Search results

I wrote a 'textbook BSM' program to analyze all of the possible spreads on all liquid options expiring <1 week, and filtered by the highest return/risk and probability of profit computed from the normal CDF. This of course assumes a log-normal distribution. On $6500 Reg-T margin, the return for...

China has been manufacturing and using an unlicensed generic of GILD’s drug for months: https://www.fiercepharma.com/pharma-asia/chinese-firm-copies-gilead-s-remdesivir-most-promising-drug-against-new-coronavirus

FWIW, SPX declined 302 points from 13 Mar when I posted this. Net delta turned positive today for the first time since 20 Feb.

Daily avg IV of OTM puts, 30 to 180 days from expiration, on all U.S. equities, compared to SPY

Live stream of Powell’s address here:

Can you post a screenshot of your VAR and portfolio delta (from the TWS Risk Navigator) after the market reopens? I traded this way during the volatility in early 2018 and it was suicidal. The strategy (if you could call it that) was long gamma on short-dated slightly OTM options. I did not...

Hard to say, I have pretty limited data. But rising vol + heavily short delta positioning would imply further downside.

In terms of options order flow, overall net delta has been negative since Feb 21.

UBS: The collapse of the agreement between OPEC and Russia increases the uncertainty. While this will have adverse effects for energy, industrials, materials, and financials—although lower interest rates are the main problem—it is good news for consumers, which account for 70% of US economic...

Tyler Durden is not a reliable source? :D https://scholar.google.com/scholar?q=author:“tyler+durden”

RH is likely using all of the latest “hipster” tech and distributed architecture. But consider a monstrosity like IB TWS - it is a miracle that it still works. Nothing replaces legacy code that has been battle-tested over a decade...

Keeping an eye on the yield curve inversion and unemployment rate uptick... https://fred.stlouisfed.org/graph/?g=qauT

https://datashop.cboe.com/option-quotes-end-of-day-with-calcs-subscription About $1000/year for the entire market. The daily files are around 35 MB compressed.

Probably, it is all time series data. But it could get expensive.

Keep $30k cash in the account and the interest paid covers the fee.

Interesting wiki. The company behind Bookmap (DevExperts) built the original TOS platform, so it is not the typical snake oil vendor.

SPX(AM) Oct18 2,700.00 - 16 days Last 6.96 Change 2.91

Sounds impressive, but only wizetrade has a patented red light/green light indicator.

“The temporary shortage of cash was due to quarterly corporate tax payments and the settlement of $78 billion in supply of Treasuries sold last week, analysts said.” “The root cause is the shortage of reserves,” said Gennadiy Goldberg, senior interest rates strategist at TD Securities in New...

It is an aggressive order but is still meaningless noise. You will find more value in analyzing regular transactions.