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re: Options data analysis -- need help

Posted on 12/13/13 at 9:40 pm to
Posted by Tigahs
Member since Jan 2004
22836 posts
Posted on 12/13/13 at 9:40 pm to
Solid advice, started looking at volatility surface against the underlying forward curve (though will probably use the in-house futures forecast I developed for this particular exotic commodity. Thought of incorporating the black-shole volatility calc fixes but the quants said it wasn't necessary given the lack of market depth, small market size (regional) and illiquidity of the options contract for this particular commodity
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