Webinar this weekend + webapp
Friends,
Just a few things this am…
Options Webinar
QuantInsider is hosting me Saturday and Sunday morning to give a 2-part webinar on equity and index option trading.
🌙This link has details as well as a 50% off coupon code for Moontower readers.
Webapp
In yesterday’s calendar spreads through the eyes of a vol trader I wrote:
Let’s just jump right into the toy model to see what we can learn about time spreads. This is stuff that excites, transfixes, and haunts every vol trader.
“What needs to be true for this time spread to be cheap or expensive?”
This will be the first in a few posts as I try to eventually turn this into a webapp.
You can now use the webapp to tinker with the idea in that post. It runs one simulation at a time. It’s highly educational even beyond the context of a hedged calendar spread.
This simulator will be the basis for the next step in the calendar spread study. Looping many trials through various combinations of VRPs and IV Steepness to develop frontier curves to get a sense of “if I sell the front month at a healthy VRP, and hedge by buying that back month, how much premium is too much?”
There are many more questions we can get a sense of proportion about, that’s just one that every vol trader has pondered. I’ll work on that project for future letters, today I give you just the simulator,
I also have an idea of how to compute theoretical frontier curves for these tradeoffs so we’ll see how they square up with the bulk sims. I’m as bushy-tailed as you are on anticipating how this turns out!
Ok here’s the simulator…