Used Straddle for long volatility startegy on Netflix

Click here to load reader

download Used Straddle for long volatility startegy on Netflix

of 11

Embed Size (px)

Transcript of Used Straddle for long volatility startegy on Netflix

  • Lujiazui Hedge Fund Inc.Ryota ArafukaKuang-Po LeeKrunal NaikJiaqi WangJianhua Yan

  • neutral is good is comparatively low GreeksOur Selection - Netflix

  • Historical Volatility Comparison 1 Source: Bloomberg

  • Source: BloombergHistorical Volatility Comparison 2

  • Historical Volatility V.S. Current Volatility

  • Stock Prices of NFLX in 3 MonthsSource: Yahoo Finance

  • Long Volatility Strategy

    Stock: NetflixPosition Strategy: Long StraddleX: At The Money ($80)Expiration Date: Jan. 19th, 2013 0 is smallVega > 0, relatively large

  • Greek Analysis 1

  • Greek Analysis 2

  • Comparison of Strategies with Different X

  • Impact of Different Volatilities$78.2$81.8

E¯¬’cient Estimation of a Multivariate Multiplicative Volatility Model 2015. 3. 2.¢  E¯¬’cient Estimation
E¯¬’cient Estimation of a Multivariate Multiplicative Volatility Model 2015. 3. 2.¢  E¯¬’cient Estimation
EVALUATION OF FLURAZEPAM AND PLACEBO ON SLEEP Benzodiazepines have largely been used in sleep disorders
EVALUATION OF FLURAZEPAM AND PLACEBO ON SLEEP Benzodiazepines have largely been used in sleep disorders
Neutrino-Pair Exchange Long-Range Force Between Aggregate ... Neutrino-Pair Exchange Long-Range Force
Neutrino-Pair Exchange Long-Range Force Between Aggregate ... Neutrino-Pair Exchange Long-Range Force
Heston Stochastic Local Volatility 2016-05-23آ  Heston Stochastic Local Volatility Model Klaus Spanderen1
Heston Stochastic Local Volatility 2016-05-23آ  Heston Stochastic Local Volatility Model Klaus Spanderen1
Long Live the King - University of Queensland Long Live the King. g-Selberg integralsMV ConjectureAn
Long Live the King - University of Queensland Long Live the King. g-Selberg integralsMV ConjectureAn
Filtering Stochastic Volatility Models with Intractable Likelihoods 2016. 5. 25.¢  Intro Stochastic
Filtering Stochastic Volatility Models with Intractable Likelihoods 2016. 5. 25.¢  Intro Stochastic
Olefin: Investigations on Short- and Long- Chain Branching ... · PDF file Neue Struktur-Eingeschaftsbeziehungen zwischen Katalysatorstruktur, Polymerisationsbedingungen und dem Verzweigungsgehalt
Olefin: Investigations on Short- and Long- Chain Branching ... · PDF file Neue Struktur-Eingeschaftsbeziehungen zwischen Katalysatorstruktur, Polymerisationsbedingungen und dem Verzweigungsgehalt
Cfd Manual Long Web Gr
Cfd Manual Long Web Gr
FINANCIAL VOLATILITY AND GROWTH IN BOLIVIA .2 INTRODUCCI“N En la literatura macroecon³mica se muestra
FINANCIAL VOLATILITY AND GROWTH IN BOLIVIA .2 INTRODUCCI“N En la literatura macroecon³mica se muestra
Life Long Learning E.I.L.C
Life Long Learning E.I.L.C
THE PRIMES CONTAIN ARBITRARILY LONG POLYNOMIAL
THE PRIMES CONTAIN ARBITRARILY LONG POLYNOMIAL
Parameter Estimation for a Stochastic Volatility Model ... ewald/004-Parameter... Stochastic volatility
Parameter Estimation for a Stochastic Volatility Model ... ewald/004-Parameter... Stochastic volatility
Long Noncoding RNA miR503HG, a Prognostic Indicator ... 1 Long Noncoding RNA miR503HG, a Prognostic
Long Noncoding RNA miR503HG, a Prognostic Indicator ... 1 Long Noncoding RNA miR503HG, a Prognostic
OECD GUIDELINE FOR THE TESTING OF · PDF fileOECD GUIDELINE FOR THE TESTING OF CHEMICALS ... screening assays that have long been used to evaluate the specific gene expression ...
OECD GUIDELINE FOR THE TESTING OF · PDF fileOECD GUIDELINE FOR THE TESTING OF CHEMICALS ... screening assays that have long been used to evaluate the specific gene expression ...
Stochastic Volatility Models: Bayesian Framework
Stochastic Volatility Models: Bayesian Framework
DUNE CDR Long-Baseline Neutrino Facility (LBNF) and ... Long-Baseline Neutrino Facility (LBNF) and Deep
DUNE CDR Long-Baseline Neutrino Facility (LBNF) and ... Long-Baseline Neutrino Facility (LBNF) and Deep
The Hymnic Long Alpha: خœخ؟دچدƒخ±د‚ and Related Incipits in ... ... The Hymnic Long Alpha 91 its pre-Greek
The Hymnic Long Alpha: خœخ؟دچدƒخ±د‚ and Related Incipits in ... ... The Hymnic Long Alpha 91 its pre-Greek
Learning, Volatility and the ACC Tim Behrens FMRIB + Psychology, University of Oxford FIL - UCL
Learning, Volatility and the ACC Tim Behrens FMRIB + Psychology, University of Oxford FIL - UCL
exceptionaly long-range quantum lattice models
exceptionaly long-range quantum lattice models
Volatility based Trading: VIX & the S&P500 SPY strategies
Volatility based Trading: VIX & the S&P500 SPY strategies
View more