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>> Simple linear interpolation is trivial. Hardly falls into the "killing yourself" category. Try explaining that to the boss who also trades $10M swaps using the same curve.

Killing yourself over fitting the yield curve to the Bloomberg reference in order to use that with options trading is like interviewing people about JVM memory optimization and lambda generic mixins and then having them do CRUD Spring MVC form entry.

My view on the interest rate for option trading: it doesn't matter. Compared to volatility it's effectively noise. Detailing: there are actually two rates. A market average, which you use in order to derive the implied volatility. And your own borrow rate, according to Black Scholes...

Such a frontend could be entirely open-source and needs to be so - because it would require some degree of standardization / protocol agreement between providers.

Noone replied, so I'm gonna continue myself. Sorry for lorbing :p The web frontend idea was specific to my trade flow, but I just had an idea. What about MAKE THE FRONTEND AGNOSTIC OF THE BACKEND? It could connect either to my options trading engine any other engine. Like, Stepandfetchit...

I tried naked puts at some point, but the PNL was pretty random, if not negative. Didn't try dispersion trade though - and at the moment I'm too busy with several ideas to have time for this. Maybe a platform to backtest options would be a success. Problem is I'm doing Java programming...

This is a follow up from the 'Options Backtesting Software' thread, I'm thinking on a business plan and would like your opinions. Please don't hesitate to tell me if it sounds overly naive or optimistic :P Resuming the plan in a one-liner, I would call it "the make money button" :D 1) Put up a...

So TWS uses linear interpolation of strike-volatility for options of a given maturity, then linear interpolation of variance between maturities. Standard (and simple) stuff. I use that too, but also several advanced volatility models which again: - start with the fundamentals - make sense...

Two questions: 1) Do you think trading is something where everyone wins or it's a zero sum game? 2) Do you think you can open-source your model/strategy/code and still trade profitable using it afterwards? I think: 1) It's zero sum. And when it's not, competition drives it to zero anyways. 2)...

I've done several ways: - Stepandfetchit's sweep, but only on the stock price and at current time: gives some worst and best case scenarios. - Monte Carlo simulation of stock paths, along with delta hedging: this is the most time consuming but also gives the most info. - Use the greeks an...

>> stepandfetchit: Anyone tells you to do x, or y, beware! If it sounds too good to be true or it if is easy, .... beware. >> Backtesting [...] may not be the best way to develop a good trade, but may be a good way to refine/improve a trade. Exactly. >> ironchef: I am trying to expand into...

@stepandfetchit: >> I would expect, most people, including myself, who have high interest in option trading backtesting are primarily sellers of premium, and not merely directional traders I don't do directional at all at the moment, although I have plans for trying that some time. But right...

SLE, I don't get everything you're saying but this just proves that more people means more expertise. Regarding fair vol: I'm not sure what you refer to when you say "actual / preceding". Like current computation time window vs previous one? Directional dispersion: never heard of it until now...

>> Are you back testing option trading strategies that are written by a "USER" (near boundless in form and complexity), or are you limiting to specific canned strategies? So far I've tested single options + canned strategies like spread or butterfly. But I support any combination of options...

Got a new idea and have to ask you what you think of it :) In short, I'm thinking of open-sourcing my backtesting software. I ran a first series of tests with reasonable results, entered a first real trade based on them and so far it's OK. And I realized I gotta change the algo a bit, I feel...

>> J_Smith: Do you want to trade options, or make money? The latter. I'm also a software developer and startups are seen as the holly grail to making money here. But most ideas seem copycats or plain silly. I'm betting my chances on options trading. >> Baron: So what are the characteristics...

I've been banned previously from this site (some year ago). I'm in options since 10 years. Not very precocious. In starting to understand what this is all about, since 5 years. I would have failed (and have failed) every Math Olympics contest in my country and sub-country (federal state) that...

Well, I've written a backtesting software of my own and I'm looking to expand it now into an automated trading platform. I've purchased one year of options data from https://www.historicaloptiondata.com/ and so far tested about 15 underliers, some 10 equities and 5 indexes / ETFs. Results are...

Already got an IB account. I'm interested in FREE live data and specifically in re-distributing it. Eventually found out the answer here: https://developer.yahoo.com/forum/General-Discussion-at-YDN/Using-Yahoo-Finance-API-Not-RSS-/1250246255000-0b82f8f0-7f48-3af2-8fe2-e73a138cbfaa/ In short...

I've been looking for free options market data but can't find any. It wouldn't have to be realtime, even 1 or 10 minutes delayed would do but still nothing. On the whole darn planet there seems to be no exchange who offers that for free, for one measly index or equity. Just one. Do you happen...