gamma01 www.wilmott.com volatility process is exogenously speci

http://www.wilmott.com/messageview.cfm?catid=3&threadid=44947 Thu Jan 11, 07 05:02 PM Realized and implied volatility was low in FX markets for most of 2006. The Jan 2007 CitiFX Currency Advisor says "Two problem arise when considering a long volatility position in the current market. The first problem is that due to depressed short-term realized volatility in spot, many computer models have consistently produced sell signals. Therefore dealers have consistently been given vol. This combined with a natural propensity of dealers to be long gamma and created an environment of bank desks consistently taking profit on spot moves in order to capitalized on their long gamma positions generated by model accounts selling vol. The take profit hedging activity contributed to further depress short-term realized vol levels, thus creating a vicious cycle." Do you think dealer hedging of long vol positions is depressing volatility?

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Alan Senior Member Posts: 4643 Joined: Dec 2001	Thu Jan 11, 07 08:23 PM No, it's bs. If dealers and market makers 'could' control volatility (which I don't believe), they'd pump it up. regards,
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dopeman Member Posts: 40 Joined: May 2006

Thu Jan 11, 07 11:58 PM Yes, dealer hedging long gamma positions can depress realized volatility. In the standard option theory, the volatility process is exogenously specified, whether constant or stochastic, ie, there are no feedback effects. However, feedback effects do exist in real life, when the (hedging volume)/(other volume) ratio is not small. In the extreme case, the underlying asset can be "pinned" at the strike price, which is a well-known fact in equity markets on option expiration days.

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Alan Senior Member Posts: 4643 Joined: Dec 2001	Fri Jan 12, 07 03:48 AM I stand corrected. That brings to mind that the dynamic hedgers were blamed for volatility feedback that -increased- volatility circa 1987. Of course, on Black monday itself, it turned out that they didn't do much trading, but the mere anticipation of their trading was enough to destabilize. With pinning, what is the effect of trading that anticipates the pinning?
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estcourt Member Posts: 27 Joined: Jun 2004

Fri Jan 12, 07 11:12 AM What really matters here is the size of the positions and the difference in behaviour between the longs and the shorts. If both longs and shorts are actively gamma hedging you won't expect a systematic bias. So what usually creates this is retail on one side of a trade and the street on the other. If for example vol has been bought through structured investor products where the investors do no hedging, implied vol is depressed as the street gets longer vol, and realised vol is depressed through the action of gamma hedging that will dampl market moves. Conversely, for US mortgages the street goes short options and thus implied/realised vol and gamma are increased.

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Alan Senior Member Posts: 4643 Joined: Dec 2001

Fri Jan 12, 07 04:31 PM I elaborate on my previous question. Looked at a couple of papers briefly, esp. a nice empirical study by Ni, Pearson, and Poteshman. (Stock Price Clustering on Option Expiration Dates). I don't quibble with the data -- definitely something going on. Here is the main theoretical explanation: long vol + delta hedging -> pinning at the strike. The argument is starting to bug me a little. Here is my summary of the theory argument: Consider hedging a long call under Black-Scholes. It's easy to show or visualize that d Delta/dt flips sign as the stock price crosses the strike (and as time to expiration shrinks to zero.). After all, Delta is tending to 1 or 0 on either side. If you imagine S near K and Delta(t) near 1/2, then Delta(t) will be increasing on one side and decreasing on the other as time passes. The implications: If you're long a call and delta-hedging your position, then you're going to be selling stock to adjust your position when S(t) > K and buying if S(t) < K. If you're doing this in size and your counter-parties aren't, then this will tend to pin the stock price at S(T) = K. The argument also works if you're long a put. Does this argument hold water? How model independent is it? -If- the stock price, say, is going to be pinned at the strike, then the starting formula (Black-Scholes) is badly flawed since the process is not GBM at all. Of course, we know the GBM idea is flawed for other reasons. But there's something a little fishy here -- a lack of self-consistency or at least closure in the argument. Suppose you're a market maker who is net long vol. in a group of market makers who tend to delta hedge. Expiration is coming up and the stock price is close to a strike. You anticipate that it may be pinned. What do you do? Since everybody is thinking the same way, what is the net result? (Honest question - if anybody can close the argument, I'd appreciate hearing it.) Edited: Fri Jan 12, 07 at 07:27 PM by Alan

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flairplay Member Posts: 133 Joined: Sep 2006

Sat Jan 13, 07 10:18 AM Forgetting what is in the literature and looking at reality: Of course: Market makers long gamma in "size" depresses volatility - both implied and real Market makers long volga in "size" depresses vol of vol - at least the implied. Carry guys long carry (what else) increases skews - at least implieds. And so on and so on. Any linear model of the markets is highly stylised, and out on an academic limb. PS: Alan, I have sent you an email on your optioncity address ------------------------- flairplay Edited: Sat Jan 13, 07 at 10:47 AM by flairplay

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• check01 www.worldeconomiccalendar.com/ -marketreflections- ♂ (96 bytes) () 08/22/2011 postreply 11:49:01

• Eugen Fama puts it: "Theoretically, derivatives increase the ran -marketreflections- ♂ (31765 bytes) () 08/31/2011 postreply 15:57:34

• derivatives01 Eugen Fama derivatives increase the range of bets -marketreflections- ♂ (7740 bytes) () 08/31/2011 postreply 16:27:08

• check001 Lawrence G. McMillan 20-day historical volatility the m -marketreflections- ♂ (47737 bytes) () 09/01/2011 postreply 15:49:52

• emh01 http://www.eurojournals.com/irjfe_43_04.pdf -marketreflections- ♂ (108 bytes) () 09/01/2011 postreply 16:02:12

• emh01 information, not panic contributes to the price change -marketreflections- ♂ (133869 bytes) () 09/01/2011 postreply 16:02:37

• gr01 每一点的引力场是有一个相应的引力场强度，可用有一个与之相等的加速度（相对于静止的观察者）的局域的加速参考系，亦即是局域 -marketreflections- ♂ (27920 bytes) () 09/01/2011 postreply 20:27:10

• gr01 均匀引力场与加速系等效，惯性力与引力等效;在自由空间中没有必要引入局部惯性系的概念。但在非均匀引力场中，我们只能找到局 -marketreflections- ♂ (184 bytes) () 09/01/2011 postreply 20:35:49

• gr01 在加速参考系中, . 一般不能使用笛卡尔坐标系, 必须使用曲线坐标系来确定物理空间中点的位置 . 在非欧氏空间中由于几 -marketreflections- ♂ (9715 bytes) () 09/01/2011 postreply 21:02:30

• gr01 爱因斯坦发现，如果认为惯性质量和引力质量等效的话，那么，在引力场里面的惯性参照系，和非引力场作用下作加速运动的非惯性参 -marketreflections- ♂ (110 bytes) () 09/01/2011 postreply 21:19:50

• ，“非对称”意味着封闭车厢观察者可以借力学等实验来确定该车厢的绝对运动，而绝对参考系的概念势必破坏惯性空间的均匀性和各向同性 -marketreflections- ♂ (5520 bytes) () 09/01/2011 postreply 21:22:48

• 爱因斯坦的异议是说，不可积标度因子理论如果正确，那么从0出发的两条路径，由于标度的连续变化，一般将会有不同大小，因而两个钟快慢将 -marketreflections- ♂ (17395 bytes) () 09/01/2011 postreply 21:35:36

• 量子力学描述的物质的存在方式，有四种，而不是经典物理的二种,量子力学的时空不是刚性的，也不是弹性的，而是离散的。空间和时间，也粒 -marketreflections- ♂ (9043 bytes) () 09/02/2011 postreply 15:10:45

• 时空貌似光滑， 其实却不然。 当我们探索到比原子核还小 10000 亿亿倍的尺度 (被称为普朗克尺度) 上时， 时空也许会显示出 -marketreflections- ♂ (78832 bytes) () 09/02/2011 postreply 15:21:15

• 矩阵力学。海森堡:定量的关系来代替玻尔定性的对应原理 -marketreflections- ♂ (5337 bytes) () 09/02/2011 postreply 21:00:39

• 他把所有物理规则都按照矩阵形式书写，把已有的经典动力学方程和许多传统的物理量都按照矩阵数学来处理。在玻尔的量子化原子模型里，已经 -marketreflections- ♂ (19917 bytes) () 09/02/2011 postreply 21:08:36

• 两个力学量对易就表明它们可以同时有准确的测量值，它们可以有共同的本征态,"若[F，G]=0，则[G，F]也为零。那么G的所有本征 -marketreflections- ♂ (8037 bytes) () 09/02/2011 postreply 21:40:39

• 矩阵,本征值,本征向量,本征函数, - 量子力学,结构化学 -marketreflections- ♂ (35659 bytes) () 09/03/2011 postreply 06:57:33

• dδ2 是与时间无关的空间坐标的微分二次型， -marketreflections- ♂ (5055 bytes) () 09/01/2011 postreply 21:40:06

• 量子化01 二次量子化—一个误解 -marketreflections- ♂ (14289 bytes) () 09/05/2011 postreply 10:49:26

• 这里所说的矢量、 轴矢量、 标量、 赝标量都是依据时空变换性质区分的， 与那些量在 SU(2) 内禀空间内的变换性质无关 -marketreflections- ♂ (24104 bytes) () 08/31/2011 postreply 21:17:46

• The best explanation for the last two days can be related to Mon -marketreflections- ♂ (4593 bytes) () 08/18/2011 postreply 20:53:15

• gamma01 All About High-Frequency Trading - Google Books Result -marketreflections- ♂ (1216 bytes) () 08/18/2011 postreply 20:55:20