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  • 2 years ago
Volatility Views 199: An Epic Treatise on Dynamic Hedging

Volatility Views 199: An Epic Treatise on Dynamic Hedging

Volatility Review: Russells Weekly Rundown VIX Options: A moderate volume week. M: 266K T: 400K W: 572K Th: 614K Total 7.45m (5.73m Calls, 1.72m Puts) Crude Oil: OIV/OVX - 46, almost touched 80 back in mid-February. Gold: GVZ 19.32 - Well off recent highs. Volatility Voicemail: One giant listener question. Question from Jeremy - Hi Guys, This show is a great resource and has taught me a lot throughout the years. I was listening to the most recent show on March 11th "Uncovered Covered Calls and IRA Options Debate" and I wanted to write in regarding the discussion on dynamic hedging of a short option position. First, let me quickly introduce myself to provide some context. My name is Jeremy and I am in the final year of my PhD in computer engineering with a MS in applied mathematics and statistics and a BS in math. I have spent the past 4+ years researching for the NASA Ames Research Center. My PhD research focuses on the modeling, simulation and analysis of stochastic processes an

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