Sorry to hear that.
I haven't been trading options in a while, so I don't have anything. But CME lets you download last few days' settlement prices, including settlement prices for options on futures - surely that is something to start with. CME website under Market Data > Settlements.
But even that is too aggressive at this stage. Just try playing with the shapes that come out of the model naturally and see how far you can swing them without breaking the model.
log-normal model for volswaps
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ronin
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log-normal model for volswaps
"There is a SIX am?" -- Arthur
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Strange
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log-normal model for volswaps
Send me an email - I'll ask my coverage for these if you like. Also, at some point lets discuss how the real world dynamics will be reflected in this model
--That word, you keep using that word! I don't think it means what you think it means
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Strange
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log-normal model for volswaps
Sooo..
- I got some prices for options on realized var for you but the quotes are pretty wide
- I can send you some EOD prices for VIX options
- Most reliable market for optionality on realized variance would be var/vol quotes (which I have too)
Lemme know
- I got some prices for options on realized var for you but the quotes are pretty wide
- I can send you some EOD prices for VIX options
- Most reliable market for optionality on realized variance would be var/vol quotes (which I have too)
Lemme know
--That word, you keep using that word! I don't think it means what you think it means
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frolloos
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log-normal model for volswaps
Hey that's great! So I dropped you an email couple of days ago. Let me know if you received it. Would love to get the data you have, pls let me know what kind of options quotes you got: options on VIX and/ or options on realized variance / realized volatility.
Thanks a lot
Thanks a lot
No vanna, no cry
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frolloos
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frolloos
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log-normal model for volswaps
Boring you guys one final time on this market model of mine which has almost led me into a depression.
- It is a multi-factor model now (you can basically choose the correlation you want between varswaps of different maturities)
- It accommodates instantaneous volatilities of short term varswaps are higher than that of long term varswaps. This is I believe also observed in practice.
- It generates positive upward sloping concave skews as long as the internal consistency conditions, which are also required for positivity of prices, are satisfied.
Here it is:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3483571
- It is a multi-factor model now (you can basically choose the correlation you want between varswaps of different maturities)
- It accommodates instantaneous volatilities of short term varswaps are higher than that of long term varswaps. This is I believe also observed in practice.
- It generates positive upward sloping concave skews as long as the internal consistency conditions, which are also required for positivity of prices, are satisfied.
Here it is:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3483571
No vanna, no cry
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ronin
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log-normal model for volswaps
...and even the reference list is padding itself out.
Nice.
My main comment is why this focus on spot starting variance swaps? If you focus on forwards, you get something that is a lot like the libor market model for variance swaps. And that can make everything you are doing a lot simpler.
E.g. the fact that you can't split tenors - it's kind of obvious if you know this is a libor market model, but it isn't obvious for a generic model of spot starting variance swaps. Etc.
Also, I'd still really like to see some skews coming out of the model - not just term structures.
Nice.
My main comment is why this focus on spot starting variance swaps? If you focus on forwards, you get something that is a lot like the libor market model for variance swaps. And that can make everything you are doing a lot simpler.
E.g. the fact that you can't split tenors - it's kind of obvious if you know this is a libor market model, but it isn't obvious for a generic model of spot starting variance swaps. Etc.
Also, I'd still really like to see some skews coming out of the model - not just term structures.
"There is a SIX am?" -- Arthur
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frolloos
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log-normal model for volswaps
Thanks ronin, reference list especially for you
First on the skew: the charts in the paper are skews, not term structures. X-axis the strikes (in variance terms), Y-axis the Black-Scholes IVs coming out of the model. You see that the skews are quite nice and these upward sloping concave skews are typically observed.
On the focus on spot starting: believe me I think I have tried every possible combination possible. In particular, if I model forward starts using displaced diffusion, and again with start and maturity date dependent shifts (so that you have even more freedom controlling the skew), I run into all sorts of issues around consistency. I am a stickler for internally consistent models, hence in the end I went for this one. But I may have very well missed something and directly modelling forward starts is also possible. I don't think so though, not with start/maturity date dependent shifts and basically full freedom in correlation structure.
First on the skew: the charts in the paper are skews, not term structures. X-axis the strikes (in variance terms), Y-axis the Black-Scholes IVs coming out of the model. You see that the skews are quite nice and these upward sloping concave skews are typically observed.
On the focus on spot starting: believe me I think I have tried every possible combination possible. In particular, if I model forward starts using displaced diffusion, and again with start and maturity date dependent shifts (so that you have even more freedom controlling the skew), I run into all sorts of issues around consistency. I am a stickler for internally consistent models, hence in the end I went for this one. But I may have very well missed something and directly modelling forward starts is also possible. I don't think so though, not with start/maturity date dependent shifts and basically full freedom in correlation structure.
No vanna, no cry
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ronin
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log-normal model for volswaps
> the charts in the paper are skews, not term structures
My bad, sorry about that. As they say - when eveything else fails, read the instructions...
> if I model forward starts using displaced diffusion, (...) I run into all sorts of issues around consistency.
Man - this is sounding more and more like BGM...
If you can resolve those issues, I think you have a pretty interesting model there. The mesh of multi-factor and spot starting will always look a bit patchy, but forward factors coming together would be really interesting.
My bad, sorry about that. As they say - when eveything else fails, read the instructions...
> if I model forward starts using displaced diffusion, (...) I run into all sorts of issues around consistency.
Man - this is sounding more and more like BGM...
If you can resolve those issues, I think you have a pretty interesting model there. The mesh of multi-factor and spot starting will always look a bit patchy, but forward factors coming together would be really interesting.
"There is a SIX am?" -- Arthur
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frolloos
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log-normal model for volswaps
> but forward factors coming together would be really interesting.
Yes you're right actually. Forward factors are the way to go.
arghhh, I give up, let's all just use the Bergomi model Smiley , there's a reason why that is the market standard.
Yes you're right actually. Forward factors are the way to go.
arghhh, I give up, let's all just use the Bergomi model Smiley , there's a reason why that is the market standard.
No vanna, no cry