Recent content by Brennen81

Hey all, I near solely trade SPX weekly options. Vertical spreads specifically. I bring all of the live bid/ask pricing into a live excel sheet for analyzations. In order to get an assumed fill price, (to generalize) I am typically adding a bit to the mid of the long strike, subtracting a bit...

Hello there. Thank you for your help. I did try that and it did not change the refresh rate. I tried making it very large. After entering a new interval, then checking with step 3, I can confirm the new value shows. But no change in the data feed.

I don't doubt that. In my case, it is because I am live calculating, using mostly SPX options, and have set it up to be able to shift between different combos. Since the spreads tend to randomly widen for a moment, it affects how I can do toggles scenarios. The previous sheet you could set a...

Hello, I recently flipped over the the new Excel sheet for streaming live prices. The stream is actually, believe it or not, too fast for what I am using it for. In the previous version, you were able to specify the refresh rate. I called the support and they told me that you can slow it down...

Hello, I am wondering if anyone knows where I can find (paid or free) historical implied volatility data for futures. In my specific case, Crude (CL). I would be looking for the daily data at settlement time. Thanks for all. Brandon

Hello, I am putting together a quant strategy for a 1-week hold/trade and am thinking of adding historical RSI values to narrow my results. I was wondering if anyone had any suggestions on the parameters to use in this case? Perhaps, would it be wise to use the 5 period (daily bars) to match...

Interesting. So If I was looking at an ATM option, in the morning, with a week expiry (Fri-Fri), with a theta of 1.0. I would most likely see a decline of 0.25? Assuming nothing changed in the underlying. I remember a previous thread on here debunking that there is time decay overnight. That...

Hey all, I am trying to strategically calculate some strategies that incorporate's the actual time decay during the trading day. I am using the live Theta number IB posts for the options I have in my ticker window. I understand that if it is -0.10 it should decay 0.10 per day, right? But if you...

Hey all, I'm hoping to get your thoughts on whether you think the VXX weeklies premiums are more closely related to the movement of the current VIX calculation or the VIXMO calculation, which is the calculation known as VIX up to Oct 2014, then continued/started as VIXMO and the new VIX...