Podcasts about black scholes

Jon Hartley and Myron Scholes discuss Myron's career, including being at the University of Chicago at the dawn of financial economics as a field, how Myron met Fischer Black, and the development of the Black-Scholes option pricing model, investing, innovation, and financial regulation. ABOUT THE SPEAKERS: Myron Scholes is the Frank E. Buck Professor of Finance, Emeritus, at the Stanford Graduate School of Business, Nobel Laureate in Economic Sciences, and co-originator of the Black-Scholes options pricing model. Scholes was awarded the Nobel Prize in 1997 for his new method of determining the value of derivatives. Scholes is currently the chairman of the board of economic advisers of Stamos Partners. Previously, he served as the chairman of Platinum Grove Asset Management and on the Dimensional Fund Advisors board of directors, American Century Mutual Fund board of directors, and the Cutwater advisory board. He was a principal and limited partner at Long-Term Capital Management, L.P., and a managing director at Salomon Brothers. Other positions Scholes held include the Edward Eagle Brown Professor of Finance at the University of Chicago, senior research fellow at the Hoover Institution, director of the Center for Research in Security Prices, and professor of Finance at MIT's Sloan School of Management. Scholes earned his PhD at the University of Chicago. Jon Hartley is the host of the Capitalism and Freedom in the 21st Century Podcast at the Hoover Institution and an economics PhD Candidate at Stanford University, where he specializes in finance, labor economics, and macroeconomics. He is also currently an Affiliated Scholar at the Mercatus Center, a Senior Fellow at the Foundation for Research on Equal Opportunity (FREOPP), and a Senior Fellow at the Macdonald-Laurier Institute. Jon is also a member of the Canadian Group of Economists, and serves as chair of the Economic Club of Miami. Jon has previously worked at Goldman Sachs Asset Management as well as in various policy roles at the World Bank, IMF, Committee on Capital Markets Regulation, US Congress Joint Economic Committee, the Federal Reserve Bank of New York, the Federal Reserve Bank of Chicago, and the Bank of Canada.  Jon has also been a regular economics contributor for National Review Online, Forbes, and The Huffington Post and has contributed to The Wall Street Journal, The New York Times, USA Today, Globe and Mail, National Post, and Toronto Star among other outlets. Jon has also appeared on CNBC, Fox Business, Fox News, Bloomberg, and NBC, and was named to the 2017 Forbes 30 Under 30 Law & Policy list, the 2017 Wharton 40 Under 40 list, and was previously a World Economic Forum Global Shaper. ABOUT THE SERIES: Each episode of Capitalism and Freedom in the 21st Century, a video podcast series and the official podcast of the Hoover Economic Policy Working Group, focuses on getting into the weeds of economics, finance, and public policy on important current topics through one-on-one interviews. Host Jon Hartley asks guests about their main ideas and contributions to academic research and policy. The podcast is titled after Milton Friedman‘s famous 1962 bestselling book Capitalism and Freedom, which after 60 years, remains prescient from its focus on various topics which are now at the forefront of economic debates, such as monetary policy and inflation, fiscal policy, occupational licensing, education vouchers, income share agreements, the distribution of income, and negative income taxes, among many other topics. For more information, visit: capitalismandfreedom.substack.com/

Majorly excited to have Patricia Reed on the pod. This is a beefy episode! If I was looking for a major reset in my relationship to the world around me, I'd start here.Here's a list of the references we make throughout the interview:Here's that e-flux diagram I talk about in the intro, and here's a lecture in which she discusses this diagram. Here's the Diagramming the Common piece, which is older but I really like it. Here's a must-read interview with Denise Ferreira da Silva where the concept of "the end of the world as we know it" is postulated.When Patricia Reed refers to the "logics of worlds" in a Badiousian sense, she's referring to Alain Badiou's work on truth and world. Unless you're down for a real rabbithole, you're likely good with Reed's description here.Reed references Margaret Morrison and the Black-Scholes model in the context of finance.Reed references Sylvia Wynter's work consistently, specifically her discussion of humanism and of Frantz Fanon.Check out Beth Coleman's work on Octavia Butler AI, as well as da Silva's "Unpayable Debt" (inspired by Butler's Kindred) -- and if you somehow haven't read the Lilith's Brood Trilogy after we discussed it with Luciana Parisi, go read it (aka Xenogenesis). It's like idk the most important work of fiction in the last 50 years idk!!!Ofc big shoutouts as always Anil Bawa-Cavia -- this is the book we discuss toward the end of the episode.If you aren't aware of Laboria Cuboniks and the XFM, stop listening and read it!!!

This week, I had the honor of interviewing Thomas Peterffy, the founder of Interactive Brokers, on The World According to Boyar podcast. Thomas's life exemplifies the American Dream: When he came to the United States from Communist Hungary in 1965, virtually penniless and with no knowledge of English, he immediately began teaching himself computer programming while saving up for a seat on the American Stock Exchange. Using technological advances he himself helped pioneer, Thomas established a successful market-making business, paving the way for his biggest financial success: Interactive Brokers, which has a market capitalization north of $50 billion and where he is by far the biggest shareholder. Stay tuned for my discussion with Mr. Peterffy—I think you'll find it as educational as it is inspiring.The Interview Discusses:Thomas Peterffy's background.Challenges of adapting to a new country and finding work.The immigrant mentality and its impact on success.The importance of rewarding merit in a free market economy.The value proposition Interactive Brokers brings to clients.Importance of maintaining a conservative balance sheet and excess capital.Future growth areas, including global markets and professional investors.Interactive Brokers' unique position in the marketplace.The potential impact of future presidential administrations on business.Thomas's decision to step down as CEO and focus on his role as chairman.The joy of building and improving the Interactive Brokers platform.Biography:Thomas Peterffy is founder and chairman of Interactive Brokers. A pioneer of digital trading in the 1980s, he was the first to build computer systems able to trade financial assets electronically, independent of direct human intervention. Born in Budapest, Hungary in 1944, he escaped communism in 1965 by emigrating to the United States. He learned computer programming, and his formula for pricing contingent assets was an early version of what is now known as the Black-Scholes model. In 1977, he became a member of the American Stock Exchange. Peterffy built the first automated market-making firm for stocks, options, and futures, which later gave rise to Interactive Brokers, a global, electronic broker with a market capitalization of  over $50 billion.Unlocking Investment Opportunities Since 1975 At the Boyar Value Group, we've dedicated nearly five decades to the pursuit of value on behalf of our clients. Founded in 1975, our firm has earned a reputation as a trusted source for uncovering undervalued opportunities in the stock market. To find out more about the Boyar Value Group, please visit www.boyarvaluegroup.com

Powerful computer programs are accurately simulating the uncertainty of climate change. These models underlie the growing business of climate risk, which in turn supports mitigation planning and the insurance industry. But climate risk models are usually large monolithic systems, which although internally consistent, cannot export statistically coherent representations of the underlying uncertainties. Because of this, the outputs are often single average risk scores resulting in the Flaw of Averages, a family of well documented mathematical errors. We propose open standards for conveying the results of climate models, based on the discipline of probability management, which will embed the uncertainty, including statistical dependence in auditable, cross-platform data. This will provide two major benefits. First, it will allow monolithic climate models to be disaggregated into manageable parts. Second, it will allow the results of disparate models of both hazards and impacts to be combined in numerous ways. In short, it will improve the measurement of environmental risk at any scale.  Host Jack Russo and Professor Sam Savage of Stanford University discuss the use of probability management to create a new more Coherent Climate Calculus to effectively assess economic risks relating to climate change and toward the creation of entirely new climate finance marketplaces.   Want to learn more about probability management from Prof. Sam Savage? Check out his site www.probabilitymanagement.org  

Climate change is a universal crisis, but the way we assess everything related to this crisis is problematic in itself. By definition, Risk = Likelihood x Impact (or Probability x Liability) which seems to be a straightforward way to measure whether or not you would need something like fire insurance for your home. Today host Jack Russo and Professor Sam Savage discuss why this method of risk assessment is actually horribly flawed in this nutshell version about climate risk.   Click here to learn more about probability and climate risk: https://www.probabilitymanagement.org/

Derek Moore and Jay Pestrichelli, CEO of ZEGA Financial, discussed the fallout in the markets during Jerome Powell's press conference post Fed decision. Then, they talk about high yield spreads and current interest rates across relative fixed income like investment grade, high yield, and treasuries. Finally, they explore how options are priced and which options are considered expensive or cheap vs one another. It might surprise you to take a step back looking at the per day costs. How options are priced using various inputs like implied volatility, interest rates, and time value. How Warren Buffett and Charlie Munger at Berkshire Hathaway have used options. Charlie Munger says Black Scholes is useless to price longer term options. Finally, some recommendations.     The Federal Reserve has no action, but rates move higher. Rising long end of the yield curve Does the bond market finally believe the fed? Jerome Powell post press conference market selloff When all the high yield is due to be refinanced in the debt maturity wall. Looking at 0 DTE option with a half hour left compared to 3-day options. Comparing 0 DTE options all the way out to 5year+ options prices What is the per day cost of an option? Comparing longer vs shorter-term options from a cheap vs expensive standpoint How implied volatility currently is higher in much longer options. What implied volatility says about 1 standard deviation expectations for price? Cost of carry and interest rates in the pricing of options Constructing hypothetical option trades holding treasuries with long term calls Is Charlie Munger right that Black Scholes mispriced long term options? ISDA agreement Big Short Brownville Capital talking about mispriced long-term options. Warren Buffett talks about selling very long term options to get paid to have an option   Mentioned in this Episode:   0DTE Options Analysis| Inflation Coming Back? | Strong US Dollar Impact https://podcasts.apple.com/us/podcast/0dte-options-analysis-inflation-coming-back-strong/id1432836154?i=1000628157831   Warren Buffett and Charlie Munger Berkshire Hathaway meeting discuss using and pricing options https://www.youtube.com/watch?v=SMkpou-YBGw   Implied Volatility Deep Dive | Real Interest Rate Yields | The Big Short | Tesla vs Nvidia https://podcasts.apple.com/us/podcast/implied-volatility-deep-dive-real-interest-rate-yields/id1432836154?i=1000627400400   GameStop Short Squeeze by the Reddit Wall Street Bets Traders Explained https://podcasts.apple.com/us/podcast/broken-pie-chart/id1432836154?i=1000507187446 The Big Short Movie and Credit Default Swaps Explained https://open.spotify.com/episode/6FG0xHkxfhSXEtbJbFbDF6 Margin Call Movie and Understanding Value at Risk https://open.spotify.com/episode/2XJ58KAoQKw2sdC48KHyPp Recession Predictions Still Wrong? | Synthetic Options | Unemployment Anomalies | Oil Prices Breakout https://podcasts.apple.com/us/podcast/recession-predictions-still-wrong-synthetic-options/id1432836154?i=1000626691109   0 DTE Options No Problem? | Jay Powell's Wyoming Speech Points to More Interest Rate Hikes? https://podcasts.apple.com/us/podcast/0-dte-options-no-problem-jay-powells-wyoming-speech/id1432836154?i=1000625845803     Jay Pestrichelli's book Buy and Hedge https://amzn.to/3jQYgMt   Derek's new book on public speaking Effortless Public Speaking https://amzn.to/3hL1Mag   Derek Moore's book Broken Pie Chart https://www.amazon.com/Broken-Pie-Chart-Investment-Portfolio/dp/1787435547/ref=sr_1_1?keywords=broken+pie+chart&qid=1558722226&s=books&sr=1-1-catcorr   Contact Derek derek.moore@zegafinancial.com   www.zegafinancial.com

As we cue up some new guests for the Alpha Exchange, some reflections from your host on the Black Scholes model and its 50th anniversary. No model is perfect and traders must grapple with real world frictions not entertained by the model. I discuss how option market participants make adjustments and why. Hope you enjoy! 

In this episode of the QuantSpeak podcast, Dan Tudball is joined by Dr. Jörg Kienitz, from Acadia. Jörg discusses the topic of his upcoming talk at the Black-Scholes 50th Anniversary Conference, the role that Open Source Software played in his recent paper, the importance of C++, and more.

Money is a mirage, and the harder and deeper you look into it, the hazier it can become. It is a human construct, a tool that we have all agreed to hold value in so that we can exchange it with each other for goods and services, but what is it really? How did we all come to agree on this abstract thing together, and where does it go from here?Frederick Kaufman is a journalist, professor of English and Journalism at the City University of New York, and an author. His latest book is called The Money Plot, and explores the story of how money has been developed and used in human cultures as a narrative, and uses that narrative to reveal a deeper understanding of this human construct we all use.Frederick and Greg discuss Frederick's connections and history coming through journalism to the areas of both food and money, as well as their surprising connections to each other. Frederick addresses some of the longstanding myths of the history of money and reveals some of the falsehoods and what the realities are instead. They talk about how looking at finance through the eyes of an English professor can show things that the typical finance-minded person would miss.*unSILOed Podcast is produced by University FM.*Episode Quotes:How is establishing a narrative the same as establishing a currency?31:41: Once you can establish the context for trading and establishing, this is our currency. That's where the money is. And that's precisely similar to establishing any narrative. Once we establish the grounds of a narrative, a Christian narrative, for instance, then we understand our basis for meaning. The same thing here. Once we understand that commodity narrative, that's where we make money. The problem is to make other people believe it.How Wall Street makes its living18:59: This is how Wall Street makes its living: through derivative trades and through understanding metaphors upon metaphors, upon metaphors. And they are, in my estimation, better poets than anybody out there today. I say the guy who's trading in derivatives, the guy who's an options trader, the guy who's using the Black-Scholes theorem to price options, really understands the ethereal realm of the sublime better than any other poet out there.What lies underneath the narrative of money02:17: I think, ultimately, the point of the book is that we have to remember that stories do define us, and we have to remember that it's about us. It's about humans, about human bodies, about human shelter, and about human need. All those things have to come first. We cannot be the victims of the stories that we tell.Public vs. private realm53:18: When everything that was in the private realm is now in the public realm, what the hell is it that we got? What do we have anymore that defines me? And the answer is increasingly, nothing.Show Links:Recommended Resources:Adam SmithAlfred KroeberRai StonesGuest Profile:Faculty Profile at CUNYFrederick Kaufman's WebsiteFrederick Kaufman on TwitterHis Work:Articles on Men's HealthThe Money Plot: A History of Currency's Power to Enchant, Control, and ManipulateBet the Farm: How Food Stopped Being FoodA Short History of the American Stomach

Polygon Alpha Podcast - Episode 0026 - March 24, 2023TimeSwap - Ricsson Ngo, Harshita Singh, Ameeth DevadasLinkTree - https://linktr.ee/polygonalphapodcastYouTube - https://www.youtube.com/c/PolygonTV~~~~~~~~~~~~~~~~~~~~~~TimeSwap* Decentralized and oracle-less fixed time preference protocol* Timeswap is a fixed time preference protocol for users to manage their ERC20 tokens over discrete time.* It works as a zero liquidation money market and options market in one. * Users can lend tokens into the pool to earn fixed yields.* They can also borrow or leverage tokens against other tokens, without the fear of liquidation.* Liquidity providers (different from lenders) create markets for any pair of tokens, adding liquidity, and being the counterparty to all lenders and borrowers of the protocol.* In return, they earn transaction fees from both sides of the market.* Timeswap utilizes a unique constant sum options specification and an ingenious duration weighted constant product automated market maker (AMM) similar to Uniswap AMM.* It is designed to not utilize oracles, is capital efficient, permissionless to deploy, game theoretically sound in any state of the market, and is easy to use.* Timeswap works on a duration weighted constant product automated market maker (AMM)​Key Features of Timeswap* Permissionless - Liquidity providers can create pools for any ERC20 pair, without permission.* Oracle-less - Timeswap works without any oracles and it discovers the interest rate and collateral factor through free market arbitrage.* Most importantly, this makes the tokens safe and immune to oracle manipulation attacks.* Perfect Price Range - Timeswap V2 has implemented an ingenious feature where the collateral factor is always over-collateralized i.e. it stays above one hundred percent no matter how large the lending transactions are. Under-collateralized loan by definition is a guaranteed arbitrage.* By limiting the price range to where it is always over-collateralized, increases the price efficiency and lower slippage costs for both lenders and borrowers.* Self Healing - Timeswap's well-designed free market AMM has the ability to self-heal its state and price based on the preference of the free market no matter what the market price may become or how fast it changes.* It does not matter how fast the spot price, interest price, and collateral factor of the pair go down or goes up.* It does not matter if it is a bear market or a bull market.* Symmetric Market - Timeswap V2 has a sound AMM having a perfect symmetry for lending and borrowing.* This leads to efficient pricing for the market.* Lenders can withdraw their funds before maturity given a small penalty, while borrowers can pay their debt with a discount before maturity.* Liquidity providers can also withdraw their liquidity before maturity.* Bidirectional Pool - In Timeswap V2, the pairs are now bidirectional, giving it greater capital efficiency and flexibility.* Lenders can lend either token A and/or token B into the same pool, while borrowers can leverage on token A and/or token B in the same pool, using token A and/or token B as collateral.* Gas Efficient - Timeswap does not use the Black-Scholes formula to determine the price of the option.* Instead, the protocol provides the price based on a simple constant product formula very similar to Uniswap.* This makes the protocol more gas efficient.* This also makes it very easy for anyone to intuitively create money markets for their tokens, without the need of learning complicated financial formulas.* Past Independent AMM - Timeswap is designed to be past-independent and not historically biased on the pricing.* It does not have any historical data stored in the AMM that determines the price, which gives it zero past data bias, and pricing that perfectly follows the present decisions of the free market.* Capital Efficient Liquidity -Timeswap V2's new design improves the liquidity capital efficiency by more than double, making it more lucrative for liquidity providers to join the protocol.* The revenue mechanics and divergent cost mechanics have also been improved to further make liquidity provision more profitable.~~~~~~~~~~~~~~~~~~~~~~Thank you so much for watching the video, if you've not subscribed to the channel please do! We'll continue to bring new videos to you!Polygon offers scalable, affordable, secure and carbon-neutral web3 infrastructure built on Ethereum. Our products offer developers to create user-friendly applications #onPolygon with low transaction fees and without ever sacrificing securityPolygon official channel:Website: polygon.technologyTwitter: twitter.com/0xPolygonTelegram Community: t.me/polygonofficialTelegram announcement: t.me/PolygonAnnouncementsReddit: www.reddit.com/r/0xPolygon/Discord: discord.com/invite/polygonFacebook: www.facebook.com/0xPolygon.Technology/ This is a public episode. If you would like to discuss this with other subscribers or get access to bonus episodes, visit polygonalpha.substack.com

Sean Anthonisz is the Head of Investment Strategy of Mine Super, a pension fund for the mining industry. In this episode, we talk to Sean about his background in academia and the intersection with investment implementation, the use of 'fairly loose graphs' in the industry, P-hacking and decarbonisation in a mining fund. Please enjoy the show. Overview of Podcast with Sean Anthonisz, Mine Super 01:00 Does your background in academia give you a different perspective on investing? 02:00 P-hacking in academia 05:00 Getting started in investing 07:00 How good are asset owners in picking managers? 09:00 New research coming up on costs of switching managers 11:00 Don't fire a manager too early, because the costs involved are very large 15:00 On folklore in the investment industry 17:00 Sometimes conclusions are drawn from fairly loose graphs, even by regulators 19:00 Where quant analysis is most useful is in staying away from problems 24:00 The Black Scholes option pricing model 25:00 Is investing an art or science? 26:30 For me it is about using science to avoid problems, not using science to predict the future 29:00 Looking at tactical tilting 31:30 How do you address climate change and decarbonisation in a super fund for the mining industry? 36:00 Addressing ESG driven tilts in portfolio? 38:00 Are you planning more papers? 39:00 Machine learning: we actually can now see what some of these models are doing

Volatility is defined as the standard deviation of annual log-returns, but when it comes to predicting it there are several options. Historical volatility looks at the standard deviation of previous log-returns, whereas implied volatility uses current option prices and the Black-Scholes model. One looks backwards but requires no assumptions, the other looks forward but relies on a theory. Today, Tom and Tony check some fresh data to see why we tend to prefer the forward looking IV, even if the Black-Scholes model isn't perfect.

Volatility is defined as the standard deviation of annual log-returns, but when it comes to predicting it there are several options. Historical volatility looks at the standard deviation of previous log-returns, whereas implied volatility uses current option prices and the Black-Scholes model. One looks backwards but requires no assumptions, the other looks forward but relies on a theory. Today, Tom and Tony check some fresh data to see why we tend to prefer the forward looking IV, even if the Black-Scholes model isn't perfect.

The Black-Scholes model may not be correct, but that doesn't mean it's useless. Even relaxing the assumptions, it still allows mathematicians to assert relationships between various market quantities. Today, Jacob joins Mike and Nick to explore how time and volatility relate and observe the market to see where it holds in reality and what it means when it doesn't.

The Black-Scholes model may not be correct, but that doesn't mean it's useless. Even relaxing the assumptions, it still allows mathematicians to assert relationships between various market quantities. Today, Jacob joins Mike and Nick to explore how time and volatility relate and observe the market to see where it holds in reality and what it means when it doesn't.

Black-Scholes is a beautiful model driven by Brownian motion, but Brownian motion is too restrictive to accurately describe the asset prices. One way to generalize Brownian motion which is widely used in science is to allow discontinuous jumps. This lies underneath some very fancy models that financial institutions employ. Building on last week, Jacob joins Tom and Tony to go over how these jump diffusion models look under the hood.

Black-Scholes is a beautiful model driven by Brownian motion, but Brownian motion is too restrictive to accurately describe the asset prices. One way to generalize Brownian motion which is widely used in science is to allow discontinuous jumps. This lies underneath some very fancy models that financial institutions employ. Building on last week, Jacob joins Tom and Tony to go over how these jump diffusion models look under the hood.

Volatility is the primary driver of option premium. Even though the Black-Scholes model assumes constant volatility, that doesn't stop calculus from examining what happens as volatility changes. Today, Jacob joins Tom and Tony to go over some of the lesser used Greeks and highlight when they come to the forefront and what we can expect in those situations.

Volatility is the primary driver of option premium. Even though the Black-Scholes model assumes constant volatility, that doesn't stop calculus from examining what happens as volatility changes. Today, Jacob joins Tom and Tony to go over some of the lesser used Greeks and highlight when they come to the forefront and what we can expect in those situations.

The Black-Scholes model is powerful, revolutionary, and patently wrong. Out of it, we can extract the implied volatility, a flawed yet crucial measure of option prices. Today, Jacob joins Tom and Tony to discuss what IV is, what it isn't, and how we can use IVR and IVP to interpret it while diversifying our positions.

The Black-Scholes model is powerful, revolutionary, and patently wrong. Out of it, we can extract the implied volatility, a flawed yet crucial measure of option prices. Today, Jacob joins Tom and Tony to discuss what IV is, what it isn't, and how we can use IVR and IVP to interpret it while diversifying our positions.

En este episodio, Ramón y Andrés conversan sobre una estrategia algo diferente a lo que se acostumbra escuchar, y esta es tradear la volatilidad con opciones. Aprende sobre el Modelo de Black-Scholes y comprende cómo puedes tú también aplicarlo a tu favor. Admitimos que este episodio es un poco más complejo que los que estamos acostumbrados a hacer, pero esperamos que igual les guste y sea útil para muchos de ustedes

Beta is a unique Greek. Rather than being derived from the Black-Scholes model, it is computed using historical regressions to find the linear relationship between given underlyings and market benchmarks. Today, Tom and Tony look at the data to see how much beta has varied over the years and get an idea of how reliable these correlations really are.

Beta is a unique Greek. Rather than being derived from the Black-Scholes model, it is computed using historical regressions to find the linear relationship between given underlyings and market benchmarks. Today, Tom and Tony look at the data to see how much beta has varied over the years and get an idea of how reliable these correlations really are.

Piers Ridyard is joined by Jordi and Guillem, the founders and CEO and CTO of Potion.Finance, in this episode of the DeFi Download. They talk about automated risk management, the Kelly criterion, and how an automated strategy can be embedded into the bonding curve. Potion.Finance is democratizing risk management. Potion safeguards the DeFi ecosystem from risk and ensures its sustainability. It is simple to access, open and transparent.In a previous DeFi Download episode, Piers spoke to Jordi and Guillem about Potion's approach to risk management when it comes to things like options and derivatives and other similar things, and about the really interesting approach they have taken with the Kelly criterion, versus the traditional Black-Scholes model.[0:52] What is Potion Unlock and why should people care? What role and purpose will Potion fulfil after it's deployed, and how long will it last? [8:14] What can the code do, and what can we expect the first users to accomplish with the Potion protocol once it's up and running?[11:39] The Potion team has focused on the user experience by developing visualisation tools that can assist in decoding the complexities of selling option risk management. To illustrate, Piers and Guillem take us on a simple journey, beginning with someone wanting to purchase a put option on Bitcoin and describing both sides of the transaction, first the buyer journey and then the LP route, and how those two things look.[17:35] To represent positions, Uniswap v3 chose NFTs over ERC-20s. Why did Potion decide instead to use fungible tokens rather than non-fungible tokens to indicate a specific bet?[20:08] How do Jordi and Guillem envision the emergence of a secondary market? How will they go about establishing a tradable market for their community? [26:07] What is the obstacle that has prevented the Potion team from progressing so far?[28:05] Piers discusses two types of end states from the perspective of a liquidity provider. How is Potion performing in terms of liquidity, and how has the Kelly criterion aided in this situation?[39:44] What does a liquidity provider require, and how foolproof is the starting point?[44:50] What drives Jordi and Guillem to be Web3 developers and founders, and specifically to build Potion?Further resourcesWebsite: https://www.ntropika.io/ Twitter: @PotionLabs@NtropikaLabsDiscord: discord.ntropika.io Medium: https://potion-protocol.medium.com/  

The Black-Scholes model revolutionized the trading world when it was introduced by positing an unobservable constant volatility to describe price uncertainty. But in 1987, the market delivered a costly refutation of that idea. Today, Jacob joins Tom and Tony to explore how volatility was originally understood, is thought about today, and we should think of implied volatility now that we know Black-Scholes is not literally true.

The Black-Scholes model revolutionized the trading world when it was introduced by positing an unobservable constant volatility to describe price uncertainty. But in 1987, the market delivered a costly refutation of that idea. Today, Jacob joins Tom and Tony to explore how volatility was originally understood, is thought about today, and we should think of implied volatility now that we know Black-Scholes is not literally true.

The Black-Scholes model revolutionized the trading world when it was introduced by positing an unobservable constant volatility to describe price uncertainty. But in 1987, the market delivered a costly refutation of that idea. Today, Jacob joins Tom and Tony to explore how volatility was originally understood, is thought about today, and we should think of implied volatility now that we know Black-Scholes is not literally true.

In a time of burgeoning options markets, two economists put forward a robust mathematical model for asset prices. Over the decades since, financial theorists have managed to extract the Greeks: a collection of derived quantities with the ability to predict how prices respond to changes in the market.  Today, Jacob joins Tom and Tony to set up the context of the Greeks within the Black-Scholes model and discuss some of the most fundamental ones. May the fourth be with you.

The Black-Scholes model can seem overwhelming and complicated, but there are a few main keys that we can focus on to estimate extrinsic value in options prices - time to expiration, IV% levels, and most importantly, how expensive the stock price is!Tune in to learn more with a live Q&A as well!

The Black-Scholes model can seem overwhelming and complicated, but there are a few main keys that we can focus on to estimate extrinsic value in options prices - time to expiration, IV% levels, and most importantly, how expensive the stock price is!Tune in to learn more with a live Q&A as well!

On this 400th episode spectacular, Brian and Mark huddle up to answer your questions about: Covered calls on long equity / ETF positions The upcoming Nanos by Cboe Buying straddles What Delta is Premium and risk the Black Scholes model Options for day traders Options strategies And much more... The Options Playbook is available at OptionsPlaybook.com, or on Amazon. Do you have a question that you want to be answered on a future episode? Send it to Brian at TheOptionsGuy@Invest.Ally.Com or to the Options Insider at Questions@TheOptionsInsider.com. You can also find Brian on Twitter at @BrianOverby.

On this 400th episode spectacular, Brian and Mark huddle up to answer your questions about: Covered calls on long equity / ETF positions The upcoming Nanos by Cboe Buying straddles What Delta is Premium and risk the Black Scholes model Options for day traders Options strategies And much more... The Options Playbook is available at OptionsPlaybook.com, or on Amazon. Do you have a question that you want to be answered on a future episode? Send it to Brian at TheOptionsGuy@Invest.Ally.Com or to the Options Insider at Questions@TheOptionsInsider.com. You can also find Brian on Twitter at @BrianOverby.

In the abstract world of the Black-Scholes model, underlying price movements should be self-similar: the statistical properties don't change as you zoom in or out. But abstract theory only sometimes accords with reality.  Today, Tom and Tony dive into the data to compare runs on different time scales and see how close the market is to the models.

In the abstract world of the Black-Scholes model, underlying price movements should be self-similar: the statistical properties don't change as you zoom in or out. But abstract theory only sometimes accords with reality.  Today, Tom and Tony dive into the data to compare runs on different time scales and see how close the market is to the models.

Runs, long spans of up or down days without a move in the other direction, are rare but not as rare the Black-Scholes model predicts. Today, Jacob joins Tom and Tony to unpack this discrepancy, contrast the Black-Scholes model and the efficient market hypothesis, and look at some fractals.

Runs, long spans of up or down days without a move in the other direction, are rare but not as rare the Black-Scholes model predicts. Today, Jacob joins Tom and Tony to unpack this discrepancy, contrast the Black-Scholes model and the efficient market hypothesis, and look at some fractals.

Ever met a guy that played football with Odell Beckham and can wax poetically on Black Scholes and oh yeah has a petroleum engineering degree, Chuck has and you get to listen to his chat with that guy, Robert Smith of Donovan Capital. Wellsite Navigator is introducing the new technology you've been asking for: Lease Road Navigation. They've already mapped over 19,000 miles of oilfield lease roads that don't appear anywhere else, and every week they are adding more! Try Wellsite Navigator for free and get a $10 Amazon Gift Card for every friend you refer! https://fbuy.io/wellsite/energycrue

In this episode of The DIVI Crypto Podcast, we are talking with Pat Doyle of Genesis Volatility and Pink Swan Trading (DeGen Data). Gvol permits our users to handle probabilities, identify possibilities, examine and trade activity, supplying institutional level crypto options analytics. To handle probabilities, use Gvol tools to aid in computing probabilities, Black-Scholes pricing, and assorted tacit volatility yields. To assist in determining possibilities, GVol tools aid the user in finding price waverings along with advanced quantity trades in the crypto options industry. The world of the crypto options industry drives pricing inefficiencies and optimistic expected value transactions. In order to analyze trade processes, GVol tools allows the trader to supervise trade rate and occurrences in open interest. This careful analysis aids the users in learning what whales and other high level traders are doing with the crypto options industry, supplying perceptiveness into obscure trading possibilities. Gvol gives its users Live Stats in the crypto options industry. These active stats admit data to assist with devising trades, and consider: Implied volatility pricing from assorted avenues Mass, open interest and deep liquidity data Along with times and sales information Furthermore, Gvol renders crypto options users with Historical Data: Examine trade and quote data, Canvass the live implied unpredictability environment versus historical unpredictability, Research directions in open interest and put/call ratios, and Research block-trades with the “Block-Sniffer” In addition, Gvol can also render unto the user tools on DeFi affiliated trades: Analyze between CeFi and DeFi trade information, Locate edge and alpha in the emerging DeFi option industries, As well as to examine on-chain liquidity and bulk data Finally, Gvol provides an Application Programming Interface (API) for those persons that are concerned: Our API resolution is now live in crypto market for $899/mo Desk fee covers pro agreements company-wide Please Contact info@genesisvolatility.io for more information on Gvol's Application Programming Interface (API). DeGen Data focuses on the NFT industry in supplying traders, HODLers, and enthusiasts with the most fitting means for their goals. In order to have an improved perception into the NFT realm, one needs to see the “floor,” the lowest priced piece in a compendium. Next, you want to know the Unique Number of HODLers. After that, Wallet Actions are vital. These metrics can aid, and are all supposed to be used in unison. Each NFT collection has unparalleled methods to propel worth. DeGen, via FLEX, spotlights the fact that the possession of art needs to be respected. How, where, and when it is showcased should be up to the proprietor. The FLEX protocol, V1.0, features reinforcement for wider use instances, such as methods for NFT owners to acquire the worth their NFT creates. To learn more about Pat Doyle, visit: https://gvol.io/ https://pinkswantrading.com https://www.genesisvolatility.io/ https://degendata.io/ -- DIVI is creating the world's first closed-loop, vertically-integrated cryptocurrency ecosystem. Much like Apple's ecosystem is anchored by iCloud, the DIVI Project blockchain serves as the core of the DIVI network of technologies. Thanks to a keen understanding of the divide that separates the mainstream from the crypto world, the DIVI team is able to create solutions to the industry's biggest problem: adoption by non-technical users. DIVI's user-friendly, one-click solutions aim to bring blockchain-based payments into modernity with great UX. In this podcast, we will cover all aspects of cryptocurrency, hot topics, and technology as worldwide adoption grows.

The Black-Scholes model lies beneath all the probabilities that tastytraders rely on to make decisions. In this model, future asset prices follow log-normal distributions, with the distribution generally getting more disperse as volatility increases, but only up to a point.  Today, Jacob joins Tom and Tony to dive deep into the Black-Scholes model and explore this surprising result of very high volatility.

The Black-Scholes model lies beneath all the probabilities that tastytraders rely on to make decisions. In this model, future asset prices follow log-normal distributions, with the distribution generally getting more disperse as volatility increases, but only up to a point.  Today, Jacob joins Tom and Tony to dive deep into the Black-Scholes model and explore this surprising result of very high volatility.

Conditional value at risk, or CVaR, is an investment statistic that can be useful for understanding the risk associated with a trade. Typically it is calculated using historical data from similar trade, but in the Black-Scholes model it can also be derived from Implied Volatility. Today, Tom and Tony look check the data to see how Implied CVaR does at anticipating risk.

Today's guest on Fortune Teller is Pat Doyle of Genesis Volatility and Pink Swan Trading (DeGen Data). GVol allows for one to manage risks, identify opportunities, analyze and trade activity, providing institutional grade crypto options analytics. To manage risks, use Gvol calculators to assist in estimating probabilities, Black-Scholes pricing, and various implied volatility outputs. In order to identify opportunities, GVol tools help you find pricing fluctuations along with high probability trades in the crypto options market. The nature of the crypto options market causes pricing inefficiencies and positive expected value trades. For analyzing trade activity, GVol tools lets you monitor trade flow and changes in open interest. This detailed analysis helps you understand what whales and other large volume traders are doing with the crypto options market, providing insight into hidden trading opportunities. GVol provides its users with Live Stats in the crypto options market. These live stats include data to help in making trades, and include: Implied volatility pricing from various venues Volume, open interest and deep liquidity profiles And times and sales data In addition, GVol provides crypto options traders with Historical Data: Investigate trade and quote data, Compare the current implied volatility environment versus historical volatility, Explore trends in open interest and put/call ratios, and Investigate block-trades using our “Block-Sniffer” Furthermore, GVol can also provide you with tools on DeFi related trades: Compare CeFi versus DeFi trade data, Find edge and alpha in the nascent DeFi option markets, As well as to analyze on-chain liquidity and volume data Lastly, GVol offers an Application Programming Interface (API) for those parties that are interested: Our API solution is currently live in market, $899/mo Desk fee includes pro subscriptions firm wide Please Contact info@genesisvolatility.io for more information on GVol's Application Programming Interface (API). DeGen Data works in the NFT market by providing traders, collectors, and enthusiasts with the proper tools for their efforts. To have a better insight into the NFT market, one needs to know the “floor,” the lowest priced item in a collection. Next, you need to know the Unique number of Holders. Following that, Wallet Activity is important. These metrics can help, and are all meant to be used together. Each project has unique ways to drive value. DeGen, via FLEX, highlights the fact that the ownership of art should be respected. How, where and when it is displayed should be up to the owner. The FLEX protocol, V1.0, includes support for broader use cases. Like ways for NFT owners to capture the value their NFT generates. To learn more, visit: https://gvol.io/ https://pinkswantrading.com https://www.genesisvolatility.io/ https://degendata.io/ -- The Fortune Teller podcast is a discussion between industry leaders in blockchain and financial technologies. The podcast focuses on the development of blockchain-based financial services and outlines the current state of the industry and future predictions for the adoption of decentralized finance. Go to www.teller.finance/

Erik Kobayashi-Solomon, author of The Intelligent Option Investor and Forbes contributor, joins Juan and Andy this week to discuss value investing and options. They discuss put options in the context of value, risks retail investors take with options and a dissection of the Black-Scholes Model.  EPISODE MINUTES:  01:08 Introduction 01:52 Erik's background 04:31 What is an option? How do they fit into value investing?  11:46 What is the Black-Scholes model and why isn't it the end-all-be-all for pricing options? 17:10 How can price forecasting be used in value investing? How does it fit in with valuations? 23:09 Why does the industry appear to be obsessed with pinpointing valuations to a certain figure rather than a range? 25:30 How do tail events work within option investing? 29:56 Selling put options instead of buying an underlying stock 37:30  Should retail investors have access to options? 42:30 Book recommendations and a unfavourable outcome that was a result of poor decisions Book recommendations: The Intelligent Option Investor by Erik Kobayashi-Solomon The Essays of Warren Buffet NEW EPISODES: You can subscribe via Podbean or use this feed URL (https://tvpschroders.podbean.com/feed.xml) in Apple Podcasts and other podcast players. GET IN TOUCH: send us a tweet: @TheValueTeam  Important information. This podcast is for investment professionals only. This information is not an offer, solicitation or recommendation to buy or sell any financial instrument or to adopt any investment strategy. Any data has been sourced by us and is provided without any warranties of any kind. It should be independently verified before further publication or use. Third party data is owned or licenced by the data provider and may not be reproduced, extracted or used for any other purpose without the data provider's consent. Neither we, nor the data provider, will have any liability in connection with the third party data. Reliance should not be placed on any views or information in the material when taking individual investment and/or strategic decisions. Any references to securities, sectors, regions and/or countries are for illustrative purposes only. The views and opinions contained herein are those of individual to whom they are attributed, and may not necessarily represent views expressed or reflected in other communications, strategies or funds. The value of investments and the income from them may go down as well as up and investors may not get back the amounts originally invested. Exchange rate changes may cause the value of any overseas investments to rise or fall. Past Performance is not a guide to future performance and may not be repeated. The forecasts included should not be relied upon, are not guaranteed and are provided only as at the date of issue. Our forecasts are based on our own assumptions which may change.  

In this episode, Trishul teaches Aaron what it means when the VIX is over 30, and things get a little wonky explaining all the technical math behind stock market volatility. They appropriately compare options to insurance and gambling. And they discuss the Black-Scholes pricing model and how market forces determine implied volatility. In the end, they discuss how understanding the VIX can be a useful tool, but trying to rely on it for investment predictions can be just as dangerous as any other future prediction methodology.Episode ReferencesVIX - DefinitionAnnualized Standard Deviation of Monthly ReturnsThe 68–95–99.7 RuleBlack-Scholes - DefinitionInvesting Forever - Risk Management 101Investing Forever - Introduction to VolatilityInvesting Forever - The Normal DistributionVXX: Investing (Short) in VolatilityVolatility Blow-up Leads to Inverse VIX ETN CasualtyPodcast Description Welcome to The Mind Money Spectrum Podcast where your hosts Aaron Agte and Trishul Patel go beyond traditional finance questions to help you explore how to use your money to achieve the freedom you want in life. Aaron is a Financial Planner from the Bay Area, and Trishul is a Wealth Manager on the East Coast. For more information about Aaron, check out GraystoneAdvisor.com. And for more information on Trishul check out InvestingForever.com. We thank you all for listening, and stay tuned for our latest episode on our website, MindMoneySpectrum.com.

Volatility Review: Russells Weekly Rundown VIX Options: A moderate volume week. M: 266K T: 400K W: 572K Th: 614K Total 7.45m (5.73m Calls, 1.72m Puts) Crude Oil: OIV/OVX - 46, almost touched 80 back in mid-February. Gold: GVZ 19.32 - Well off recent highs. Volatility Voicemail: One giant listener question. Question from Jeremy - Hi Guys, This show is a great resource and has taught me a lot throughout the years. I was listening to the most recent show on March 11th "Uncovered Covered Calls and IRA Options Debate" and I wanted to write in regarding the discussion on dynamic hedging of a short option position. First, let me quickly introduce myself to provide some context. My name is Jeremy and I am in the final year of my PhD in computer engineering with a MS in applied mathematics and statistics and a BS in math. I have spent the past 4+ years researching for the NASA Ames Research Center. My PhD research focuses on the modeling, simulation and analysis of stochastic processes and the application of optimization algorithms to the air traffic control system. Here is a link to my LinkedIn to verify my academic record and list of publications. In addition to my PhD research, I am working on starting a fund with two other academics. The fund specializes in delta neutral trading and has developed two tools to execute volatility premium harvesting strategies. I provide a short description of the tools below. In particular, the second tool is directly related to the dynamic hedging of a short option position and the discussion on the previous show. 1) Our stochastic volatility tool estimates volatility using high-frequency data, such that the microstructure noise is directly accounted for. The tool uses a Bayesian MCMC algorithm to provide estimates of the volatility where estimates are consistent across all sampling time scales. Moreover, the tool provides samples of arbitrarily large number of volatility paths though time. 2) Our stochastic optimal control tool to hedge a short option position (or a combination of short option positions). After the option is sold, the risk can be controlled by effecient delta hedging. This can be done by calculating the optimal price boundaries to trigger a hedge in the underlying asset. Moreover, these boundaries are informed by the dynamics of the volatility as calculated from our stochastic volatility tool. The strategy that the Greasy Meatball provided on the show to hedge the short option at the close of every trading day is a good start. The problem with the strategy is that this approach is a sub-optimal timing mechanism. Many days you will hedge at the close when you don't need to, leading to increased trasaction costs. Instead, this problem should be formulated as an optimization problem that we can solve to provide the best strategy. A little background on the academic literature. In an ideal world under the Black Scholes model with no transaction costs the options can be hedged perfectly. In the presence of transaction costs, a continuous hedging strategy is prohibitively expensive. Hence, it is impossible to perfectly replicate the option in this setting when there are transaction costs and, as a result, trading in an option involves an essential element of risk. How to optimize with respect to this risk and uncertainty has been a topic of research throughout the economic and control literature. There have been many different strategies throughout the years. Briefly I will present one strategy which minimizes the standard deviation of hedging error when compared to many, if not all, of the other strategies. The attached paper was published in 2009 in the Journal of Economics Dynamics and Control by a Professor of Statistics at Stanford. As can be found in the paper, the problem of option hedging in the presence of proportional transaction costs can be formulated as a singular stochastic control problem. The authors approach is based on minimization of a Black–Scholes-type measure of pathwise risk, defined in terms of a market delta, subject to an upper bound on the hedging cost. The approach can also be applied to solve the problem of maximizing the investors utility at the terminal time of the option contract. The main idea of the attached paper is to calculate price boundaries that trigger a hedge in the stock. Moreover, the number of shares that should be held when we reach the boundary is also calculated. Attached to this email is a screen shot from the paper that illustrates these price boundaries. Without getting into too many details, the top figure illustrates the price boundaries for an option with "1 unit of time" left (think 1 month). And the bottom figure illustrates the price boundaries for an option with "0.25 units of time" left (think 0.25 months). As can be seen in the figure, the shape of these boundaries changes with respect to how much time is left to expiration. This email is most likely too long so I will stop my explanation here, but I would love to continue this discussion with you guys. If you are interested in learning more about the stochastic optimal control or the stochastic volatility tools me and my fund have developed please ask. In particular, I can provide more detail on our stochastic control and how it is an enhancement of the control that is developed in the attached paper. The key difference being that their tool assumes a constant volatility over the time horizon, whereas our tool allows for the volatility to change as a function of time. I hope to hear your thoughts and get any feedback you may have!  Best, Jeremy Crytstal Ball: Where did we think VIX would be? Two episodes ago: Russell - 15.5/8, Mark S. - 14.25, Mark L. - 15 Last episode: Andrew - 13.01, Mark L. - 12 This week: Russell - 17, Mark S. - 15.5, Mark L. - 14.5

Option Block 417: Big Boy AAPL and Crazy VIX Settlement Trading Block: The Dow welcomes Apple. Informed traders prefer options says academic research. Options market sees bottom in gold with urgency on hold at Fed. Earnings today (before the bell): Lennar (LEN); after the bell: Nike.   Odd Block: Unusual traders in Sina Corp. (SINA)   Xpress Block: Alex discusses covered writing strategies     Mail Block: Listener questions and comments Question from Mark Brant - Thanks to the crew for a great show and for answering my question! When the cat was away the mice did play! ...@Options Do block trades show up on the retail brokerages position ledgers as volume and OI... AAPL 1M ATR is at the top of its 20yr range so I bot April straddles for way less! Question from Nico - Do I need to understand the Black-Scholes formula to trade options? Question from James Mile - I am currently reading the options books by McMillan and Natenberg (thanks for the great suggestions). The latter chapters of some of these books get pretty deep into the mathematical underpinnings of the options market. I have to wonder if most of the people who are trading these products really understand this stuff. Do you share my concerns that there are potentially millions of people out there slinging calls and puts that really don't understand how any of this stuff works? Great program. Glad OX/Schwab is a supporter of such fine content.

The Midas Formula - In this week's More or Less: The story of Black-Scholes, the equation that transformed Wall Street – and the arguments over whether it made the world a better place, or helped cause the financial mess we have all been dealing with for the past five years. This programme was first broadcast on the BBC World Service.