Comment by LittleTimothy

Comment by LittleTimothy 17 hours ago

2 replies

It's also a head-ache for options traders because some options models (black scholes) have log-normal pricing baked in which don't actually allow for the underlying asset to go negative. So nevermind worrying about taking delivery, your HFT options desk just had their algo blow up.

wbl 13 hours ago

Nah your desk closed out as the model was starting to choke.

heavenlyblue 13 hours ago

Looks like they just need to use complex numbers in their calculations?