Recent content by micky04

Of all the data I have collected, I am missing options EOD data of the entire November and December 2018. The paid options data providers (historicaloptiondata.com, ivolatility, etc) either don't sell such small timeframes, or are way too expensive. Do any of you know of any other data...

I haven't read up on ARIMA-GARCH model yet, but I will certainly take a look. About IV vs RV, I was thinking about using something like GARCH to estimate future volatility. Thanks for your help btw.

Thanks for your response. I guess I will avoid using GARCH over earnings or other similar events where there may be regime change (FDA announcement date for biotech stocks?). If you don't use GARCH, how do you model vol (if you do, of course)?

I think I understand what you are saying. Since I am attempting to implementing GARCH to my options backtesting, I am trying to predict N+X, where X is somewhere between 30-45 days. Am I right to say my GARCH model will not be so affected by regime changes that it becomes useless?

So just to clarify, if I want to find the GARCH of 21 March 2007 of MSFT, I use the returns from the beginning of MSFT's price history to 21 March 07 to calculate the long term variance, and the same for 21 March 2008? If that's case, would it create some rather biased long-term variance for...

I just started learning what GARCH is and how it works. In the future, I hope to incorporate it in my backtests. However, I'm not sure how I should calculate the long-term variance when doing backtests. I can't simply take all the returns in my dataset because that would create look-ahead bias...

Is there a chance you can send it to me? Thanks.

am as I was thinking of using 20-day IV until I realised HV would be more accurate (since we are testing oversold/overbought)

Oh, I didn't know standard deviation refers to historical. Thanks

Hi all, I am creating a Python software for Bollinger Bands (as a project). When calculating standard dev, do I use historical volatility? Also, is the time period for standard dev calculation is same as time period for SMA (e.g. 20-day SMA and 20-day standard dev)? Thanks!

What are the adjustments for butterfly and strangle positions to stay gamma neutral?

Hi guys, I have been reading up on options and I see many people recommending to stay Delta neutral. Is it possible to stay relatively Delta and Gamma neutral, and only risk Vega and Theta? What are the strategies for this type of trade? Thanks!