Recent content by optionshedge

I had the exact same problem. I tried OV and ToS, but couldn’t get the results I wanted. So I downloaded historical option price data and used Excel & R to do my analysis. That proved to be much more difficult than I anticipated. Recently, I started using OptionStack to backtest my...

You can try to reduce the impact of IV when trading directionally if you use vertical spreads, instead of buying outright calls / puts. For instance, if you are bullish, you can buy call vertical spreads instead of outright calls to reduce the impact of IV moving against yet.

What type of model / software do market markers use to arrive at their own vol skew and fair values? For instance, I heard that the SABR volalility model is used to price options in the interest rate market. http://en.wikipedia.org/wiki/SABR_volatility_model How about in the index...

Thanks for your reply. But the question is less about how to define your own edge, but more about whether it is possible to systematically / algorithmically estimate the prices at which a given spread can be executed by looking at various factors? Given a series of spread candidates, how...

Is there any way for us retail traders to determine what market markers are pricing as their fair values for option spreads, maybe by looking at certain factors (i.e. order flows, volume, OI, etc..)? Or is this a un-predictable / random process?

Since a spread has to execute all its legs on one exchange, which is a better reflection of the fair value of the spread: 1) The midpoint of the spread using NBBO prices, where different legs prices may be from different exchanges. 2) The midpoint of the spread using prices for all legs on...

Hi, I frequently trade multi-leg option spreads (i.e. condors / butterflies) on indexes, such as NDX, RUT, SPX. Occassionally, I am able to get better than mid prices on my option spreads. But more often than not, many of my option spread orders don't get executed, even when I give up...

Hi, I frequently trade option spreads (verticals, butterfly, condors, etc) on index products (such as NDX, RUT, SPX). Is there a quant. model that can help estimate how much slippage one would have to give up in order to get an option spread order executed? Perhaps an econometrics...

I agree that if you borrow money to buy additional securities in margin account, you will be subject to UBTI. However, I think UBTI does NOT apply if you are trading futures or selling option spreads. Specifically, the margin associated with trading futures or selling option spreads are...

I have called the following companies they have said that I can trade on margin in a 401K account: http://tinyurl.com/ml87y7u http://tinyurl.com/l98ejg9 Specifically, according to them, trading on margin in 401K account is fine, but may generate UBTI tax if you actually borrow money to...

Hi, I'd like to trade option credit spreads in a 401K using portfolio margin. However, I know that margin is typically NOT allowed in a 401K / retirement account. However, I found several online services that claim I can trade with PM in a 401K account using a self-directed 401K...