stickydelta⚽⚽
(mostly) fooled by randomness. Views are personal, tweets and RTs are not endorsements. tweets are purely for self learning. No investment advice
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Note to self - Scaling up strategies is extremely difficult when they are exposed to jump risk. This is because overcrowding makes the strategies susceptible to discontinuous beh...
Implied Volatility Surface parameterization using Stochastic Volatility Inpired (J. Gatheral, 1999) Applied this to Bank Nifty vols for an option chain snap in Mar-23 Advantage:...
Vanna: If this a little intimidating to understand, here's probably an easier way: Draw MTM of a long put spread vs vol, keeping spot constant. The profile should look like Vanna...
Reflection: Frame of reference is a beautiful concept one usually learns in physics which as wide applications. When there are too many moving parts in a system, a frame of refere...
Fun fact on Gamma: If you know how the mtm of a butterfly varies with change in spot, you know how gamma varies with spot The beautiful world of options! #ForTheLoveofGreeks