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Nitin Saksena, Head of US Equity Derivative Research, BofA Securities

Alpha Exchange

CHAPTER

How to Make a Trade Analysis With Local Vol Models

The data at least on an aggregate basis is giving you a decent look from a we can discern what the trade was. We always struggled with a strangle versus a risk reversal the same thing you got to put in a call in there it just depends on what you're doing. Up to 60 to 70 percent of these positions have early close out which makes a lot of sense with this much gamma intraday but for example you're not seeing multiple times the number of shorts opened relative to longs.

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