:44:22.849-08:002010-03-01T18:44:22.849-08:00February 8 was the highest point for the VIX this ...February 8 was the highest point for the VIX this year. Since then the VIX is falling, partly due to the ease in the Greek debt crisis.Roberthttps://www.blogger.com/profile/02265486123983837708noreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-69332019649768760452010-02-28T14:00:48.657-08:002010-02-28T14:00:48.657-08:00Hi Robert,
What is the importance of the date Feb...Hi Robert,<br /><br />What is the importance of the date Feb 8?Franknoreply@blogger.comtag:blogger.com,1999:blog-8081587502662049436.post-24324397351123130502010-02-26T10:08:08.866-08:002010-02-26T10:08:08.866-08:00With respect to gold, check out the past few times...With respect to gold, check out the past few times GVZ (GLD vol) has spiked up-- it would coincide with a spike in GLD price. This most recent spike, however, was the opposite.steveplacehttps://www.blogger.com/profile/15382824671491849308noreply@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