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yes you do need to sub to platinum. the data contains only the closing prices (along with volume and OI). No O, H, L

Hi, I need EOD options data on all US stocks for October and November 2014. Please PM me if you have it. If you don’t have the data, but want to have it, PM me as well. I can buy (Q4 2014) and we split the cost.

does the additivity apply to delta bands, e.g. Zakamouline ?

if you have a model for calculating the delta bounds for an option, how do you calc the delta bounds for a multi-leg position ? just adding the bounds of each legs ?

Does anyone know where to get historical Canadian swap rates (CDOR) ? Bloomberg has it, but it's not worth it for me to subscribe just to get the CDOR Reuteur has it (I think). Does one of the IB data packages offer Reuteur data on IR ? Thanks

I used to bet on European football (soccer) just for fun. Developed a quantitative system that worked on national leagues only but no international matches (hence cannot bet on the World Cup). Fixed odds payoff is just a digital option with short maturity. My style of play is similar to...

if you choose historical simulation, then it makes sense to use historical IV surfaces to generate IV scenarios Alternatively if you want to use an analytical method, look up Crouhy & Galai (if memory serves). They developed some analytical approaches for calculating VaR of non-linear...

try https://www.theice.com/credit.jhtml

might want to try ibconnector.com

try virtual brokers. under their "per share" commission structure, the fees seem to be reasonable. If you decide to open an account with them, let us know how it goes

I just eyeball the ratio chart, looking for a range bound pair ratio. I also look at the slope of MA. You could use some trending indicators like ADX, or calculate the slope of the regression channel. There are many ways to quantify the trendiness. This is not to say trending pairs are not...

Thanks for sharing. The pair ratio shows a strong downtrend. I'd prefer a weaker trend. Also be mindful of earnings (next week)

I have data from July 1, 2011 to present. Willing to swap. PM me

If there is enough interest it could be interesting to at least give it a go. Start gathering interest and we can possibly start the 1st week of the new year. I'm in. Timing is also right. Anyone else interested ?

7out, do you want to start a group like this ?

2 choices I can think of: 1- Open an account with IB and use ActiveX to get intraday data 2- Use google finance ( up to 1 min) Both require some programming

In Toronto there are 2 "quant" funds that I know of: Mapleridge and Infinium (rather a prop shop). In fact they're high frequency shops. Besides, there are some quant desks in large pension funds like CPPIB or OTPP. I don't know about other cities. The quant trading scene is Toronto is...

For me, the problem is in the casting. Gere has an image of a nice guy, e.g. he played a nice VC in the early 90s. For me Douglas is still the best (Perfect murder). Another good one is the guy who played the bank CEO in the relatively unknown Aussie movie "The Bank" (forgot his name).

My guess is it's a long-vega strategy. The R/R can be worse if the vol decreases. Also you should weight the vega if your position involves multiple maturities

I tried to PM and email you but it didn't work. Can you try to email me ?