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Deep Dive - IV Skew Impact on Butterflies

Discussion in 'Round Table Presentations' started by Kevin Lee, Sep 11, 2016.

  1. David Stewart

    David Stewart Well-Known Member

    Trader G and PK like this.
  2. PK

    PK Well-Known Member

    Thanks for sharing this interesting document! The statement "Yet in real-world systems, nothing could be less normal than normality" fits well with Nassim Taleb's Black Swan & Antifragile framework.
     
  3. David Stewart

    David Stewart Well-Known Member

    Yes it does doesn't it
     
  4. Trader G

    Trader G Well-Known Member

    That is a great article. I look at all of the events going on globally and yet the market hardly moves and it makes me think that this excerpt describes what is happening:

    "Attempts to fine-tune risk control may add to the probability of fat-tailed catastrophes. Constraining small bumps in the road may make a system, in particular a social
    system, more prone to systemic collapse. Why? Because if instead of being released in small bursts pressures are constrained and accumulate beneath the surface, they risk an eventual volcanic eruption."
     
  5. David Stewart

    David Stewart Well-Known Member

    Totally agree
     
  6. John Burrows

    John Burrows New Member

    Kevin: I have been trying to figure out how you created that model. Is it shared anywhere? If not, can anyone point me somewhere with information on how to build my own?
     

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