Grigory Vilkov

Professor of finance @FrankfurtSchool

[Grigory Vilkov @VilkovGrigory]

@OxfordFrom If we talk about intensity, that is, per dollar spent, it is probably true.

[Grigory Vilkov @VilkovGrigory]

@MichaelAArouet Which elections? They will not change anything: x+y=y+x..

[Grigory Vilkov @VilkovGrigory]

@sascha_steffen @faznet Unglaublich…

[Grigory Vilkov @VilkovGrigory]

We are looking for new colleagues!

Assistant Professor of Finance (Tenure-Track) at Frankfurt School of Finance & Management!

If you are creative, curious and passionate about research, apply by November 18 at https://t.co/14rbw1pRiR

Let me know if you have any questions!

[Grigory Vilkov @VilkovGrigory]

Always gun working with BIS!
@FrankfurtSchool

[Bank for International Settlements @BIS_org]

VIX ETFs and dispersion trades were unlikely the main drivers behind the August 2024 spike

https://t.co/4C1T7R7TUV

#BISBulletin

[Grigory Vilkov @VilkovGrigory]

Anatomy of the VIX spike in August 2024 https://t.co/Ttw8s7H8xV via @bis_org

@FrankfurtSchool @CBOE

[Grigory Vilkov @VilkovGrigory]

@MCroce_MacroFin Man… diet is futile :)

[Grigory Vilkov @VilkovGrigory]

@dmuravyev Exactly the danger of GPT overuse in academia we talked about a week ago…you were much more pro-GPT though :)

[Grigory Vilkov @VilkovGrigory]

@achenfinance …eta about 60 hours:)) will ask you about snorkeling spots :))

[Grigory Vilkov @VilkovGrigory]

✅New paper: Factor Dispersions

A new view at dispersion premium attribution Comments always welcome!

📰 https://t.co/0eu3Z4kEs7

@FrankfurtSchool with @vittorio_ruffo @d_gerchik and @lorenzo_schoenleber

#optiontrading #trading #options #cboe

[Grigory Vilkov @VilkovGrigory]

@frankoz95967943 Thanks! ..we provided only some suggestive evidence on the increasing volatility selling in recent periods.. certainly, it is only one of many forces driving volatility levels..

[Grigory Vilkov @VilkovGrigory]

If you missed the April Frontiers in Quantitative Finance seminar on 0DTEs: Trading, Gamma Risk and Volatility Propagation, you can catch up with the recording https://t.co/6Wo1HQ7uhU
@ChukwumaCDim @BjornEraker
@FrankfurtSchool
#0dte #optiontrading #cboe

[Grigory Vilkov @VilkovGrigory]

qmoms package for the Implied Moments from IV Surface!

Includes: log and simple variances, CVIX, TLM, Semi-vars, and tail measures.

On GitHub: https://t.co/2ga8sYbTJz

..to be updated to include generalized lower bounds, implied betas, correlations++. Thanks for any feedback!

[Grigory Vilkov @VilkovGrigory]

@ConcretumR @macro_synergy Good time of the day!
We also find that high 0DTE volume is associated with high volatility and underlying volume; in recent periods the flows in 0DTE and underlying markets are very correlated. However, we do not find that 0DTE flows cause higher volatility!

[Grigory Vilkov @VilkovGrigory]

Tickets are now available for ØDTEs: Trading, Gamma Risk and Volatility Propagation at The Auditorium, Citigroup Centre, London on Thu 11 Apr 2024 at 6:00PM. Click the link for further information and to secure your tickets now! https://t.co/ewXCGqPpi7

[Grigory Vilkov @VilkovGrigory]

@achenfinance You mean “does anybody else posts corrections to your code?” Or to own code?:)))

[Grigory Vilkov @VilkovGrigory]

Too much volatility selling or just right? How dangerous is it for the end users of structured products?

https://t.co/KcI3rZCR8g via @ft

#0dte #VolatilityFarming #OptionsTrading
@FrankfurtSchool

[Dr. J @MichaelJohanne9]

New analytical results on the impact of announcements and higher moments from 1DTE SPX option returns, building on 0DTE work by @VilkovGrigory and @BjornEraker with @NormanSeeger, Andreas Kaeck and Neel Shah. Macroeconomic announcements, not in 0DTE samples, drive 1DTE returns. https://t.co/iR8bphk3QS

[Grigory Vilkov @VilkovGrigory]

@paradoxinvestor Here is the share of the retail investors (identify by OPRA SLAN flag) for SPXW and SPY options by quarters and maturity buckets (in working days!)... rather going down than up! ..and it is pretty small overall!

[Grigory Vilkov @VilkovGrigory]

@prodigal_sun92 @quantseeker selling calls is not profitable, and if some strikes show a positive median, the distribution is so wide that it is more a casino than trading.