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Mr Spread, What is "short interest"? GA Trader, Have you tried using dde's to Excel? Of course, the atm's will fluctuate with the underlying but I'm sure you can tolerate say, 4-6 strikes ; hardly a strain on your pc. On one Excel sheet, for each index - STOXX, DAX, SMI - I've...

Rosy2, Thank you for the info. Grant.

It would be pointless to exercise a call on a defunct company. However, if exercised, the seller of a put option is obligated to take delivery, ie buy the underlying at the strike. If the co has no value, the buyer – if short – should still be able to pick up the underlying at a nominal...

ORCA has been mentioned in this forum. Despite a Google search I can't find anything. Can someone provide a web address? Thank you. Grant.

Like myself, I suspect most Forum users have tried numerous data feeds/quote vendors. All have strengths and weaknesses re options markets content analysis and pricing. What would be the most useful/desirable features, ie an ideal set-up? Grant.

Which site(s) provide the most extensive daily coverage and analysis of the financial markets - equities, bonds, fx, derivatives? Thank you. Grant.

Thank you, FA. Grant.

Works in practise, let's see if it works in theory. Why keep things simple, when they can be complicated. Maybe some are trying to justify their salaries. Grant.

FullyArticulate, I’ll check out NYBOT. You may want look at NYSE’s site – this is impressive. Ever wondered what’s on the displays of the flight deck of Star Trek’s Starship Enterprise? This is it: http://www.nyse.com/marketinfo/marketrac/1093535821253.html and click on...

FullyArticulate, It's always a pleasure to hear from our allies in the colonies. To clarify, if I may, your point re LIFFE. FTSE index options are European-style exercise. They dropped their US-style because they were considered somewhat vulgar for a British institution (I just made that...

Millard's stuff is garbage (I also live in Stockport). Let me know what your are looking for and I may be able to help. Provide as much detail as possible. Grant.

Batman28, I started with Lotus via DOS in 1990, now I use Excel. But ignoring the more esoteric/specialist features and functions of today's Excel, progression isn't apparent. To reiterate, my original Lotus could be contained on, and run from, a single floppy; my current Excel.exe...

I really appreciate what you've done, here and the amount of work involved. I've kept the previous replies. These will form the basis for further research. I'll keep you informed Thank you, once again. Grant.

Rosy2 and segv, To the uninitiated, eigen vectors and conitergration are meaningless without context. They may well be the path to eternal beauty and fortune but do I need to start from scratch through to post-graduate level maths to find out? What about a few examples? (I will read the...

Profitaker, "Depends how stocks A & B were correlated" Mathematically speaking, I am somewhat retarded. I'm guessing that "+1" means if X moves +1, Y moves +1 (and I stand corrected). How do you derive the 19.12% figure? How is the "implied index correlation (IIC)" determined (please...

Profitaker, And a lack of correlation would be a potentail arbitrage? Grant,

Batman28, I've read your original post. I use a seperate calculation for each strike, expiry, call and put. So for example, if Sep expiry has 25 strikes for calls and puts, there are 50 seperate calcs. There could be up to 50 strikes and 7 expiries (DJ Euro Stoxx trades out to Dec...

Batman28, I've been creating option pricing/modelling since Lotus 1-2-3 could be contained on a single floppy. However, I never made the transistion to VBA (in Excel). Some of my models are mothers in terms of size/detail/calculation. I recently upgraded my pc to a dual AMD 64 Pro...

Assume an index is composed of two stocks, A & B. Prices, weightings are: A at 100, 75% B at 50, 25% Therefore, the current value of the index = 100 x .75 + 50 x .25 = 87.5. Now assume the implied volatility of A is 25%, B at 15%. Is the implied volatility of the index 22.5%...

MTE, I think you are correct re cost of carry. The difference betwen index options and futures options is the former is cash settled if exercised, the latter is delivered or received if exercised prior to expiry. Then again, this is (was) the difference between FTSE options...