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https://www.historicaloptiondata.com/ I used the above site to get data for VXX and SPY earlier this summer. It will cost you, but if you really need it, it is certainly worth it. No complaints on my end at all.

Right thats what I thought. Between commission, and a lack of speed (ability to scan the entire option market) I dont see how some guy sitting at home on his computer can stumble across an ostensibly risk free trade....

See the title: is that type of trading reserved for the people with the fastest computers and most resources.

Thank you for clearing that up. Can you given an example of a 'rule' that cannot be automated? In order to better differentiate between system based rules and discretionary rules......

Sure, we all know there are going to be losers in both cases...... But i'm curious to see what people's opinions are regarding these two approaches. For clarifications sake (and someone please correct me if i'm wrong), by discretionary trading I mean an individual is relying primarily on 'gut'...

Bump.

This or change up your stops.

Short answer: NO Long answer: NO

Like most TA...it is.

Ha, well I don't think i'll be brushing up against that anytime soon (read: never). It was more out of curiosity and the sizes that many of the larger traders play around with in some of the more liquid options markets. Basically....how big is too big.

If I buy 100k worth of puts on VXX (even if I took a position in the underlying as well), its not going to do anything to the ETF which has its price entirely derived from the movement of front month VIX futures. Edit: Or are you talking about the options market specifically?

Ok that makes a bit more sense. I guess what I was ultimately trying to ask is what is the (roughly) maximum amount of money you can put into a single option play. Specifically I was looking at the SPY and VXX markets both of which seem to be fairly liquid although the first more so...

So for retail investors and traders, 500 contracts for nearly any underlying is going to be nearly impossible to execute quickly and at a fair price?

How has that worked out for you in the past and have you attempted to put in larger order sizes than the ratio your provided?

Is there anyway to determine the maximum number of option contracts I can expect to be able to buy based on the strikes current open interest and volume? In other words, say I wanted to put in an order for 500 contracts for a strike with 5k volume and 25k open interest, would you be able to...

Hi all, I have found some data from the CBOE website on historical VIX Future prices (going back to 04 when they started trading). All the data is in a spreadsheet but its pretty dispersed. I was wondering if anyone has found a data set similar to that found on Vixcentral.com historical...

https://twitter.com/selling_theta

I believe it is delayed, but I could be wrong.

As long as they don't change the VIX ETNs I am fine with this.

Will do. Since I put down the rules on paper in early June, the signal has triggered twice. The first time yielded a modest loss, the 2nd time a significant gain. I think the best thing to do atm is to continue to watch how things progress and to test back to 2004 using the reconstructed VXX...