Recent content by mathieurrr

I was being serious :s

What exactly do you mean by that ?

I thought I'd share this pdf I found while searching for some reading on trading vol skew. This covers a lot of different topics and I haven't read the whole thing yet but it seems pretty fantastic and very informative. It would be awesome if others could also post some more reading gems about...

hey caveman, are you using IBrokers and tws with R to do all of this ? I am actually looking to do the same kind of stuff and wanted to know where you started out with all fo this.

I was just wondering if anyone on this forum will be doing there masters in the fall at the University of Western Ontario in their MFE program.

This is what i found using google http://www.forexfactory.com/showthread.php?t=173735

Any chance you're willing to share some helpful readings, be it books or papers, that you found helpful on trading skew and creating models for it ?

I believe what your talking about is called the term structure of volatility. There are a few good papers on this site regarding how to analayze and trade it. http://www.ssrn.com/

In the current markets, vol has been very high. If I were to believe that this vol would collapse and decrease a lot, what would be the best strategy to approach this if I would like to remain positive theta? Would butterflies be the right strategy ?

Atticus, out of curiosity what is the exact math behind it? and why is it that it is asymmetrical . I've noticed it in TOS. Is it because you are using a log normal distribution ?

Thank everyone! I finally got it!

How would I go about calculating a 1SD price move given that I know the stock price and implied vol. For example, AAPL is at 325 Implied Vol is 27% Answer given is 310-330 approximately I saw this example in one of Dan Sherdian's option videos and couldn't figure out how he got...