w******g
发帖数: 271 | 1 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 month, we’
re actually getting a higher than usual implied vol.
If you meet such problems, how do you get an implied vol for the option?
Using interpolation/extrapolation? Interpolation/Extrapolation may be a good
solution for a single name, what if you have a big portfolio, I don’t
think this is a good solution.
All Da Niu, could you give me some advice?
Thank you thank you :) |
N******r
发帖数: 642 | 2 or a vol prediction model, like GARCH. just a thought. |
h**********g
发帖数: 123 | 3 I think you should take some kind of blending approach. To calculate IV, you
need pair the underlying and the option quotes, especially at the same time
stamp.
If there are enough option transactions around close of day, then use those
and the close price to calculate the implied vol.
If there is no option transactions, you may use the mid of bid and ask
around the close of day as a reference. However, sometimes, those bid-ask
spread could be quite high too and typically those are not part of report.
I know IntereactiveBrokers has their own model to mark IV everyday. For each
stock, the volatility surface is constructed daily for an expiration month.
But I am not sure the details of the model they use. Since they are a
broker and have all the data, it should be pretty easy to come up with some
consistent way to do it daily.
the
vol.
【在 w******g 的大作中提到】
: 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 month, we’
: re actually getting a higher than usual implied vol.
: If you meet such problems, how do you get an implied vol for the option?
|
s******e
发帖数: 1751 | 4 you guys trade vol, and don't pay for a feed to get live quote? i'd love to
be your counterparty. :) |
h**********g
发帖数: 123 | 5 I guess this is for research purpose.
to
【在 s******e 的大作中提到】
: you guys trade vol, and don't pay for a feed to get live quote? i'd love to
: be your counterparty. :)
|
l*****i
发帖数: 3929 | 6 没有price总有bid ask spread吧
the
vol.
good
【在 w******g 的大作中提到】
: 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 month, we’
: re actually getting a higher than usual implied vol.
: If you meet such problems, how do you get an implied vol for the option?
|
h*y
发帖数: 1289 | 7 Use a vol model, such as SABR or Heston, then interpolate or extrapolate the
model parameters. |
z****u
发帖数: 185 | 8 mark it, based on, vol of similar stocks, or historical realized vol. |
D********e
发帖数: 8 | 9 is there way to find the time stamp of the stale option price? if you can,
then i propose to calculate the IV based on that time stamp. Then you use
the IV as the estimate of the vol for current time. |
m*********g
发帖数: 646 | 10 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.
【在 w******g 的大作中提到】
: 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 month, we’
: re actually getting a higher than usual implied vol.
: If you meet such problems, how do you get an implied vol for the option?
|
G******r
发帖数: 76 | 11 请教一下大牛，最近很难是因为市场不liquidity吗？您说的benchmark指的是？
【在 m*********g 的大作中提到】
: 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.
|
r****t
发帖数: 10904 | 12 没有 bid-ask 数据么
the
vol.
【在 w******g 的大作中提到】
: 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 month, we’
: re actually getting a higher than usual implied vol.
: If you meet such problems, how do you get an implied vol for the option?
|
N******r
发帖数: 642 | 13 corr is a fickle bitch.
【在 m*********g 的大作中提到】
: 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.
|
