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when/where was that ?

Just a word of caution: 5,000 bear call credit spreads will result in 10,000 call volume. Same for 10,000 straight SHORT calls. I don't know how these web advisories scrutinize the data but to make sure you are on the right side you need to analyze: - how volume and openint is...

I don't claim to grow 10k to 100k so what I think is irrelevant. YOUR answer that question is what matters. :confused: :confused: :confused: Your status so far is that of a reckless risktaker with one lucky trade. If you're serious about sharing some of your insights and turning curiosity...

Indeed, worst case this degenerates into a sales pitch. Best case I find it very refreshing: while the rest (incl. me) wrecks their brain about vol skews and delta hedges this man just pours his whole account into long calls and rakes in 40% in 2 days. Judging from his earlier posts he isn't too...

I don't know about riskarb but afa I'm concerned you are definitely right! :) But that you'd worry about a few months of non-optiona-bi-li-ty when you use this merely as a liquidity indicator... why not use things like market cap or %Inst Ownership instead? Perhaps I just don't get it...

You can't be using real historical option price data because if so then there would be no prices for 1/1/01. So you're probably creating "artificial" options using eg. black-scholes and some implvola estimation. If that's indeed the case then why is it a problem that a stock was not...

I guess when the Greeks made the alphabet, they forgot about option strike codes... :p

I just fail to see your point. If naked selling seems too risky, does that imply they serve no purpose at all?

so what's wrong with that ?? btw IB commission would be $0.50 :)

there can be many reasons why a strike code does not match the code schedule you refer to, like (previous) contract adjustments and/or occurence of unusual strikes. i wouldn't bother to figure out the reason in any particular case: strike codes are simply unreliable, so NEVER rely on 'm...

Attached is a paper "A New Formula for Computing Implied Volatility" describing, afaik, the most recent analytical IV approximation that works well regardless of moneyness. The complete paper is a sure way to a quick headache so first look at top of page 11 where the resulting formula is...

I recently ran into some explicit analysis on the correlation between daily volume, float and volatility but heck, I can’t find it back. Next to measuring actual (realized) volatility this would be a proxy for “potential” future volatility. Something like: small daily volume, even on high...

One attractive feature of a log chart is that it visualizes volatility: a (almost) straight line on a log chart implicates zero (low) volatility. This is independent of the angle of the "line". Gummy's GE logchart shows that this has been a relatively low volatile stock most of the time.

if you could elaborate a bit on how you plan to use the data then i can advise if the quality will suffice

www.tbsp.com for $32 + $25 (registration) you can download years of data. from the site: The Daily Data files for Stock/Index Options with Bid and Ask (starting 5/16/2001) are formatted as follows: Symbol,Date,Open,High,Low,Close,Volume,OpenInterest.Bid,Ask,Strike Price, Month, Call or...

http://www.ivolatility.com/top200.j

Heck chienandrew, good call so far, I cursed when Cramer advised against it tonight. Hopefully contrarian....

...hmm, unless of course you can offer above the earlier MM's offer.

I agree. Unfortunately there is little information like this out there, among an abundance on butterflies and condors etc. Any similar stories you may have or come across will be gratefully received. Makes sense. I never played this game but just some thoughts: I assume you also observe the...

JohnL111, appreciate your explanation but for me still remains the question: what is fair value, how do you measure it? If it is the comparison of implied volatility to some lookback historical volatility, I personally don’t attach much value to that. I run an end-of-day options database...