Unfortunately, my online advertising partner has left me high and dry. This website is now bereft of any love, oh wait, I meant money – unfortunate really.
Monthly Archive for March, 2011
A quick review of a the VIX term structure as it stands now compared to start of year prices.
The Price of Freedom is Eternal Vigilance (and some relatively expensive military hardware). This articles presents the performance of militarily-angled defensive trades relative to their benchmarks for 2011.
VIX is a market estimate of expected volatility measured over S&P 500 options. But how does the implied volatility of a volatility estimate vary over strike range and term structure? This article reviews VIX’ smiling smirk and the reasons for its formation.
Trinomial Option Pricing Trees offer a fair-value lattice-model for both American and Bermuda styled options. The pricing tree can also be modified to suit more specific modelling purposes. A short applescript was created for the purpose of creating trinomial trees in Microsoft Mac Excel 2008.