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Thanks, I just sent out beta invitations to both of you. The site is pretty flexible and covers most of the major U.S. equities by option volume (600 or so) and many of the major futures markets (30 or so). I definitely plan to include more symbols in the future to make it more flexible...

I have been building a tool which has pretty robust option back-testing features. It's currently in private beta and the details are here: https://www.getvolatility.com . If you're interested in checking it out, sign up and shoot me a PM, I'll make sure you're moved to the top of the beta...

A few of you mentioned straddles, and they do look surprisingly sold off on the S&P. I think this shows the extent to which the market has written down the probability of a Fed move tomorrow. The chart below is the historical cost to enter into 1m straddles on the S&P 500 going back to 2009...

1 week options on VXX are cheap right now relative to history and would be almost double in price using IV levels from last December. The ATM option currently trades at ~62 cents with ~65% IV. If we look at history of 1 week options on VXX, we see that last December IV was 130%. Repricing the...

Check out the chart below. It shows the gamma and theta profile for ATM AAPL options with varying maturities going out to January 2017. Essentially, to maximize your gamma, you want to minimize time and maximize proximity to the underlying price (closest to ATM as possible). The left axis in the...

If you get $140 AAPL, you're looking at about $2.50 made on your $1.25 premium. IV is just so high on those weeklies. I think if you go out a month or so, you might have better risk/reward. A June 5 136 call is trading at $2.66. If you get the same $140 you currently expect, those would be worth...

Hi everyone, To lower my costs, I'm thinking about moving from IQFeed/IB to a broker that provides a Zenfire feed for free. Has anyone made this switch before and can comment on how it went? How does Zenfire tick by tick compare to IQFeed for CME futures for API directed trading? Thanks...

I have asked both IB and IQFeed. IB told me no more than that they have no intention of participating in the program. I am trying to find out why. IQFeed said that the ball is in IB's court.

Why doesn't Interactive Brokers participate in IQFeed's exchange fee waiver program with the CME? IQFeed states that the program is very easy to set up for brokers and provides monthly savings to clients without costing IB anything. IB has set up an identical program with other data providers...

Yeah, it looks like it's on North Korea's war posturing. http://preview.bloomberg.com/news/2010-05-25/kim-jong-il-orders-military-to-prepare-for-combat-defector-group-says.html

What's the news propelling this after-hours drop?