Packet 9: Bonus 6

This quantity’s “local” form names models generalizing the Black–Scholes model, and low levels of it correlate with [emphasize] higher returns in a namesake stock market anomaly. For 10 points each:
[10m] Name this quantity, which the Black–Scholes model assumes is constant for a given asset. A form of this quantity exhibits a namesake “smile” when graphed.
ANSWER: volatility [or the low volatility anomaly; or local volatility models; or implied volatility accept sigma; prompt on standard deviation; prompt on beta by asking “beta equates to a ‘correlated relative’ form of what other quantity?”]
[10e] The Black–Scholes model prices assets based on models of the “European” type of these financial instruments, which are a right to buy or sell an asset at a strike price on or before a certain date.
ANSWER: stock options [accept call options or put options]
[10h] The Vanna–Volga method tracks changes in this measure of sensitivity to volatility to hedge against it. This first-order “Greek” is the partial derivative of an asset’s value with respect to volatility.
ANSWER: vega (“Vanna” is the partial derivative of delta with respect to vega and “Volga” is the second derivative of asset value with respect to volatility.)
<Editors, Social Science> | R. Playoffs 9 (Editors 9)

HeardPPBE %M %H %
2413.3383%46%4%

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Conversion

TeamOpponentPart 1Part 2Part 3TotalParts
British ColumbiaWashU1010020ME
BrownIllinois B1010020ME
CambridgeToronto B010010E
Chicago BNorth Carolina10101030MEH
Columbia AChicago A010010E
Columbia BOhio State010010E
Georgia Tech ARutgers010010E
HarvardIndiana010010E
Illinois AGeorgia Tech C1010020ME
MITTexas1010020ME
Maryland AVirginia Tech1010020ME
MichiganJohns Hopkins010010E
MinnesotaVanderbilt0000
NYU ANorthwestern A1010020ME
Northwestern BMaryland B0000
Penn StateNYU B0000
PurdueCornell010010E
Stanford BGeorgia Tech B010010E
UC Berkeley AStanford A1010020ME
UC Berkeley BToronto A1010020ME
UCFGeorgetown0000
UCLAPittsburgh010010E
VirginiaBruin1010020ME
WaterlooSwarthmore1010020ME

Summary

TournamentEditionMatchHeardPPBE %M %H %
Main Site2026-04-17✓2413.3383%46%4%