Equity Option Traders, Help!

[Gabe]

Fixed or Floating Skew.

I need some advice. I`m setting myself up to trade Eurostoxx options. Having difficulty getting a working and practical skew. Any advice or pointers. Looking at using a cubic spline function and thus restricing myself to a fixed skew scenario. If anyone has quick reliable way of producing smooth skews from strike/vol inputs but with the ability to manipulate easily to fit market moves i would very much appreciate the input.
thanks,

gabe.

 

[westham102]

Skews

If your looking to "take it on" then you need good option software pricing which costs money. you can try SuperDerivatives on line pricer, get a free trial and see what you think otherwise you will be stuck with the free stuff (black and scholes) which obviously is no good.

Regards, Rob

I need some advice. I`m setting myself up to trade Eurostoxx options. Having difficulty getting a working and practical skew. Any advice or pointers. Looking at using a cubic spline function and thus restricing myself to a fixed skew scenario. If anyone has quick reliable way of producing smooth skews from strike/vol inputs but with the ability to manipulate easily to fit market moves i would very much appreciate the input. Really looking to take this market on but this is obviously something i need to get right.

thanks,

gabe.

 

[grantx]

Gabe,

This is above my head but maybe the following will help (or not, as the case may be) as starting points:

http://www.riskworx.com/insights/sabr/sabr.html

http://www.wilmottmag.com/messageview.cfm?catid=4&threadid=226&STARTPAGE=2

Grant

 

[Gabe]

Skew

Thanks guys, i`ll get a look at those websites now grant, cheers.
Rob, good advice i`m going to start having a look for what software is out there. It`s just that up to know i`ve produced all my own pricing models which allows me to manipulate and "re-jig" because i know how they work so for this reason i`m a little reluctant to get in a pre built software model. You`re right though i can`t be a tight !"£%$^& all the time. Thanks..

Gabe.