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Real traders don't go to the hospital, or eat lunch. Sheesh, kids these days. Didn't Bud Fox and Gordon Gekko teach you anything?

Grant, Two examples to look at: Wheat, at the moment, has a volatility which is directly correlated to the price. (i.e. prices go up, IV goes up) S&P has a volatility which is negatively correlated to the price. (i.e. prices go down, IV goes up) There's somewhat of a linear...

I can find nothing about Whiley as a pricing model--do you have a reference? Black would be the appropriate European exercise model for "futures exchanges". Just as an aside, the adjustment for American exercise options is typically VERY small. Black or B-S are generally within a few...

Still awake. It's done in batch. I don't care in realtime if there's unusual activity, I can scan several thousand stocks after hours in a few minutes to look for trades the next day. Rarely does unusual activity signal an overnight event. DTN's a pretty nice feed.

The HV code I posted is part of a larger group of code which looks at volatility over time. So, it computes HV, but it also computes a weighted-average IV so I can analyze their relationship over time. Still, my tool does a lot of other nice stuff: 1) Open position management with realtime...

I just left out the line because it's at the top of the class rather than in the function. The line is: private static final int volatilityDays = 20;

Yeah, because you'd never have the exact same problem holding a long SPX contract overnight when a "9/11 type event occurs". People have an amazing irrational fear of selling options. If you're over-leveraging, it doesn't matter what you're trading, you're going to "lose your house" anyway...

You're looking for the impossible. No web site can "guess" at a volatility. You can easily plug in historical volatility, but the outside factors are the ones that matter: 1) Aquisition 2) Earnings 3) News Events Any of these can double or triple the IV of an equity. So, you're really...

Or NDX or MNX (CBOE full sized and mini-sized nasdaq cash index options)

You'd need to use a Java development environment and create the functions to call the code I posted. In other words, you'd need to do quite a bit of work. You can do something similar with Excel (or Open Office's Calc). If you can get closing data into your spreadsheet, you can fill out the...

Quote from uncleTom: Ok. SO what you're saying is that I could use the 365 although my volatility and therefore theoretical option prices would be different? Just pick whether you want greeks computed per trading day or per calendar day. In other words, if you compute the volatility and...

252 is the number of trading days per year (more or less). You can use calendar days in both places if you'd like, but I find trading days more accurate.

Correct. It's a constant for the lookback period. 20 (trading) days is pretty widely used.

Yes--the option pricing formulas allow you to either plug in a volatility and compute the pricing, or plug in the pricing and compute the volatility. The latter is IV (the volatility IMPLIED by the pricing)

Here's some java code that I use: double[] closeData = dfc.getCloseData(); double[] logData = new double[closeData.length]; double mean = 0, dev = 0; for (int i = closeData.length - volatilityDays; i < closeData.length; i++) { logData[i] = Math.log(closeData[i] /...

Yes, sigma is the volatility. http://en.wikipedia.org/wiki/Historical_volatility

Thanks to eagle, I got a job at Goldman last week. He's right, they are rigging the game, and now I'm rich! Woo hoo GS!

Normally, it would be. However, just this week, North Korea tested the feared "penny option pricing" system, thus destabilizing the entire options community. Only the US has used penny options in actual trading, and has fought hard to prevent penny option proliferation. It's more likely...

Sorry. Futures Option = FOP

IB will quote FOP prices, as will DTN. The exchanges will also list 15-minute delayed data. Optionetics has a free (and incredibly useful) IV historical chart for FOPs: http://platinum.optionetics.com/oafutures.html