🎯 Key Takeaways for quick navigation: 00:00 *📊 Overview of Optiver Realized Volatility Kaggle Challenge* - Introduction to the Optiver Realized Volatility Kaggle Challenge and its significance in financial markets. 01:07 *📈 Market Participants in Financial Markets* - Classification of market participants into two main groups: directional traders and market makers. - Explanation of the roles and motivations of each group, including asset managers, investment banks, retail investors, market makers, high-frequency traders, brokers, and intermediaries. 02:51 *💹 Role of Market Makers* - Market makers play a crucial role in maintaining market liquidity and efficiency. - They calculate prices, manage order books, and facilitate trading by providing bid and ask prices simultaneously. - Market makers manage risks through hedging strategies and profit from the bid-ask spread. 06:02 *📉 Understanding Implied Volatility* - Implied volatility reflects market expectations of future volatility and is derived from options prices. - It provides insights into market sentiment and helps traders assess the risk and potential returns of financial instruments. 08:17 *📊 Analyzing Historical Volatility Data* - Importance of analyzing historical volatility data for predicting future market trends. - Utilization of historical volatility data in modeling and forecasting realized volatility. 10:49 *📈 Processing Historical Volatility Data* - Techniques for processing and analyzing historical volatility data, including data visualization and statistical analysis. - Discussion on the distribution of historical volatility and its implications for trading strategies. 13:47 *💡 Real-World Volatility vs. Black-Scholes Model* - Discrepancies between real-world volatility and theoretical models like Black-Scholes. - The impact of market dynamics on volatility levels and pricing discrepancies in options markets. 15:46 *🔄 Relationship Between Historical and Realized Volatility* - The correlation between historical and realized volatility and its significance for traders. - How understanding this relationship can inform trading decisions and risk management strategies. Made with HARPA AI
Thanks, this is really helpful. How will it help Optiver by knowing the future realized vol ? Because if they have to delta hedge, isnt getting the direction right important as the vol. And I am guessing the vol could be more sizing the hedge. Can you please let me know your thoughts.
Awesome channel, i'm binge watching and following all your python tutorials and have learned a great deal. Could you recommend me a book or other resource to learn quantitative finance?
You showed there is a spread between implied volatility for puts and calls. I have a question: does that spread indicate an arbitrage opportunity. If not, why?
Thank you for the video! Could you please do a video explaining more in depth the role of market makers? Who can be a market marker? What are the requirements for it? Can an individual become a market marker on his own? Who is supervising the market makers? How many market makers are active for the major indexes? Can market makers influence the direction of a given stock? Is Optiver active on different markets? How much money do they earn on active stocks? May be you could do an interview with a market maker. This would be the first video explaining this....unfortunately there is no information about this topic on RUclips.
I appreciate the information but to be quite frank, why are we helping market makers by helping them to analyze and better understand our thought processes? All I fell they're mostly trying to achieve by this, is to just help them create and write new algorithmic models against the general population of retail traders?
Because they are also humans and they are not perfect, we can profit from them, if we learn to do so, regardless of the traps they set us up, they can’t always lie to us, they wish, but they can’t
Who agrees with me on this , that the most costly way for an investor to hedge his stock market exposure is by going and buying straddles ? Hence shorting them can provide very positive consistent returns !
Only when vol is expensive. Sell cheap straddles and eventually stock will rip through one of your strikes and you’ll take a massive loss. Straddles pretty much suck period.
Fascinating option pricing and vol analysis. Seems realized vol might be a function of the calculations done in technical price bars as measured in the "seismic measurer" of potential vol in Welles Wilder's ADX/DMI under over 20 levels, the Wilder ATR 5 and10 versus 100 day, or the 8 to 15 day Squeeze Indicator from John Carter measuring SD of Bollinger Bands compared with Keltner Channel ATRs etc? Seismic activity at low level means breakout in realized vol is coming and vice versa. Realized vol would seem a derivative of price action catalysts creating the supply demand dynamics of then options reacting to price bar movements and compression. If just using historical option prices to try and predict realized vol would seem a tautology, a snake eating its tale so to speak in not measuring the true catalyst in realized vol, energy jumps in the subconscious of man reacting to price or planetary energy reflected then on the price bar creating compression or expansio breakouts in realized vol over time. Just a "speculative observation" but has, imo, the Hemingway esque ring of truth to effective technical price "seismic indicators." Ty for sharing your option market making analysis with traders across the world on YT. The truth shall set us all free on the market level as well as higher spiritual planes. New US subscriber.
i think what we can learn from historic volatility is inherent price action; one does not predict realized vol through historical vol, rather, one derives predicted vol and compares the relative vol to that of the price of an option based in the past. should the relative pricing be higher than what it was in the past, this means the option is overvalued given the same volatility that is predicted. after all, pricing of the option itself isn't an output of volatility, rather, a derivative of the market.
Best explanation ever! Many thanks for uploading this video.
This is such an informative channel for the current market situations. Appreciate it and much love from a peasant retail investor!
diddo!
I don't understand 😢 can someone help me
Very informative, looking forward for the second part of realized volatilty
Lets goooooo OPTIVER. Great video man!!
Such a fantastic explanation. This guy is a genius
did u make profits
🎯 Key Takeaways for quick navigation:
00:00 *📊 Overview of Optiver Realized Volatility Kaggle Challenge*
- Introduction to the Optiver Realized Volatility Kaggle Challenge and its significance in financial markets.
01:07 *📈 Market Participants in Financial Markets*
- Classification of market participants into two main groups: directional traders and market makers.
- Explanation of the roles and motivations of each group, including asset managers, investment banks, retail investors, market makers, high-frequency traders, brokers, and intermediaries.
02:51 *💹 Role of Market Makers*
- Market makers play a crucial role in maintaining market liquidity and efficiency.
- They calculate prices, manage order books, and facilitate trading by providing bid and ask prices simultaneously.
- Market makers manage risks through hedging strategies and profit from the bid-ask spread.
06:02 *📉 Understanding Implied Volatility*
- Implied volatility reflects market expectations of future volatility and is derived from options prices.
- It provides insights into market sentiment and helps traders assess the risk and potential returns of financial instruments.
08:17 *📊 Analyzing Historical Volatility Data*
- Importance of analyzing historical volatility data for predicting future market trends.
- Utilization of historical volatility data in modeling and forecasting realized volatility.
10:49 *📈 Processing Historical Volatility Data*
- Techniques for processing and analyzing historical volatility data, including data visualization and statistical analysis.
- Discussion on the distribution of historical volatility and its implications for trading strategies.
13:47 *💡 Real-World Volatility vs. Black-Scholes Model*
- Discrepancies between real-world volatility and theoretical models like Black-Scholes.
- The impact of market dynamics on volatility levels and pricing discrepancies in options markets.
15:46 *🔄 Relationship Between Historical and Realized Volatility*
- The correlation between historical and realized volatility and its significance for traders.
- How understanding this relationship can inform trading decisions and risk management strategies.
Made with HARPA AI
Dumb
Thanks, this is really helpful.
How will it help Optiver by knowing the future realized vol ?
Because if they have to delta hedge, isnt getting the direction right important as the vol. And I am guessing the vol could be more sizing the hedge.
Can you please let me know your thoughts.
the delta hedge removes the directional component of the trade and makes it so only exposure is realized volatility.
Is it ATM implied vol in the volatility cone?
You mention the next video, but there's no link :(
does someone have the link to 2rd part of video?
Awesome channel, i'm binge watching and following all your python tutorials and have learned a great deal.
Could you recommend me a book or other resource to learn quantitative finance?
Thanks! Check out the video on my channel “What is a Quant?”
You showed there is a spread between implied volatility for puts and calls. I have a question: does that spread indicate an arbitrage opportunity. If not, why?
Interesting! Is it possible to open account in charles schwab?
But i stay in indonesia.
Please help
which model of laptop, looking good
Huawei Matebook pro
using the same one, but the design of the camera really doesn't make sense@@QuantPy
What kind of laptop do you have?
I recognise a couple of books behind your monitor, can you provide the whole list? 😅
Can you please name at least some books. I don't recognise it
@@ВарвараТомайлы interest rate modelling by Jessica James and option volatility and strategies by Natenberg
Thank you for the video! Could you please do a video explaining more in depth the role of market makers? Who can be a market marker? What are the requirements for it? Can an individual become a market marker on his own? Who is supervising the market makers? How many market makers are active for the major indexes? Can market makers influence the direction of a given stock? Is Optiver active on different markets? How much money do they earn on active stocks? May be you could do an interview with a market maker. This would be the first video explaining this....unfortunately there is no information about this topic on RUclips.
nowdays most market makers are actually frims with crazy algorithms and geniuous freaks writing algos to market make
Is this method applicable to stocks in the American markets like the NASDAQ for example?
As in the method of calculating historical volatility
I appreciate the information but to be quite frank, why are we helping market makers by helping them to analyze and better understand our thought processes? All I fell they're mostly trying to achieve by this, is to just help them create and write new algorithmic models against the general population of retail traders?
Because they are also humans and they are not perfect, we can profit from them, if we learn to do so, regardless of the traps they set us up, they can’t always lie to us, they wish, but they can’t
greate thank u
Can you do a video on Technical Analysis and if it’s all bull5hit or not… please 🙏
Thank you ser ! Your videoes have changed my life !
thanks buddy
Who agrees with me on this , that the most costly way for an investor to hedge his stock market exposure is by going and buying straddles ? Hence shorting them can provide very positive consistent returns !
Only when vol is expensive. Sell cheap straddles and eventually stock will rip through one of your strikes and you’ll take a massive loss. Straddles pretty much suck period.
How can you sell straddles? Just have enough margin to do so?
sdg
Poor explanations. Very imprecise, too fast, not clear. Do better.
Fascinating option pricing and vol analysis. Seems realized vol might be a function of the calculations done in technical price bars as measured in the "seismic measurer" of potential vol in Welles Wilder's ADX/DMI under over 20 levels, the Wilder ATR 5 and10 versus 100 day, or the 8 to 15 day Squeeze Indicator from John Carter measuring SD of Bollinger Bands compared with Keltner Channel ATRs etc? Seismic activity at low level means breakout in realized vol is coming and vice versa.
Realized vol would seem a derivative of price action catalysts creating the supply demand dynamics of then options reacting to price bar movements and compression. If just using historical option prices to try and predict realized vol would seem a tautology, a snake eating its tale so to speak in not measuring the true catalyst in realized vol, energy jumps in the subconscious of man reacting to price or planetary energy reflected then on the price bar creating compression or expansio breakouts in realized vol over time. Just a "speculative observation" but has, imo, the Hemingway esque ring of truth to effective technical price "seismic indicators." Ty for sharing your option market making analysis with traders across the world on YT. The truth shall set us all free on the market level as well as higher spiritual planes. New US subscriber.
i think what we can learn from historic volatility is inherent price action; one does not predict realized vol through historical vol, rather, one derives predicted vol and compares the relative vol to that of the price of an option based in the past. should the relative pricing be higher than what it was in the past, this means the option is overvalued given the same volatility that is predicted. after all, pricing of the option itself isn't an output of volatility, rather, a derivative of the market.