Recent content by blueplayer

I know I know, but it is cheap and convenient most of the time. But today there is no realtime option information for pretty much any symbol, in particular SPX, SPY, VIX etc. Is anyone else having issues with Active Tick today? Do we have people from Active Tick reading this forums at all ?

Another thread that I'm very late. I guess because of the huge amount of scammers back in the mid 2000's binary options got a terrible name. But they are just one kind of exotic options nothing more nothing less. If you trade them with an approved exchange (like Nadex in the US) you can at...

This is one is not free but it is from the CBOE (and inexpensive in a sense): http://www.marketdataexpress.com/dataSearch.aspx They sell two databases, OPTSUM and Open-Close. If you are intested only in closing prices and volumes/open interest, OPTSUM is the right product. If you want even...

I'm a full week late to the discussion, but here is my contribution, the cost of the ATM straddle is not really any indication of the implied 1 sigma move from option prices. It is a popular myth that the straddle is pricing the expected move until expiration, but that is incorrect. You only...

I don't think so, I posted the comment quite some time ago but I'm pretty sure that the main gist of the post was to highlight the excess variance risk premium in index options (I don't think I was commenting on single names). While I'm answering this, the variance risk premium in Index option...

The whole concept of splitting a complex position once it goes bad is truly not an ideal one. Doing this is the equivalent of closing the winners early and letting the losers run amok (to paraphrase a common saying in the trading world). When I approach trades with options is because I have a...

The option simulator from ToS is mediocre to say the least, most of the IV calculations for index options are wrong in fact, and it doesn't really do any vol surface simulation at all. So if you want to see effects of big drops you have to manually adjust the IV in the settings, and that is just...

Ironchef, having a position with gamma = 0 kind of defeats the purpose of doing volatility trading as you won't be able to profit from changes in implied vol, and you won't be able to profit from the differences between implied and realized vol either (just lookup the basic equations for...

Just one observation here, ES options are now mostly European style. The only american expiration styles that still remain are the quarterly expirations.

Man you should listen to Maverick, his strategy is vastly superior to what you are describing here. The whole thing can be summed like this: If you want to be short gamma (selling options) you better sell peak gamma (the max) which usually happens around the ATM strikes (it is skewed a little...

Lots of benefits, that is why big markets for them exist. I would say that in the FX world most of the derivative volume is in exotic options. In the US there is no much access to exotic options for retail traders, with a few exceptions, like binary options (european) in Nadex, and the new...

There are still plenty of edges in options, for instance no one can actually agree what future realized volatility will be, so right there you can have an opening. Another one is structural, for instance certain market participants are directly or indirectly forced to buy puts no matter what so...

Another thing, giving that M reports earnings there is an expected collapse in volatility. From a simple cumulative variance calculation the collapse is expected like this: May 13, -52 Jun 24, -5 The fact that Jun17 is expected to collapse -26 vols, means that there is something fishy with...

From the picture you attached it looks like bad price data for the front month. The call at 92% IV and the put at the same strike at 70% clearly one of the two has a wrong price.