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"The CME currently handles around $120bn worth of currency contracts a day, offering 56 FX futures and 32 FX options products in the U.S. The new exchange in London will replicate its futures products in Europe but the company said it is planning to develop smaller, regional products in the...

They say they want to list FX futures in London... wtf that's the stupidest thing i've heard, or maybe i'm missing something?... With the spot fx market so liquid and so electronic, who is going to want to trade the futures? Small time punter, probably a handful of algos to arb it, but...

i doubt this will be helpful but liffe bclear publishes block trade registrations, and the cme and associated dcms have a site which supposedly shows block trades - however that is definitely incomplete / not up to date. I wouldn't be surprised if other exchanges did this. ICE shows block and...

OK thanks for letting me know. I only just read the ICE release that they were shutting the floor, and they claimed over 75% of the volume was already put through the screen. I found that hard to believe, the SB options quotes are some of the most uncompetitive i have seen - i always assumed...

I haven't used TWS since April of this year. Could anyone tell me whether they have spread order functionality for options on NYBOT soft futures? Only last time i looked they would only allow calendars. ICE definitely allows these orders.

Hi, Does anyone know where i can get prices for fx forwards (1m/3m/1yr). I only need closing prices, not streaming. I know the FT publishes them, but they are late and not in a format i can use easily. The Bank of England data is no good.

have you managed to resolve this? I know that the settlement prices are available free from the exchange, and the delayed prices are available through liffe-data.com but you have to sign in, maybe that's what's upset the hoadley feature (although as far as i remember you always had to sign in).

I watch the price of the option/structure i never looked at a chart of the option price as there's almost no information to be gleaned from it. There is no crowd behavior generated by watching the price of the K strike call/put option for delivery in T for example. Better look at the price and...

CL Futures options (LO) are fine and you are trading oil. The spread order book works well and the pricing and hedging are straightforward. USO, UNG, VXX and assorted commodity ETFs are junk and i would rather pay full spread if necessary on the fops than get stiffed by not being able to tell...

No code, just do the calculations in excel and chart. Paper attached.

bump

When i put a volatility cone together for an equity index, my output isn't as smooth or regular as the examples i've seen everywhere else [including the original Burghardt & Lane paper]. Here is my simple methodology: -Get the daily closing prices. -Calculate the series of log returns...

Also, the delta will change with the implied volatility. So if you use standalone pricing software you will have to input that as well.

Is this the guy that refers to himself as "Peter the Great" and dresses up his baloney with even more pseudo religious propaganda? no ego there at all. I actually had a trial with them in late '08/early'09, it was nothing short of hilarious (i have a weird sense of humour) like watching a...

Do it when you think you will make the most profit:) There is no one size fits all policy, if your view of the market changes then adjust your positions to reflect that.

Youch! i wouldn't want to see your commission bill :) At least you save of seat fees.

What exchanges are you covering? Surely they must have strict specifications on mass quoting requirements - how do you fulfill those obligations through TWS?

So basically something which is a "sure thing", in which case if you want to be long delta long vega there's nothing wrong with punting the outright call, or ratio call spread. Like atticus said the latter suffer from delta decay, but in the example you've given me the holding time is not that...

It's certainly a position, whether or not it's right for you depends on what kind of risks you want to take on. Take a look at the greeks and see if they match what you think will happen to the stock/vol. Maybe the person writing the letter is advocating this for a particular stock and...

I don't get it, what is the objective? Are you trying to hedge something?