"The vanna effect may play a similar role in propelling the market post-elections as it did in 2020, says Garrett DeSimone, head of quantitative research at OptionMetrics. 'The idea is that volatility has been priced higher due to hedging against ...
Read more“'Generally, a larger gap is often a bullish signal over medium-term horizons, like three to six months,' said Garrett DeSimone, head of quantitative research at OptionMetrics. 'This is because the market tends to price in rising volatility risk, which often ...
Read moreBrett Friedman of Winhall Risk Analytics, an OptionMetrics contributor, appears on "The Futures Rundown 7: The Trouble with Futures Prices" with host Mark Longo, where they analyze the current futures market and pricing methodology. Read the Full Podcast Here
Read moreOptionMetrics is pleased to announce the release of IvyDB Implied Dividend. This new dataset uses options pricing data to provide forward-looking dividend projections for optionable single-name securities in the US, two years into the future. This forward looking dividend data ...
Read moreNot all continuous futures prices series are the same. Depending on how they are constructed, misleading analysis may result. In this month’s blog, Brett Friedman reviews different price curve method. Read Full Blog Here
Read moreOptionMetrics' Head Quant Garrett DeSimone is featured on The Quant/Financial Engineering Podcast with Professor Zoro of Lehigh University discussing tail hedging, out-of-the-money puts, fat tails, and long-term options. Listen to Podcast Here.
Read moreOn Monday, zero-day options (0DTE) trading linked to the S&P 500 decreased to 26% of total volume, down from 50%, as U.S. stocks experienced their worst session in two years. This change signals an increasing preference for longer-term hedges in ...
Read moreThe recent market selloff, where the S&P 500 dropped 3% and volatility surged, led to a decline in 0DTE options volume from 48% to 26%. Despite their popularity for short-term speculation, rising volatility made longer-dated contracts more appealing due to ...
Read moreHosting the Olympic Games is the pinnacle of sport; the grandeur and the pride that comes along with it is a sporting triumph for any host city. However, it doesn’t come without its economic implications, the implications for infrastructure, the ...
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