Jun 17, 2015

Quick Note on MLKJ Day

While president Reagan signed the holiday into law in 1983, NYSE did not make it a full-day exchange holiday until 1998. Source.

If you are as anal meticulous as me about having proper implied volatility numbers, time to expiration (that is normal expected time to expiration) these things matter. The last time I checked popular financial library quantlib their US calendar implementation, it had MLKJ day as holiday every year, even before 1998.

Jun 10, 2015

Volatility Conversion

Re:Simple Trick to Convert Volatility
Reader asks, "I have weekly volatilities over 370 weeks, I like to convert this into an annualized volatility. How does this work?"
Since volatility is weekly, in the linear case the multiplier would be 52 (weeks per year) , so for volatility you should multiply your weekly volatility by √ 52.
In fact, the length of the measurement - 370 weeks - does not matter at all. If you would have 3 weeks or 7 weeks of weekly volatilities, multiplier would be the same. It is the frequency of observation that matters. To illustrate this consider another example: you have daily volatility over 370 weeks. To annulalize, multiply your daily volatility by √ 252 where 252 is the usual number of trading days per year in the US.

May 26, 2015

Another Vol Arb Mutual Fund

Recent press release from Franklin K2 Alternative Strategies Fund (Canada) shows that one of the sub-managers trades volatility arbitrage strategies. There are four "candidates" and googling suggests that Basso Capital Management is the manager running volatility strategy. Performance of the fund has been lackluster, and management fees are quite high.

May 25, 2015

Dr John Nash Dies in Crash

Dr John Nash, who made pivotal contributions to game theory and differential equations was killed on Saturday in an automobile accident with his wife Alicia. He received a Nobel Prize in economics for his work in the theory of non-cooperative games. Nash equilibrium has been applied to modelling company merges and takeovers, portfolio optimization, and algorithmic trading.

Bloomberg article.