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...which has nothing to do with the probability of the underlying being higher for the upside...

It's a skew in the vol curve...and it has nothing to do with a change in probability but with a perceived greater risk on one side rather than the other.

Wrong. This is the risk-neutral valuation theory : option price is independent of probabilities everyone is giving the underlying to go up or down. The only important parameter is by how much it would go up or down.

physics & maths

I've had a good laugh while reading this thread...

What do you propose ? I need : - an interface running under linux without using wine - being able to trade futures and stocks on the same account - being able to manage multi sub-accounts from one platform - access through a java API - low commissions

You should consider the probability of having the number of losing days you've had in the last 10,20,30 and 50 trades. If all these numbers are that bad, you should reconsider the validity of your edge.

How can people believe there is more information in the set of prices on a given interval represented as a bar than in the set of prices itself ? The same who believe there is more information in the average of a sample than in the sample itself ?

And of course you made loads of money on 9/11.... Keep on singing, that's entertaining us...

I'm not sure the company you work for as an intern allows that...

And if you maintain a 2:1 leverage between 15:50 and 16:00 and then open a new position in after hours market ?

Quote from kjkent1: And, doesn't that mean, that for every dollar bet, in the long run, your win/loss will more closely approximate expected value? No, the only thing that the law of large numbers tells you is that the variance around this theoretical mean is proportional to the variance...

You're right, the edge is the same. But in the long run, law of large numbers applies.

That's a real shame. Being dependent on a graphic session for an automated task is the worse thing ever !

October. This is one of the peculiar dangerous month to speculate in stocks. The others are july, january, september, april, november, may, march, june, december, august and february.

CRR is a closed form too....

What is 'Black&Scholes' for you ?

:D

If you don't want to use B&S formula and adapt the vol for OTM options, juste simulate your returns under market neutral prob with what you believe the distribution of returns is, compute your payoff, and discount it. As simple as that.

Your finance professor never told you about volatility smile ?