Wednesday night junior derivatives trader interview question: You observe the prices of a 50-delta call, 25-delta call and 25-delta put on the S&P 500. How can you use them to derive an estimate of the implied beta of implied volatility to spot price movements? Be precise.https://twitter.com/bennpeifert/status/1264542177574584320 …
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macrocephalopod Retweeted macrocephalopod
Gave it a go, think the answer is essentially the same as @JessicaNutt96https://twitter.com/macrocephalopod/status/1352216566268628994 …
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macrocephalopod @macrocephalopod
Nice question, here's my take (warning: not an options expert). P&L of your option can be approximated as P&L = theta * dt + 0.5 * gamma * ds^2 + vanna * ds * dv + volga * dv^2 (where s is spot, v is implied vol) https://twitter.com/bennpeifert/status/1352069470903181313 …
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4:09 AM - 21 Jan 2021
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