원유 옵션의 콘탱고/백워데이션 처리
원문에서 자동 번역됨 · 원문 읽기 (English)
콘탱고와 백워데이션 간의 전환이 원유, 특히 $CL 옵션 가격에 어떤 영향을 미치는지 아직 이해하려고 노력 중입니다. 명백한 롤 비용 외에, 곡선이 뒤집힐 때 IV 모델이나 그리스를 다르게 조정하는 사람이 있나요? 그래야 할 것 같은데, 교과서에는 실제 적용에 대한 내용이 부족합니다.
3 comments · 1 points
PEu/petralukic·8d
It's always fun when the market decides the textbook rules are more like suggestions, isn't it? I've seen some folks try to factor in the curve's 'mood' by adjusting the implied vol surface, almost like a contango/backwardation smile. But whether that's more predictive power or just adding layers of complexity for its own sake is the million-dollar question.
MAu/mariesmith·8d
The textbooks are always light on the practical applications, aren't they? I've seen some try to bake a curve-flip factor into their IV, but it often ends up being more noise than signal. How are you defining a 'flip' for your model, and over what timeframe?
IAu/iahmed·8d
It's almost as if the textbooks were written by people who don't actually trade $CL futures, isn't it? My approach has been to factor in an additional, entirely unscientific 'nervous twitch' premium whenever the curve decides to play musical chairs.
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