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According to some of the reviews at http://www.amazon.com/Inside-Volatility-Arbitrage-Secrets-Skewness/dp/0471733873 it is less accessible than Gatheral. But sometimes reviews miss the point.......

You could use an offsetting future if you have to.

Are you trading full size? ($100,000). Quotes are only for that size if I recall.

You are correct. I have found that you can just ignore the warning and let them expire out of the money and that is fine with them.

You could ask him to do a study of your trading results and make suggestions. Even better, give him at least an outline of how your reading approach operates, but a lot can be said even with just the results.............

You have been wishing him to fail and go away from the start, which is a terrible and irresponsible thing to do to someone. He is picking up your vibes. Look for a more positive approach. If you cannot find one, terminate the arrangement now. Do not ever agree to something involving...

Hmm this broker appears to be desperate for the small profits from service fees on wire transfers, or alternatively unable to afford the costs of writing checks. Could this be an indication of deeper problems? Aren't you entitled under CFTC regulations or the CEA to have your funds via check?

Yes only if you can get agreement at time of hire (not just from the recruiter, who will say anything) that you will have a path to quant, specifying when this can occur and giving you at least some limited form of contact with the quant. trading department right from the start. Otherwise it...

According to the Users Guide: "Although a combination/spread order is constructed of separate legs, it is executed as a single transaction if it is routed directly to an exchange." So see if it allows you to route it directly to an exchange (change routing from SMART to Directed).

That's too long.......if it is always that slow for you then you may not have enough free memory or something like that.........

Perfect! I think we would all admire your approach and agree with it! I have the impression that the original poster is only at the stage of profiling ideas. If I am right, R could work well for him at this stage.

In those cases where backtesting is about massive iteration, maybe C# is better. But I do not think backtesting should always be about massive iteration. Rather, I would prefer to test just a few ranges of parameters and explore the statistics of the results. It is good to avoid losing...

' Oh C# is clearly up to the task. It is just a question of what level someone wants to work at. Agreed that there are definite limitations to vectorizing in R and there are some tasks for which it is not suited. If one wants to focus a lot on statistical distributions of results from...

The math. of volatility surfaces provided by Jim Gatheral is pretty complicated. Do you think that it is necessary to work through it carefully to understand it completely or do most people (students or practitioners) just go for the general idea?

That is a very appealing approach. I assume that one would have to do extensive correlation studies as background. One of the harder aspects in hedging one option position by another, for example hedging gamma by using skew, must be understanding the range of possibilities as to how these...

On second thought I would not suggest anyone buy the Gathereal book unless they are heavily into formal math. You can read a lot of the same content elsewhere on the web as follows: At https://aims.ac.za/assets/files/Finance/ you will find lecture notes in the files gathereal.pdf and...

Oh I should clarify that I am only talking about what can be exported from OptionVue here. Within OptionVue itself, they also have the ability to manually step-by-step run forward from any point in time and date in the past and test complex positions even intraday hour by hour with legs at...

I have been saving off daily futures options data (all strikes and expirations for futures but not stocks or ETF's) for some time so I will have that data for a couple of years. But the analysis lies ahead of me. You can parameterize the skews so that you only need to save a limited amount...

Unfortunately it is fairly full of calculus......it might be a bum steer on my part..........

OptionVue includes free histories of implied volatility for stocks and futures on a daily basis for many years. It can be accessed from their flat files. But it is only one (averaged) number per underlying per day. That is, no skews on strike or on time to expiration.