V*L
发帖数: 25 | 1 Third Saturday in October是特指Vols和Bama的rivalry，虽然这些年来时间已经不是
很准确了，但也总差不了多少。
上次客场胜利追溯到2003年，Vols客场用了5个overtimes打败了Bama，也成为第一支队
伍在Bryant-Denny Stadium连赢三场。
随着Vols的够淫荡，从2007年开始，Vols已经对Bama八连败了，村里人民仿佛已经不知
有汉，无论魏晋。2009年，面对排名第一的Bama，Vols最后10-12惜败。其他一些比赛
基本都是被大比分虐。
Rivalry不但是比赛上的，当年据说富胖背后捅刀子，让Bama被处罚。近期，Bama用了
气氛，吃果果的打Vols的脸。
今年，队员们天赋不错，前一场比赛结果不尽如人意，但是觉得还是有的一拼。
Bama的进攻开始的时候估计会进攻vols的二线，只要能抗住三板斧，让Bama回归到
Henry的run上面就好，上半场挡住Henry应该没啥问题，Vols的防守也不是吃素的，每
年都会干倒几个牛人。要多看看Bama和野猪的上半场。
Vols进攻方面，靠running估计够呛，Hurd有轻... 阅读全帖 |
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b******d
发帖数: 36 | 2 http://radio.mitbbs.com:8000/best.m3u
01. 小喇叭开始广播啦
02. Madonna - [Greatest Hits Vol 1 #01] Everybody
03. Madonna - [Greatest Hits Vol 1 #02] Holiday
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07. Madonna - [Greatest Hits Vol 1 #06] Crazy For You
08. Madonna - [Greatest Hits Vol 1 #07] Angel
09. Madonna - [Greatest Hits Vol 1 #08] Dress You Up
10. Madonna - [Greatest Hits Vol 1 #09] |
|
c*******e
发帖数: 150 | 3 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 |
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b********1
发帖数: 114 | 4 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. |
|
U***n
发帖数: 1204 | 5 没看多 OSU 的球，只是听说有一个 All-America。就说说Vol吧。
Vols Williams 和 Chisim 够壮，可以压着红区背靠着人挤进去，然后投篮，其他人不
行。主力
得分起伏太大。Hopson, Prince, Maze 都是如此。如果这些人哑火了，Vol就完了。没
办法，
talent 就是这样，每次看 Kentucky 都是羡慕得不行。人家是有身材，有 talent，很
多人都是
一个人杀到篮下，怎么也拦不住。拦了这个，那边又杀来一个。因此，我看就是16强的
命。
Vol 的板凳主要是积极拼抢，积极扯动，用快节奏消耗对方主力体力，并诱使对方主力
犯规，制
造罚下的机会。这些板凳的水平怎样呢？很简单，大家注意观察一下，小 pearl 在场
上的时候，
有没有去防他！呵呵，就不细说了。
我看，Vol 将会在前5分钟摆出主力试水，不让分数差距拉大，然后逐步换板凳消耗对
方，就是这
样了。 |
|
s*****g
发帖数: 77 | 6 哦，我明白了，
implied vol只是一个数，但是stochastic vol 是一个model,可以说是得到了
volitiliy的分布，可以这么说吗？另外问如果是local vol和stochastic vol呢？ |
|
s******e
发帖数: 1751 | 7 short answer is, stochastic vol is needed when you price something that has
significant vol-of-vol risk.
local vol is used when you price something that has significant exposure to
skew/downside risk. |
|
w******g
发帖数: 271 | 8 A 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 |
|
l********a
发帖数: 126 | 9 另外，vol trading（trade option或者variance swap）里用的vol forecast本质上也
是Bayesian inference吧？
因为除了market-implied和historical data似乎没有其他的information source来预
测vol。而这两个information source，据我所知没有什么单一的model能把它们统一到
一起。所以唯一的把两个统一到一起到的方法就是Bayesian inference了（或者更
sophisticated的Machine learning方法）。
我不做vol trading，不知道以上猜测对不对。
) |
|
U***n
发帖数: 1204 | 10 Vol 是下狗，不是吹出来的。充斥freshman的 OL 被鸭子一挤，挡不了几秒钟就崩溃。
最糟糕的
是center，本来就是 freshman 也罢了，最后还受伤了，一直到周三都没有训练。防守
的 Evans
上次坐看鸭子接球 TD，论坛很多人质疑他为何不去干扰一下。可是，他是 Vol 那个位
置拿得出
的最好的人了。Vol 的两个主力 WR 只能说是弓马娴熟，是良将，不能算强将。而且还
伤了一
个。替补的 freshman WR 你们都看到了，intercepted。
总的说，进攻3年来继续乏力，防守总体还行，可是板凳不够深，只能打半场，今天预
计继续被
扁。
Gator 只看好这场，其他还不好说。Gator 刚换了进攻教练，从冠绝全国的 spread
option 转型
到 pocket passer 进攻，也是很痛苦的。至于那个 WR 问题青年能不能上场，有影响
，但不是重
点。最关键的是，Gator OL 出现的失误，是多年来少见的。对付 Vol 这样的球队还可
以，对强
队就是致命的。到了后来，强队比的不是比谁更厉害，而是比谁失误少。作为 Gator
的对手，我
盯了 G |
|
|
s********7
发帖数: 52 | 12 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 |
|
s*****g
发帖数: 77 | 13 请问版上的大牛们，这两个哪个更好一点？为什么？
我觉得implied vol假设是constant，所以用起来更简单直观。但是stochastic vol的
话更接近事实，因为vol不可能是常数啊。所以这两个哪个更好，各自有什么用处啊？ |
|
s*z
发帖数: 37 | 14 I thought the vol of call and put be the same because the vol is actually
the vol of the same underlying asset.
I'm interested in why the traders mark the vols differently. And telling
from the original question, this difference seems depending on whether the
option is in-the-money or out-of-money... |
|
m*********g
发帖数: 646 | 15 其实我们最近也suffer这个问题。上面说的几种模型都试过，predict vol 很难准，尤
其是最近几个月。
个人觉得在这个问题上从vol出发是很难做的。提供一个思路，能不能反过来做，找你
们感兴趣的这几种不liquid的opt和benchmark之间的corr，然后通过benchmark去
predict 这几种opt的价格。再通过hist rlzd vol 来calibrate。
the
vol. |
|
x********9
发帖数: 31 | 16 No.
But actually, VIX future is probably the best forecast for realized vol(what
you called historical vol). If you regress realized vol on VIX, the
coefficient is probably .8 but R^2 is probably .6 |
|
c*******e
发帖数: 150 | 17 using implied vols from the options-market as the prior distribution, and
using the physical vol from the filtration as the sample. This method is
effective if you have alpha views trading the underliers and only
need the second-moment for your risk-model. Not effective if you are an
options-trader not having views on the underliers (typically delta-neutral)
but want to earn the "dollar theta minuts dollar gamma" basis-trading
everyday, (in other words, an accurate forecast of spot vol is essent... 阅读全帖 |
|
l********a
发帖数: 126 | 18 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。
) |
|
U***n
发帖数: 1204 | 19 Simms 不错了，终于敢扔了，两个TD都很漂亮。他依然slow screen read，被抓6次，
intercept
也没什么，他的水准就是那样。两个新人WR Hunter 和 Rogers 都不错，开始冒尖了。
Poole 也
可以了。看看Texas 和 Texas Tech，两队 fumble 那才叫一个狠。
赛前大家都害怕两种 big play，一个是巴特利的 deep threat， 一个是 Demp 的
long run
touch down，都没有出现。3场下来，给人的感觉是进攻没有这么犀利了。反倒被 Vol
搞了两个
big play。如此一来，威慑力减小，后来的队都必然蠢蠢欲动。Kentucky 觉得 Vol 比
较烂，LSU
哈哈大笑，Georgia 想证明自己，南卡觉得高 Vol 一等，更不用说红色大山 Tide 了
。 |
|
B****2
发帖数: 8892 | 20 1. Vols今年是烂透了，虽说去年成绩也不行，但还没有烂到打谁输谁的地步，去年
在Tuscaloosa打，还差一点赢球呢。BAMA今年是期待着这场胜利，而Vols没有任何念想
，即使领先，也不知怎样能赢，也没想着要赢。
2. 面对今年Vols这样的对手，BAMA能打出来的都打出来了：胡里奥的接球创校记录
和个人最佳、双枪跑位都有建树、OL发挥稳定、QB没有丢球；防守两次断球成功、除第
一个达阵外，没有太大的漏洞，尽管二线还需加强。
3. 新QB McCarron在“垃圾”时间上场，随时间短，但（在没有压力的情况下）出
手快，落点准，传球水平高于现任QB，需要的是场上经验。从今年4月份的春训教学比
赛，就能看到其传球水平。BAMA的进攻从长远讲，是很有希望的。
4. LSU的两个QBs的水平都比BAMA的QB更有实力，既能传球到位，又有跑动能力，因
此BAMA在对LSU时，防守将面临更严峻的考验。
5. Auburn的QB牛顿还真是牛，其表现众所周知。我所看到的是，其最主要的特点是
场上表现轻松自如，跑似行云流水，传似弯弓射雕，看不出控球、传球、跑位有任何... 阅读全帖 |
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M*****n
发帖数: 282 | 21 人在泽西心在田
[在 VFL (Vol for Life) 的大作中提到：]
：Third Saturday in October是特指Vols和Bama的rivalry，虽然这些年来时间已经不
是很准确了，但也总差不了多少。
：上次客场胜利追溯到2003年，Vols客场用了5个overtimes打败了Bama，也成为第一支
队伍在Bryant-Denny Stadium连赢三场。
：........... |
|
B*********h
发帖数: 800 | 22 ☆─────────────────────────────────────☆
cedar23 (Cedar) 于 (Thu Apr 5 11:06:16 2007) 提到:
for pricing a vanilla option, which one will get a higher value, local vol
or stochastic vol?
☆─────────────────────────────────────☆
wusuowei (student) 于 (Thu Apr 5 11:17:55 2007) 提到:
where did you get the question?
☆─────────────────────────────────────☆
zouzou (zouzou) 于 (Thu Apr 5 20:29:02 2007) 提到:
why use a model? Just read from the market.
☆─────────────────────────────────────☆
t |
|
t********t
发帖数: 1264 | 23 这个vol skew的positive和negative到底有没有准确的定义？哪种图形是positive，哪
种是negative？查了半天也没有个严格说明的
positive put-skew是指OTM的puts implied vol随着strike下降而上升，对么？那
positive call-skew是指OTM call implied vol随strike上升而上升？ |
|
J*****n
发帖数: 4859 | 24
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。 |
|
a**********2
发帖数: 355 | 25 Reality is quite different from theory. Say a deep out of money option, 0
bid 20 ask, the vol we calculate from bid/ask/mid will be quite different,
and how useful to calculate such kind vol is also debatable. And there is
bid/ask spread in stock too, and the interest rate difference between long
and short, all these factors make call-put parity not hold.
By observation,usually put vol is higher than that of the same strike call,
though not always. Thinking buying put is buying insurance, there |
|
z*******c
发帖数: 12 | 26 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? |
|
C*F
发帖数: 2513 | 27 implied vol不是model，你说的是local vol吧 |
|
s*z
发帖数: 37 | 28 If you mean if the implied vol of call and put is the same, then yes. From
call-put parity, since the market vol of call and put is the same (same
underlying), the implied vol of call and put is the same as well. |
|
z*g
发帖数: 110 | 29 when vol goes up, that means the underlying price may move more every day,
so there is more chance the price of the underlying may go further deep in
the money. Remember, when buying an option you are buying the "uncertainty".
imagine an extreme case, when vol=0, and your price is out of money, that means the price will stay there forever, and never more to in-the-money, thus option price=0. when you start to increase vol, there are more chance the price will go in the money. |
|
g******e
发帖数: 352 | 30 请问有做过FX option volatility surface/term structure的吗，
想请教一下现在市场上大家都是用什么方法来fit出vol surface
/term structure的？
是用stats vol 或者local vol model， 还是就直接拿几个点来进行
interpolation? |
|
f*******g
发帖数: 377 | 31 在搞local vol/stochastic vol之前，应该已经把vol surface interpolation做好了。它们不是平行的关系。 |
|
w***e
发帖数: 6 | 32 There is no such thing called forward looking vol. VIX was originally
thought of this kind but later people realized it is more proper to be
referred as a fear index.
One should be careful when he/she uses the implied vol as the indicator. |
|
|
w*******y
发帖数: 60932 | 34 Phish - Live Bait Volume 4:
http://www.livephish.com/live-music/0,637/Phish-Free-mp3-downlo
Scent Of A Mule (1996-06-06 Joyous Lake - Woodstock, NY)
You Enjoy Myself (1999-07-15 PNC Bank Arts Center - Holmdel, NJ)
The Landlady > Tweezer (1993-08-12 Meadow Brook Music Festival - Rochester
Hills, MI)
Mike's Song > Contact > Weekapaug Groove (1995-06-20 Blossom Music Center -
Cuyahoga Falls, OH)
Split Open And Melt (1994-06-21 Cincinnati Music Hall - Cincinnati, OH)
N02 (1999-07-13 Tweezer Center... 阅读全帖 |
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w*******y
发帖数: 60932 | 35 Casino Royale:
http://www.bestbuy.com/site/Casino Royale - Widescreen Collector's Dubbed - Blu-ray Disc/9008469.p?id=1620940&skuId=9008469
#39;s+Dubbed+-+Blu-ray+Disc/9008469.p?id=1620940&skuId=9008469" rel="
nofollow" target="_blank" onclick="_gaq.push(['_trackEvent', 'thread', '
click', '2970611 - best-buy-blu-rays-under-10-casino-royale-quantum-of-
solace-kill-bill-vol-12-no-country-for-old-men']);">Casino Royale [Casino
Royale:
http://www.bestbuy.com/site/Casino Royale - Widescreen Collector... 阅读全帖 |
|
m********o
发帖数: 2088 | 36 Daily Vol vs Avg Vol (3 month) |
|
U***n
发帖数: 1204 | 37 Vol 的 QB Stephens 昨天训练结束走人了。
本来说是3个人竞争的：Stephens, Simms, Bray，他一走，很明显，只有 Simms能上了
。Bray 像
烧火棍。
个人认为今年 Vol 5胜 or 4胜。 |
|
p***r
发帖数: 4606 | 38 我早上穿了鳄鱼战炮,戴了鳄鱼帽出去转了一圈,靠,vol的人真多啊,到处都是vol的棋子
,好不容易才让我碰上两个鳄鱼mm,怎么看怎么觉得pp啊,哈哈哈,互相交换了几下gator
chomp就撤了
那个thompson现在都不是球队的一部分,肯定不会上场.不过影响不大,这家伙表现很一
般,我挺希望可以把他拿掉,给其他人机会的.前两天还希望直接把他开除呐,可惜那个
charge 又drop了... |
|
x*******1
发帖数: 28835 | 39 2nd half, tides blow out vols. vols has no depth!! |
|
x*******1
发帖数: 28835 | 40 I still know more vols than others. vols can just hold half |
|
U***n
发帖数: 1204 | 41 二队打败一队，二队OL，DL都比一线出色，非常奇怪。
二号 QB Simms，替补 QB Worley，替补 RB Neal，Williams 都不错
主力 QB Bray 5-30，是他来Vol 以来最糟糕的表现。不过今天他OL被挤压，WR掉球，
不能全怪
他。
今天风太大，凉飕飕的，WR 掉球的时候我觉得他们发硬
Goins 本来是打篮球的，现在改行打足球了。
结论，Vol 继续洗洗睡了 |
|
|
M****m
发帖数: 3243 | 43 it's rivalry, what do you expect? And that's an individual incident anyway,
there was a lot of vols fans sitting next to the student section and nobody
harassed them.
Who knows what those vols fan have done to get beer cans. |
|
|
l*****y
发帖数: 4887 | 45 Go Vols
SEC Bama/LSU打UGa的戏码已经审美疲劳
我们需要鳄鱼和Vols奋起。。。 |
|
p*b
发帖数: 64 | 46 热门舞曲合辑 VA - 100% Club Sound Vol.19
[URL=http://img133.cocoimage.com/img.php?id=1898960919&q=][IMG]http://img133.cocoimage.com/thumb/1898960919.jpeg[/IMG][/URL]
Info :
Name: VA - 100% Club Sound Vol.19
Release date: 09/07/2009
Quality: 320kbps
Playlist:
2-4 Grooves Feat Reki D - Relax (Topmodelz Rmx)
Alex C. feat. Y-ass - Dancing Is Like Heaven (Radio Edit)
Darius and Finlay - Do It All Night (Dan Winter Remix)
De- Grees - My Life Would Suck Without You (Radio edit)
De-Grees - Bleeding Love (Max |
|
s**********t
发帖数: 680 | 47 The link to the paper is provided for your convenience.
The Molecular quasi-species
Eigen M ; McCaskill J; Schuster P
Advances in Chemical Physics, (1989) Vol. 75, 149-263.
http://www3.interscience.wiley.com/cgi-bin/summary/114181861/SUMMARY
New concepts for dealing with the evolution of nucleic acids.
Eigen M
Cold Spring Harbor Symposia on Quantitative Biology, Vol. LII. Evolution of
Catalytic function. Cold Spring Harbor Laboratory: Cold Spring Harbor, New
York, USA. 1987. 307-320.
http://symp |
|
s**********t
发帖数: 680 | 48 The link to the paper is provided for your convenience.
The Molecular quasi-species
Eigen M ; McCaskill J; Schuster P
Advances in Chemical Physics, (1989) Vol. 75, 149-263.
http://www3.interscience.wiley.com/cgi-bin/summary/114181861/SUMMARY
New concepts for dealing with the evolution of nucleic acids.
Eigen M
Cold Spring Harbor Symposia on Quantitative Biology, Vol. LII. Evolution of
Catalytic function. Cold Spring Harbor Laboratory: Cold Spring Harbor, New
York, USA. 1987. 307-320.
http://symp |
|
s****y
发帖数: 390 | 49 If the implied vol is only a function of strike, will it cause any problem
for local vol??
Thanks a lot for any comments! |
|
z****u
发帖数: 185 | 50 I don't know how to explain. But the truth is if you agree the pdf of the
stock level at a future time has a fat tail, then implied vol cannot be only
a function of strike. Because this will lead to strike-dimension arbitrage
opportunities, which mean local variance will be negative.
On the other hand, you can insist on no-fat-tail and have a consistent
theoretical picture, i.e., the Black-Scholes flat skew. In this case, the
implied vol is a constant. This does not cause any problem since now t |
|
