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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. Robert Martin‏ @robertmartin88 17 Jul 2021

      It seems to me that there's a deep relationship between the sticky strike vs sticky delta assumptions (in vol surface modelling) and Bayesian updating. A smile implies a probability distribution. So when spot moves, does your pdf stay the same (sticky strike) ...

      3 replies 5 retweets 51 likes
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    2. Robert Martin‏ @robertmartin88 17 Jul 2021

      or re-centre (sticky delta)? In reality it will be somewhere in between. The new spot price is a datapoint with which you can update your "prior" probability distribution. So the degree of delta-stickiness is related to how important you think the new spot price is.

      3 replies 0 retweets 15 likes
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    3. Speculator‏ @TheSpeculator0 17 Jul 2021
      Replying to @robertmartin88

      the whole sticky strike / sticky delta convention always seems unnecessary and convoluted to me. You have a skew which is implying a certain relationship (ATM vols lower on spot up) and an actual realized measure of the same thing (covar or beta or whatever).

      2 replies 2 retweets 7 likes
    4. Robert Martin‏ @robertmartin88 17 Jul 2021
      Replying to @TheSpeculator0

      Can you explain how skew implies a relationship to spot? Im getting confused between spot and strike

      2 replies 0 retweets 2 likes
      macrocephalopod‏ @macrocephalopod 17 Jul 2021
      Replying to @robertmartin88 @TheSpeculator0

      Expand out pnl in terms of Greeks to include theta, gamma, vega, vanna and volga terms (assume delta is hedged). Take expectations and assume risk neutral so that E(pnl) = 0. Spot-vol covariance and vol-of-vol will be parameters. With some manipulation you can express implied …

      2:58 PM - 17 Jul 2021
      • 3 Likes
      • Robert Martin emily
      1 reply 0 retweets 3 likes
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        1. macrocephalopod‏ @macrocephalopod 17 Jul 2021
          Replying to @macrocephalopod @robertmartin88 @TheSpeculator0

          … vol at each strike as a function of spot-vol covar (skewness) and vol-of-vol (convexity) depending on vanna/volga exposure at each strike.

          1 reply 0 retweets 5 likes
        2. macrocephalopod‏ @macrocephalopod 17 Jul 2021
          Replying to @macrocephalopod @robertmartin88 @TheSpeculator0

          This Peter Carr paper has some good details — https://poseidon01.ssrn.com/delivery.php?ID=887104096000094090107030026116070007059014046014006078009096019067075112006014090110126001100120033059005011077005074018001112016049064053067093018118113071001068088028055096108004065029105096024077124066116008093029119020107071097122088068006123022&EXT=pdf&INDEX=TRUE …

          2 replies 0 retweets 12 likes
        3. Show replies

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