Recent content by Derrenoption

Hello, In the USA it exist for example those 2 instruments to invest in for volatility which tracks VIX and inverse: XIV VXX The simular instruments in Europe are: EXIV EVIX My question now is that I am searching for simular products as those across other stock markets like: London Stock...

Yes I have red that page just before asking the question but I feel that I am still not sure exactly. I will paste some sentences from that page first: a-g below...

Hello, I wonder about if you would buy 1 PUT on VXX (18 JAN 2019) with 610 days to go. As VXX is going down and we assume that this happens until 2019. What is the risks in this. For example if we buy 1 PUT today with VXX at: 15.74 and the VXX does a reverse Split 4 to 1 in a few days, so the...

I could see a STDDEV calculation on youtube so I beleive this should be correct: =STDEV(LN(100/99):LN(99/98)) * SQRT(251) = 0.00114307211478042 Yes 2 days might be not to much but I will play around and see how it could differ with other periods. Thanks!

I am not able to do use STDEV in excel but I have tried to calculate this manually and I think the result should be: =STDEV(LN(100/99):LN(99/98)) * SQRT(251) = 0.00114307211478042 Is this the correct answer in excel? Thanks

Hello! I wonder how to calculate the 2-day Historical Volatility of SPX: I found this formula below but are not sure how to accurate calculate the below. So I thought to ask to be sure. Anyone know how to calculate the below? : The 2-day HV is calculated as: STDEV [ LN (todaysclose /...

Yes, then I understand I think. I will try to do the calculation as such and see how it will look like. Yes, at one point all futures should exist in one month. Thanks!

I am still learning about contango. Is it that simple as the above formula as a start? (I could not see the image you attached) JackRab mentioned this: I am not sure if that refers to some kind of Weight for the front/back month future. What I am thinking of is that on the first day of the...

I think I have a problem to understand how the contango really should be calculated. I have highlighted the APRIL and MAY futures in this picture: http://www.bilddump.se/bilder/20170517221146-195.252.32.111.png 1. The rolling period starts on Tuesday: 03/21/2017 2. There are 20 business days...

That worked great! I was able to open it in TOS. Yes, that is a great reference actually. Then I can have this as a reference as well when implementing the code to double check what I am doing also. Thank you Step.!

Thanks Step.! Yes I have TOS but have never used scripts. I am not sure if I will have use for it. Perheps I can look at the code to get idéas of how to do it as I will try to do this in C#? "S&P 500 option expiration for the following month" I beleive the S&P 500 option expiration is on the...

Hello, I try to find what the symbol names are for the TWO nearest Futures for the VXX: - Nearby VX future - 2nd VX future I have found this link: http://cfe.cboe.com/market-data/historical-data#VX Where it seems they have historical data which I am after but I don't know how to understand...