I'm in the county town, and you say I'm a big shot?

Chapter 176 Dongguan Girl Helps

Fang Qingye really didn't have any inside information.

Although he knew the long-term trend of cotton futures over the past two years, he was not clear about the specific trend at a certain point in time, especially for options with a closing date like this, where it was impossible to remember the changes on that particular day.

But that didn't stop him from having a sudden inspiration to give it a try.

After Shi Guangrong left, Fang Qingye also rode his scooter home, took a shower, and then sat in his bedroom wearing a vest and shorts to start surfing the internet. He opened the candlestick chart of the September cotton options and began to study it carefully.

Although end-of-day options are akin to gambling, they are not entirely without clues. They are related to a key risk metric in option pricing—the Gamma value.

The Gamma value represents the sensitivity of an option price to changes in the price of the underlying asset. Specifically, it is the second derivative of the option price with respect to changes in the price of the underlying asset.

It measures the rate at which the intrinsic value (Delta) of an option changes as the price of the underlying asset fluctuates.

In other words, if the Gamma value of an option increases significantly, it means that the option price is fluctuating dramatically, and only by participating in such a situation can one make a lot of money.

Fang Qingye's current goal is to calculate the Gamma value of the September contract based on the candlestick chart and various parameters.

There is a standard formula in the industry for calculating Gamma: Gamma = N'(d1)/(Underlying asset price * Volatility * √Time to maturity)
The formula may not seem very complicated, but it is impossible to calculate the exact Gamma, especially since N'(d1) represents the density function of the standard normal distribution, which cannot be written as a normal analytical expression.

The general calculation method is to calculate the value of the standard normal distribution function at each point and make a table, and then look up the probability in the table during the actual calculation.

This process is quite complex.

However, before his rebirth, Fang Qingye had calculated the odds of the end of the world.

But it's still troublesome," Fang Qingye sighed as she looked at the densely packed formulas.

Huh.
What's the girl from Dongguan been up to lately?

I mentioned a while ago that I didn't go back to China for summer vacation and went on a trip to Canada with my classmates. Now that school has started in the US, right?
She studied financial engineering and is quite familiar with this area. Could she be of any help?

Thinking of this, Fang Qingye logged onto QQ and sent a message to the other party.

"Are you there?"

There was no response.

Huh?
Normally, the other person replies instantly, except when they're sleeping at night. What's wrong with them today?
Could something have happened to him in the US?
Fang Qingye suddenly felt inexplicably worried.

After a while, the grayed-out QQ avatar of the pretty girl suddenly started flashing. He quickly opened QQ, and a familiar greeting appeared on the screen.

"Ms. sir."

At this moment, Fang Qingye's heart, which had been hanging in suspense, was relieved again. She immediately typed: "You haven't replied to my messages for a long time. I thought something had happened to you."

"My husband is worried about my safety."

"Yes, it's a bit worrying. It's natural to worry about a girl all alone overseas, especially since the security situation in the United States isn't very good," Fang Qingye typed.

"The neighborhood is pretty safe. Who told you to wander around in the predominantly Black area?"

Fang Qingye didn't want to argue about this, so she immediately changed the subject: "Did you have a good time traveling in Canada?"

"I'm so happy! We went to Toronto and saw Niagara Falls. We just got back yesterday, and we're so tired that we almost couldn't get up this morning."

"Go to class now?" Fang Qingye typed again.

"Yes, my love, do you want to do modeling?" the girl from Dongguan typed.

"No, I wanted to talk to you about Gamma. Why don't you go to class first?"

"Wow, husband, you're actually playing doomsday options?! That's so exciting, I want to play too!" Several excited emoticons appeared on the screen.

"Alright then, I'm going to play the Zhengzhou Cotton futures options at the end of September." Fang Qingye typed a long message explaining the situation.

"Currently, calculating the values ​​of the normal distribution function at each point and creating a table is too complicated. Do you have a simpler method?"

Fang Qingye finally typed, "No."

Fang Qingye was somewhat disappointed by the Dongguan girl's answer, but her subsequent words rekindled her hope.

"Manual calculation is indeed complicated, but we can let computers do it. The United States has now proposed something called Deep Learning, and some people have built various models based on this to let computers help with the calculation."

Deep Learning!

Deep learning!

Isn't this the core technology of artificial intelligence?

The United States has already gotten involved!
envy, jealousy, hate.

"Alright, honey, leave it to me. I'm off to class now. Bye-bye, burn, Pikachu!"

Seeing that the other party was using familiar words again, Fang Qingye couldn't help but smile.

Nothing has changed.

Since she had assigned this task to the girl from Dongguan, Fang Qingye was too lazy to do the calculations by hand.

Let's play some Warcraft. I haven't played for days.

Fang Qingye opened the program.

Meanwhile, Shi Guangrong returned to Shanghai, took a shower, changed into his pajamas, sat at his desk, looked at the night outside, and silently drank tea.

"Drinking tea in the middle of the night, aren't you worried about not being able to sleep? You haven't been sleeping well lately," Jiang Yiling chided from the side, reaching for the teacup in Shi Guangrong's hand again.

Suddenly, Shi Guangrong blurted out, "Why is Fang Qingye trading doomsday options? What's the reason?"

"Oh dear, you've been thinking about this all the way back from Nanxin and still can't figure it out. Are you still thinking about it now? You really don't want to sleep tonight," Jiang Yiling complained.

"I don't want to have even more trouble sleeping."

Upon hearing Shi Guangrong's words, Jiang Yiling affectionately hugged Shi Guangrong's waist from behind:
"Don't think about it. Anyway, we made over a hundred million this time, making up for all the previous losses. As for him wanting to do end-of-term options, let him do it if he wants, we'll just not follow him, right? You two didn't agree on what one of you wanted to do and what the other had to do."

"This isn't a question of whether to follow or not." Shi Guangrong turned to look at Jiang Yiling:
"I've always felt that Fang Qingye has many secrets, such as his sudden decision to make the Doomsday Wheel. Only by figuring this out can I better understand this person, which is essential for our deeper cooperation in the future."

"So what are you going to do?" Jiang Yiling asked.

"I plan to go to Nanxin again tomorrow," Shi Guangrong said slowly.

"what?!"

“Yiling, you don’t need to go. Take care of the company.” Shi Guangrong added, “I might stay in Nanxin for a couple more days, until the very last moment of the stock options’ expiration.”

Upon hearing this, Jiang Yiling suddenly burst out laughing.

"What are you laughing at?" Shi Guangrong was baffled.

"Luckily, Fang Qingye is a man, otherwise I would be a little jealous."

Shi Guangrong glared at her but didn't say anything.

After a moment, he said again, "This time I won't say hello, I'll go directly to him!"

Fang Qingye met Shi Guangrong the next day at lunchtime in the company cafeteria.

I received a call from them saying they were already in Nanxin.

“I’m right outside your office, haha,” Shi Guangrong said on the phone.

(End of this chapter)