Recent content by spec77

No, I haven't, but will take a look. Just sent an email to ivol sales rep, waiting for their reply. They used to have a nice interface. Now you have to call them

Hello, I’m looking for a data source for historical ATM implied volatilities for some EUROPEAN stocks I used to buy from ivolatility.com. It had a nice interface, but now looks like it’s no longer working marketchameleon.com has histo IV, but only for US stocks. Any recommendation...

My understanding is I have to request and authenticate a bunit. And to do so I have to be in front of a physical terminal. But will call BBG, thanks for suggestion.

Hello traders, I’ve been using Bloomberg, but due to covid, I can’t access my terminal these days. If you still have access and are willing to help, kindly PM me. I just need some data in form of screenshots. Thanks spec

I was suggesting using VIX and SP500 (and similar VIX like index) to backtest, and not to worry about strike specific vol. Of course this is just an approximation.

yes I think it's easier to backout vol from ETFs. My main concern is once I develop a strat using bond ETFs, not sure if I can use it on futures options and still expect the same returns

if your main goal is to test the vol risk premium, then the first order approximation is to test it on a variance swap (instead of straddles). and if you do backtests on equity indices, most data are available for free

Hi all, I want to backtest some strats on bond options (ZN and ZB). Before buying expensive data and investing considerable time and resources into it, I’d like to do some quick tests of my investment thesis Questions: -does it make sense to run backtests on ETFs like TLT and IEF (have data...

@Aquarians min(abs(spot - strike), 2 * strike)= max(spot-K,0)-max(spot-3K,0) ?????

you can still sell a call if you own the underlying stock (again, according to their website), so technically you can still short a put. But using synthetics to trade spread is too much of a headache for me.

Hi All, I'm considering opening a TFSA and eventually RSP accounts with IB Canada I want to do credit and debit spreads in those accounts. But from their website it seems to me that they only allow you to buy puts and calls and do covered calls. no other types of spreads are allowed Does...