Recent content by jjapp

That makes sense.

Yeah but why would you use that if you've gone through the trouble to build a time series?

Long 60 shares of EW @138.37 to go back to delta neutral.

I understand how to calculate forward vol. Why do you want to calculate it for a trade like this? I'm not arguing with you I just don't understand what you're looking at from the trade perspective or what your assumption is that makes it important.

I don't think it is an outlier. If you look at the first chart I break out min/max/median. The theta calculation is based on the median.

Oh...I may have missed what you were asking...the forecast for IV is just based on the front expiry...not the later months.

I forecast IV rise based on the last 8 cycles. Right now I'm just looking at median, min and max rise from that 8 cycle period. The 8 cycles number is configurable but it seemed like a good starting point. Why does it spike early? No idea. That is what the data reflects though and that...

When I've run the data I've found some covariance between market IV and individual equity options IV. Usually it doesn't matter but this last week it did with a large drop in market IV. I'm actually working on adding that calculation to my app automatically and should have it up in the next...

Have you looked at Quandl?

Yeah...I'm not pulling raw data...I'm using ORATs

Its something I developed myself. I got tired of trying to build this stuff using excel. It pulls the IV data after market hours for all stocks in my list and then I have new forecasts run quarterly. I'm still developing it but if you want to mess around with it send me a PM and I'll get you...

I placed two trades on underlying stocks this morning with upcoming earnings calls to try and capture the rise in IV. The trade idea is based on some of the stuff Jeff Augen wrote over the years on trading the earnings cycle: 1. TSLA: Long the May4th 297.5 Straddle for 30.55. Long the May4th...

I don't think you would want to use a binomial distribution to model probability that more than one stock will be ITM but I could be wrong. I think the other issue is that you're assuming the stocks returns aren't correlated but they probably are.

Quandle. Stevens futures data is already processed for rolls etc. Pretty good.