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Pastimes : Clown-Free Zone... sorry, no clowns allowed
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To: pater tenebrarum who wrote (114281)7/24/2001 10:35:18 PM
From: s.pecunius  Read Replies (1) of 436258
 
"
however, note that the level of ST interest rates also flows into volatility premiums...lower rates mean lower premiums, as present value calculations of options include the level of risk free rates to expiration as one of their calculation components.
"
are you sure? rates and vola are INDEPENDENT variables
in the option pricing models to determine the premiums,
e.g. if the vola is 30 and the rates are changing, the
premiums are changing, too, but the implied vola(->vix) from this new premium is still 30.

(btw declining rates imply increasing put premiums.)

Generally, I love your posts, but I don't understand your statement here.
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