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It has nice screeners but does not show what I am looking for. I am looking for percentage/absolute volume change and price change for each market sector/sector-etf from previous day or moving average (difference from moving average would be better).

Hi, Is there any place to find trading volumes by sector, find most traded stocks within a sector and compare volumes between stocks? cheers, Sam

I figured this one out. Bigger time value will result in bigger deltas as we get closer to the money.. if we take the percentage change in delta divided by time value, that would be close across different prices. But I still have confusion on how to efficiently delta hedge a portfolio when...

A correction - Assuming constant volatility, the extrinsic value will be highest at ATM. I am looking for explanation behind rate of change of delta (the gamma). Why does it vary and why does it become steeper as we get close to the money? Mathematically, delta computed as a derivative of...

By definition (2) is true. But I am looking for explanation behind rate of change of delta (the gamma). Why does it vary and why does it become steeper as we get close to the money? Mathematically, delta computed as a derivative of option price to stock price does depend on other variables...

Hi, I have some confusions about some options graphs. I've attached the graph of option price vs stock price, delta vs stock price, gamma vs stock price and vega vs stock price. (1) Option value vs Stock Price: As can be seen from the graph the time value of the option increases as the stock...

you turned 5k starting balance in 2004 to a gain of 800,000 thats pretty fking impressive.. thats a return of 16000% over 6 years. That is better than any strategy I have come across over this time period. And the graph looks fantastic with minor setbacks, no major drawdowns and a very good up...

neke, would be great if you could post the biggest gainer/loser trades.

If you go through the platform documentation, reference guide and implied spreads, it should cover everything you need to know about these markets operate such as types of orders accepted, how orders are placed, how orders are matched, how orders are executed/filled and settled and how price is...

I thought your so called "trick" was based on BSM formula? Are you saying your trick came before BSM?

The globex site has plenty of information on market microstructure, specification and pricing for futures. Here are some useful links: cme globex reference guide http://www.cmegroup.com/globex/files/GlobexRefGd.pdf cme globex platform http://www.cmegroup.com/globex/introduction/...

cool thx

Thanks. This is good. It would be even more useful if they could provide a bigger list, and allow some filtering by market cap in Xtreme report. But they do provide a flat file for vol data which is useful.

Thanks. Nice site for screening stocks. But it doesn't show information relevant to options such as implied volatility. Secondly, I did some screening based on historical month/week volatility but the numbers seem way off so I am not sure how they are computing it. e.g. for BP they are showing...

Hi, Where can I find stocks with high implied vols? I looked at a number of sites such as ivolatility.com, optionseducation.com, schaeffersresearch.com, etc.. but couldn't find any such listing or ranking. Most of the sites list stocks by put/call ratio or IV/HV. thanks, Sam

I think you should patent your intellectual thoughts.

Theoretically, it is the probability of the option expiring in the money however it does not consider any market risk. Here is BSM interpretation I found: <code> N(d1) and N(d2) are the probabilities of the option expiring in-the-money under the equivalent exponential martingale probability...

I just didnt bother to think about it... but its simple i got it. Anyway thi is irrelevant to this discussion thread. Thanks to sambian for taking the effort to explain how delta is not 0.5 for ATM options. -----

Can you share the trick?

I think that could be explained by the skew between put and call deltas in general but not sure (don't know theory behind it). However, the delta across calls or delta across puts with changing volatility should remain the same ATM, isn't it? Also, how much difference do you see in the put delta...