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Well, I have a model and I want to put it into practice... I am not doing delta-hedging. I am just doing buy-low-sell-high, and hold for 1 day. Not sure if delta-hedging is a better strategy to express my view about tomorrow's volatility( I only have short term view about future...

Hi all, I've figured a model to express my view predicting future volatilities. What is the most cost-effective trading strategy to play my view of volatilities? I am thinking of doing a straddle trade and I am having the following questions: (1) It seems that the spreads of options...

so this implied method doesn't work?

Why should it be 1 month LIBOR?

Why not "end of quarter"?

Shall I use Libor rate, or not? Why shouldn't I use my cost of capital, especially if I do replication, and BS is derived using stock and bond...

In fact I am not sure if I should use Libor or other rate.

I suspect they don't match instantaneously... esp. on rate cut day. That's why I want to do some experiment, but first of all, where can I get a most-updated interest rate? And what exogenous interest rate shall I use?

No, I am expressing my own view about interest rate. So I cannot use or "trust" the implied interest rate... So these are two different things...

You are trying to calculate option-implied interest rate? but I want an exogenous interest rate...

There are so many rates on that page. Are they updated immediately, say Fed cuts rate? Which rate shall I use?

You mean I should plug in "my cost of capital (as a retail level investor)" into the BS formula? Not Libor, not Fed rate, but my bank account deposit rate, or my brokerage interest rate for my leveraged trading?

where is the source? I just want to make my program automatically obtain that rate ...

In order to calculate the Black Scholes price of an option, I need the interest rate. Where do I find the most current (and hopefully daily updated) interest rate? Say the Libor rate? I wanted to direct my program to obtain such data automatically and programmatically... Thanks

Thanks dd4nyc. I think this is a brilliant idea. I do have some follow-up questions: (1) How far do these VIX data go back? (2) How do we back out the at-the-money S&P 500 option price (call/put) based on the VIX data? Of course, if we use the "old VIX" implied from BS formula...

Hi all, I post it here because actually I am simultaneously looking for data for both $SPX and the option on that... I signed up for Opentick today. And I used its sample CSV Historical data downloader to download historical data. I am surprised to find that OpenTick does not have...

Hi all, I studied the mysterious code for option symbols. I only need historical data for at the money call and put options on S&P 500. Since it is at-the-money option that I need, I am afraid that the option codes will be changing in the last a few letters, because the at-the-money...

Hi all, Could anybody point me to some good Matlab TWSAPI programs? I am familiar with Matlab and am planning to use Matlab to connect to IB TWS to trade options, futures, stocks and FX... Thanks a lot!

How?

Sounds interesting. However, will it affect the overall performance? My goal is to train myself to be able to concentrate on important things in the next one hour, even though in the previous one hour, I just had a very difficulty time, such as divorce, to give one example. It seems...