Jeff Liang

Jeff Liang

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CEO and co-founder of http://Greeks.live, crypto option tools. https://t.me/greekslive . Opinions are my own and not financial advise.

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This is BS PDE (Partial Differential Equation), it gives deterministic relationship between how option price change with respect to time, and with respect to underlying spot price (both 1st and 2nd order), under no-arbitrage requirement. Solving it, will then leads to BS Option Pricing Formula and that would give option price.

The skewness has recovered somewhat, and the market has rebounded. Regular Report - BTC Price: $70,819 - Session dSpot: $1,119.70 - dSpot Pct: 1.61% - DVOL: 56.20 - Session dDVOL: -1.06 (Start: 57.26) - Sigma0 30d: 53.32 - Session dSigma0 30d: -0.15 (Start: 53.46) - 30d Skew Avg: -6.06 - Session dSkew 30d Avg: +1.43 (Start: -7.50) - 30d Fly Avg: 2.12 - Session dFly 30d Avg: -0.36 (Start: 2.48)

In strategy design, excess kurtosis is not an optional metric. When excess kurtosis = 0, the extreme case of 5 Sigma occurs once every 4700 years. However, when excess kurtosis = 3, the frequency is once a year. Excess kurtosis is a patch for the normal distribution model.

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