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 w******g发帖数: 271 1来自主题: Quant版 - implied volA very practical problem: Our system gets options prices from Reuters every day. Then we calculate the implied vol using the options price. If the option is liquidly traded, then the option’s price is updated and the implied vol is correct. Actually sometimes options are not liquidly traded, so sometimes Reuters give us options prices that were traded say 1 month ago. And our system was still using that price to get the implied vol. Because the ‘price’ of the option didn’t go down in the past mo... 阅读全帖
 p********0发帖数: 186 2Based on BS formula, we can deduct implied volatilty. The implied volality is not constant, based on strike-price/time expiration date, which construct a volatililty smile. Then we can construct a binomial tree to fit the smile, and forecast stock price/with a distribution. Is it realistic to control the portfolio risk by minimize the implied volatility? Is implied volatility more accurate than historical volatility?
 d*******n发帖数: 524 3Not sure what you meant by "to control the portfolio risk by minimize the implied volatility". But in general, to estimate/understand/manage risk it's better to use historical volatility, which is real-world vol, rather than implied volatility, which is vol in risk-neutral prob space. There is no such thing as one vol is more accurate than the other among hist and implied vols. Implied vol is the collective opinion/guess of the option traders on the volatility of the underlier. Whereas historica
 p********0发帖数: 186 4I heard the contrary to "Historical volatility is better than implied". A prominent prof mentioned in his class said he tried GARCH/ARCH/ARMA everything, but turn out to use the implied volatility which is more accurate than the historical one. Assume Implied volatioity is 100 percent accurate, than by minimize the implied volatility for a portfolio means the future volatility is minized. In case error is big(predication power is weak) then minimize doesnot mean anything useful.
 a****e发帖数: 1560 5http://www.foxnews.com/politics/2016/08/10/assange-implies-murdered-dnc-staffer-was-wikileaks-source.html Assange implies murdered DNC staffer was WikiLeaks' source Published August 10, 2016 FoxNews.com WikiLeaks founder Julian Assange implied in an interview that a murdered Democratic National Committee staffer was the source of a trove of damaging emails the rogue website posted just days before the party's convention. Speaking to Dutch television program Nieuswsuur Tuesday after earlier annou... 阅读全帖
 B*********h发帖数: 800 6☆─────────────────────────────────────☆ jjwwjj (jjwwjj) 于 (Wed Feb 28 18:10:56 2007) 提到: I used GGR and HIVG in Bloomberg, and found out that its implied vols were actually for the yield rates not for the bond prices. I would like to search for and get to know whether Bloomberg has option implied vols for US treasuries (say 2-years or 10-years) going back into the early nineties? I have also located the 2-yr bond's future using TUH7 COMDTY HIVG GO, it shows an implied vol curve, but I am no
 b***k发帖数: 2673 7来自主题: Quant版 - [合集] 弱问implied volatility☆─────────────────────────────────────☆ xiaoxiaoxi (小小溪) 于 (Thu Aug 20 19:45:44 2009, 美东) 提到: 说BS模型中volatility不应该是常数，但是historical volatility又不准确，所以用 implied volatility，由市场上option的价格反推出来， 问题是市场上option的价格是怎么得到的？不是根据BS model吗？那算这个价格的 volatility又是怎么得到的？ THANKS ☆─────────────────────────────────────☆ Taikonaut (遨游太空) 于 (Thu Aug 20 19:59:39 2009, 美东) 提到: 到底是先有鸡，还是先有蛋呢？ hoho 既然叫*implied* vol...当然是先有price...在算implied vol啦 ☆─────────────────────────────────────☆ Andreas (绿坝坍塌～庶民的胜利！) 于 (Th
 b***k发帖数: 2673 8来自主题: Quant版 - [合集] 关于implied volatility和historical volatility☆─────────────────────────────────────☆ xiaoxiaoxi (小小溪) 于 (Fri Aug 21 12:40:48 2009, 美东) 提到: 说historical volatility不可靠，因为由此得到的option price跟市场价格不符，所以要用市场价格来反推volatility，称之为implied volatility。 问题是统计上来讲，显然是historical volatility更可靠，所以市场价格不是no-arbitrage的，为什么还要用implied volatility而不是市场价格参考historical volatility? 这样一来，就陷入了一个＂恶性循环＂，，要算option的价格，要先根据trader的价格得到implied volatility，然后利用stochastic volatility model或者其他model得到option的价格。这样又回到了我原来的问题，trader的价格是怎么得到的？似乎他们不能用BS Model，因为因为 del的结果依赖于他们的价格。。。 所以所
 j********t发帖数: 97 9来自主题: Quant版 - 请教一个老题implied vol和strikeAgree with you. Implied smile/ implied skew is empirical result. It doesn't seem to be very rigorous and simle/skew/frown may behave differently to different derivatives. It sound good to calculate BS price from implied vol and verify convexity. Thanks. just
 z***e发帖数: 5600 10来自主题: Quant版 - Implied Volatility from BSThe original poster was wondering why implied vol from call and put (of same strike) did not match, which violates put-call parity. I believe he did not capture the dividends effects so his implied vol calculation was not accurate. If you use half OTM calls half puts, they won't have the same strike, and the implied vols should not be the same theorectically due to the skew effect.
 l********a发帖数: 126 11Option is of course not all about vol. Implying forward from European options is possible because a put-call pair ( with the same strike) can replicate a forward. So in that case forward is easily implied by option prices. I was wondering if there is a similar thing for American options. But it seems like the answer is NO. The best thing you can do with American options in this regard is to make something like "Amrican Forward", i.e. the contract to buy the underlyer at the strike at ANY time be... 阅读全帖
 c*******e发帖数: 150 12来自主题: Quant版 - 有没有什么方法能把historical vol跟implied vol结合起来yep, agree. for options traders, implied vol sometimes is said to be " forward-looking", whereas historical vol, no matter how fancy your econometric method is, is always "backward-looking". For an easy example, suppose there is this low-beta company whose realized volatility has been hovering in the low 20s for about 2 months. but its annual earnings announcement is in 2 days. the implied vol (especially for super-short tenors) will and should take such scheduled events into account. on the ot... 阅读全帖
 q*****l发帖数: 124 13来自主题: Quant版 - 战五渣再问个implied volatility的问题嘛，可能之前表述的不清楚。。其实我的目的是求出heston model的implied volatility，其中需要用到standard BS price formula。所以我的问题是既然heston 跟standard BS两个模型是inconsistent的，为什么可以用standard BS来求出implied vol？如要何解释求出来的Heston implied vol？
 g****o发帖数: 13 14来自主题: Quant版 - Implied Risk Neutral Density最近在读volatility surface 现学现卖一下吧 不对请拍砖 market quotes implied vols 先smooth implied vol surface 可以用SVI或者简单的cubic spline 你得把call price的second derivative转化成implied vol的second derivative 具体的过程可以类比Jim Gatheral的那本书
 i********c发帖数: 7033 15来自主题: Quant版 - 包子问 implied vola surface问题 已经由BS模型求出一系列implied volatility 的离散点（比如newton法求得），希 望拟合出整个implied vola 曲面，有哪些方法？各有些啥优劣，及检验标准如何。 另外，基于这个得到的implied volatility surface，可以制定什么option组合， 或者交易策略？ 现在写一个报告，缺乏金融背景，看得不甚明白。希望懂的人指点一二啊。。。或 者推荐看一些文章和文献也好。谢谢了。
 W********m发帖数: 7793 16来自主题: TexasHoldem版 - play with odds or implied oddssome more discussion here: I saw thirtystand and patrickcp both called 3 bets on button with 9 10 and such and got paid off. It gets me to think whether it is good to play with odds or implied odds. Which one has more swings. Because i tend to be on the losing end of that in general that falls for implied odds The guy 3 beted patrickcp had air, it is not very illustrative, so let us assume that guy did have an over pair and you hit a middle pair on the flop and he cbets 2/3-3/4 pot bets, and yo
 J*****n发帖数: 4859 17来自主题: Quant版 - 如何查到implied vol？ 看过的论文印象中，外汇的期权多以strangle,straddle出现，报价也是直接报implied vol。（没做过，不确定） 如果你需要单独的implied vol，可以去cme看看他们的期货期权的报价，然后反推。 不过6年的外汇期权还没有听说过，一年以上的liquidity就很差了。需要构建vol surface了。
 i********y发帖数: 346 18来自主题: Quant版 - implied Volatility and Lognormal VolMy understanding is that the implied vol depends on the market strike price distribution and the relationship between them can be shown following some models such as BS. If the market spot price distribution happened to be the same as Lognormal, then implied vol would not depend on strike price.
 b*******a发帖数: 12 19Does anybody have codes for inverting implied vol from American Options? I am particularly interested in invering implied vol from Barone-Adesi and Whaley(1987) formula, but others are ok. Could you please send me a copy of codes or suggest me some links? Thanks. My email is p***[email protected]
 s********7发帖数: 52 20来自主题: Quant版 - 请教关于realized vol 和 implied vol的问题当然不是保证赚钱 但是不是因为expected vol的问题。 你用option赌vol的最大特点是path dependent. 每2次delta hedge之间的PnL是0.5*\$Gamma*(vol_realized^2-vol_imp^2)*T 如果某段t时刻，在你2次rebalance之间，realized比implied小，而此时刚好你的\$ gamma又很大。而其他时刻虽然你realized比implied大，但是\$gamma小，那么你到 maturity一算总的还是亏钱。 想消除这种path dependent的办法是用variance swap。这个比用option的好处就是和 股价无关。换而言之，不管是股价冲天还是股价暴跌，variance的\$gamma都是constant 。实际上去年lehman破产，很多银行prop desk都long variance swap而不是去long option来赌vol increase,就是这个道理。 hope it helps
 z*******c发帖数: 12 21来自主题: Quant版 - 请教关于realized vol 和 implied vol的问题谢谢。 那么在用variance swap来trade的时候，结果是否赚钱就是看最后realized vol是接近 于expected还是market implied,如果确实高于implied as expected，就赚钱，反之， 就亏钱。 这么理解对么？ constant
 b********1发帖数: 114 22来自主题: Quant版 - 请教关于realized vol 和 implied vol的问题realized vol is historical vol,so it is past data. implied vol is vol implied by option price. it is future vol. Let's take an example of stock price. it is like stock price is average \$20, now it is \$18. so u think it could go to \$20, maybe, maybe not.
 l********a发帖数: 126 23来自主题: Quant版 - 有没有什么方法能把historical vol跟implied vol结合起来为什么是implied vol是prior，而不是hist vol？ 我觉得反过来似乎更make sense一点啊，hist是prior，implied vols作为当前的 observation。 )
 q*****l发帖数: 124 24来自主题: Quant版 - 战五渣再问个implied volatility的问题一般来说我们是用market option price calibrate出stochastice volatility model 的parameters（比如Heston），带入closed-from pricing formula算出SV model的 option price，最后再invert standard BS price formula求出基于此SV model的BS implied volatility。 请问此时这个SV model的BS implied volatility的物理意义是什么？可以解释为time/ ensemble average of the local volatility么？
 l***u发帖数: 91 25来自主题: Quant版 - Implied Vol Calculation20K 个implied vol应该很快啊 一般都是Newton-Raphson 具体看你那20K的implied vol都是什么关系 有没有办法优化Newton Raphson的初始值 来更快的收敛
 h******5发帖数: 58 26来自主题: Quant版 - Implied Risk Neutral DensitySorry can't type Chinese in my company. I am working on a project to calculate VaR based implied Risk Neutral Density. Firstly I calculate implied vols from deep in-the-money to deep-out -money option chains, then smooth out the vol smile and calcualte Risk Neutral Density based on BS model(esstentially RND is calculated by the second derivative of option prics to strke). Finally fit a parametric distribution to the densities based on least square method. I got some chanellenges that 1) the shap... 阅读全帖
 h******5发帖数: 58 27来自主题: Quant版 - Implied Risk Neutral DensitySorry can't type Chinese in my company. I am working on a project to calculate VaR based implied Risk Neutral Density. Firstly I calculate implied vols from deep in-the-money to deep-out -money option chains, then smooth out the vol smile and calcualte Risk Neutral Density based on BS model(esstentially RND is calculated by the second derivative of option prics to strke). Finally fit a parametric distribution to the densities based on least square method. I got some chanellenges that 1) the shap... 阅读全帖
 s*******e发帖数: 432 28来自主题: Stock版 - 根据历史股价估算options implied volatilitythe implied volatility basically is people's expectation for future volatility. While what you calculate is a historical volatility
 o**********y发帖数: 502 29来自主题: Stock版 - baba的 call 太便宜了。。前几天ER前 implied 的volitality只有20这几天涨的这么好 也才40 便宜 对比TSLA的implied volatility ER前 70多 药股100多。。
 jl发帖数: 398 30来自主题: Mathematics版 - Does absolute convergence imply limit n a_n = 0?Does the absolute convergence sum |a_n| = K imply lim n a_n = 0? It seems this is not right if |a_n| is not a monotone sequence. Is there any conditions on those a_n where |a_n| > 1/n ? 多谢!
 B*********h发帖数: 800 31来自主题: Quant版 - [合集] 美式香草期权的implied volatility怎么求阿？☆─────────────────────────────────────☆ Jadeson (Grothendick ) 于 (Sat May 19 21:39:56 2007) 提到: 望高手指点一下。 还有，如果是相同的到期日，资产和strik price,一个是美式一个是欧式，那么这里面 两者的implied volatility相差会很大吗？可不可以用欧式的代替美式的呢？ 谢谢！！ ☆─────────────────────────────────────☆ sammus (sammus) 于 (Sun May 20 00:10:01 2007) 提到: No. Yes. ☆─────────────────────────────────────☆ francis4321 (Lei) 于 (Sun May 20 00:21:26 2007) 提到: try this，not long http://www.optimization-online.org/DB_HTML/2005/02/1066.html ☆────────────────
 P*****s发帖数: 166 32本来只是想看看matlab的函数行不行，就算了某一天的全部SPX call的implied vol， 发现我所有的都偏小。Option price选的是(highest closing bid+lowest closing ask)/2,interest rate是从zero curve中于Option maturity最接近的两个通过linear interpolation得到，用的是calendar day算time to maturity,会是什么原因呢？而且 short maturity的差的较大（max error=0.0895,which matures in 10 days)，long maturity的还行。所有数据来源于WRDS
 x****x发帖数: 87 33来自主题: Quant版 - 如何查到implied vol？FX＝USD/JPY strike price K＝75 C=Max（FX-K, 0) Maturity＝0.25，0.5，0.75，1；。。。。。。6Y how to check implied vol respectively？ many thanks
 l*****i发帖数: 3929 34来自主题: Quant版 - 如何查到implied vol？implied vol总是不一样的
 i****m发帖数: 15 35来自主题: Quant版 - 如何查到implied vol？Many trading firms have their internal implied vol surface. From Bloomberg, for FX options, use OVDV, for equities and others, use SKEW.
 i******l发帖数: 828 36来自主题: Quant版 - 如何查到implied vol？大牛是做这方面工作的？ implied
 z****u发帖数: 185 37probably no closed form. But it does not matter, you can use some numerical algorithm such as Newton or bisection to find the solution. Since vanilla option price is a monotonic function of implied vol, the implementation can be rather straightforward.
 w********r发帖数: 290 38 Please refer to equation (3) in "A methodology for assessing model risk and its application to the implied volatility function model" John Hull, Wulin Suo Journal of Financial and Quantitative Analysis; Jun 2002
 b***k发帖数: 2673 39☆─────────────────────────────────────☆ xvgsfx (pains) 于 (Thu Nov 13 22:16:30 2008) 提到: 请问下，哪里可以查到 USD/JPY vanilla option的implied volatility啊？ K 是in the money 或者out the money的那种，不是forward FX rate Maturity T 不同。。。。 其实就是要找到vol surface， vol是K,T的二元函数，vol（K,T) ☆─────────────────────────────────────☆ fingering (fe) 于 (Thu Nov 13 23:47:37 2008) 提到: historical data are here: http://mifidconnect.com/bba/jsp/polopoly.jsp?d=129 you need to build vol surface yourself using your own method.
 x****x发帖数: 87 40来自主题: Quant版 - implied Volatility and Lognormal Vol比如说, USD/JPY 的vanilla 报价的是implied vol, 是BS公式倒推出来的 市场上报的各种K的期权的波动率都是这样报出来的吧 也就是vol smile 可是如果都是BS模型的话,那么不管实际中期权的K是多少 同一段时间内,所有的USD/JPY 的diffusion process 都是一样的啊 也就是 volatility都是一样的 两者矛盾啊 不解
 b***k发帖数: 2673 41来自主题: Quant版 - [合集] About implied volatility of cap☆─────────────────────────────────────☆ wisesummer (summer) 于 (Fri Feb 13 23:48:18 2009) 提到: 都说caps are quoted as implied volatility,那到底是怎么quote的啊? 是按固定的 moneyness 还是按固定的strike rates? 如果是前者,那么current rates of underlying(Forward LIBOR)是 怎么确定? 是用对应的Swap rates替代吗? 期待了解cap trading实务的高手解答,谢谢 ☆─────────────────────────────────────☆ Taikonaut (遨游太空) 于 (Sat Feb 14 00:02:55 2009) 提到: 我记得是按照给定的strike，用这个vol把每个caplet的价算出来，再求和。 Forward ☆─────────────────────────────────────☆ wisesummer (summer
 k**8发帖数: 14 42Which risk free interest rate is used for calculating implied volatility? Appreciate your help!
 k**8发帖数: 14 43 Thank you, NYUTT. Can you explain more about how to use libor for implied volatility calculation? My confusion is that libor rates are not continuous- compound rates. How can I plug libor into black scholes? Do I need to convert them first? Thanks, again.
 k**8发帖数: 14 44If I have the implied volatility and I want to calculate the price, which rate should I use for the funding cost? Thanks!
 z*******c发帖数: 12 45来自主题: Quant版 - 请教关于realized vol 和 implied vol的问题如果Expected realized vol 是0.3，而现在option implied vol是0.2。 是不是总是可以take advantage of this and make money? If so, how?
 s********7发帖数: 52 46来自主题: Quant版 - 请教关于realized vol 和 implied vol的问题标准gamma trading的概念么 long option, delta hedge 赌realized比implied高
 z*******c发帖数: 12 47来自主题: Quant版 - 请教关于realized vol 和 implied vol的问题是说这样做总能赚钱么？不断的reblancing the portfolio to make it delta neutral. 我有个疑问：因为是expect realized比较高，万一到maturity的时候实际realized vol低于implied,会不会就亏钱了？这种情况下该如何操作呢？
 q********u发帖数: 53 48It does not sound reasonable to me. Implied Vol is used to measure option, not stock vol. Any thoughts?
 p********0发帖数: 186 49Option price not related to expected return, but determined by the implied volatility, which is the second moment of the price return. NYUTT, please kindly comments the rational behind the quick answer.
 l**********t发帖数: 5754 50some elements in the implied vol surface (skewness) have return predictability. see the latest CFA paper. http://www.cfapubs.org/doi/abs/10.2469/faj.v66.n1.9
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