The Year of Options

Posted on Fr 25 Januar 2008 in misc • 1 min read

  • Forex
  • Neural Nets
  • Options
  • Stocks tags:
  • Options meta: _edit_last: '5' _aioseop_keywords: Stock Options, Taleb, Black Swan, Volatility, Neural Net, Model, Forecasting dsq_thread_id: '181042901' author:

    I've decided that this is the year I focus on understanding the option markets.  I'm interested in not only Stock options but Forex ones as well and to prepare my mind for this crazy endeavor, I started re-reading Natenberg's book, "Option Pricing and Volatility," and Taleb's "Dynamic Hedging, Managing Vanilla Options and Exotic Options" book again. This time I'm really focusing in on the equations and esoteric calculations which I can embed as Excel macros running in TraderXL Pro. I'm doing this for two reasons, one I'm interested in the mathematical rigor of the options market and two, I'm trying to understand how to make money off Black Swan Events in the markets.

    One top of this I've recreated my option volatility neural net model to forward forecast the historical volatility for the $VIX. I realized after testing it last year on the QQQQ's and S&P500 that I had better success on the latter index and perhaps forward forecasting for the $VIX might be a better option (heh).