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Ah.. interesting to see your views. And you are correct; i do not believe in forecasting market processes. I will not argue about this point further since we all can have our opinions. I want to leave you with one thought though.. there are differences between physical processes which exhibit...

Mav, i have learnt a ton from your posts on ET. But i will be the devils advocate here; as a retail trader, i dont think one should hang their hat on predicting vol or price. Cause what is the chance that their forecast is better than the tons of other doing so? Forecasting intrinsically assumes...

Totally agree. It has to be quantifiable; but you also need to watch out for the erosion of the edge. Also, even if you have a quantifiable edge, you also need to understand the underlying reason for which the edge is manifesting - if possible. And there lies the rub. For derivatives, possibly...

Like baggerlord mentioned, just before reading his post, i was thinking exactly the same thing - that its amazing you are providing such useful info here after so many years. You are an asset to ET and for the trading community in large. Hats off to you. And this question is though hard to...

thanks stevegee58 and mav for the information. Just got off the phone with IB rep. Turns out they use binomial and black-scholes; one for equity and the other for futures; probably in the right order and they use mid price for the price of the option. so its probably some small difference that...

Mav, I hear you. Not selling them at lows; been selling them at 30 and 25 and 20 and 15. Cant wait and not sell when its at 15 cause if it sits here for an year or goes from here down to 12 and stays there for 2.. who's gonna pay the bills :). That said i do backoff from time to time when i have...

TraDaToR, For Energy EIA reports are one of the important ones. Bloomberg genric cal has these listed; probably a good start. http://www.bloomberg.com/markets/economic-calendar/ But, as far as trading is concerned; its best to manage your positions so they are agnostic to any of these reports...

just some short prem mav. Your book must be similar. a butter here, a ratio there so on.. :) Mav, your excel, is it the hoadley. net one? or something more proprietary? with tos also showing such different deltas i am wondering if its any better.

Hello John, I've tried all 3 models on ToS and the differences are smallish (5-10 deltas in ES). Not sure what IB uses; also if you want to play with here is my current net June positions export from ToS. Wont show my entry positions but current prices. See what delta you get to? Right now in...

Hi all, I have somewhat of a very spread out position in /ES and there is a huge discrepancy between the deltas shown between ToS and IB. Its a huge difference and based on my experience from the past i believe the tos numbers better.. but wonder if there is a setting somewhere in IB that can...

Update: just a minute later; i got a couple of option orders filled and now i see the print; bid ask as should be. So perhaps the market was closed before.

Have seen this before. And it seems like the market is moving but how is the bid and ask same? Possibly showing up like this as the market is not really open yet; or maybe it is - cause i see the sizes moving quite frequently. wonder what it means. Is it actually trading?

Basically its just hard to analyse non-stationary data series. There is a lot of info here: http://quant.stackexchange.com/questions/8875/why-non-stationary-data-cannot-be-analyzed HTH! -gariki

True Bob. What i mean is after say a big flush down and a vol spike, there is a high probability that vol say an year out will come down but short term as in a month out can still be a coin flip. That said, i am not saying its easy to capitilize on it since the pricing will have this fact built...

There are a ton of people out there who claim its easier to forecast volatility but i think trying to forecast vol is just as challenging as forecasting direction (specially short term vol). -gariki

i see sometime a 1 or 2 cent cancel fee after i have modified and/or cancelled a ton of orders. So it really is close to zero if any. -gariki

Its not just fat tails ironchef; but more to the point that the financial time series as opposed to the data series that usually show up in physical sciences is non-stationary. So it simply cannot be modelled - to any degree of certainity. So the simple fact is all models are approximations...

hello botpro, When you are short premium and are putting on hedges you are actually locking in losses; not profits. Since the option pricing itself is based on continuous hedging (google it up), its not really a way to locking in any gains - check your sources. Try searching "reverse gamma...

newwurldmn, true only if you are putting yourself in a position that one trade (or 10 for that matter) going bad will end in your blowing up. I am sure you do not trade this way; no way to make a living. Now if someone is trading OPM, then what the hell (there is actually a bad incentive to take...

Jamie, secret sauce formula (theo)=bid+ask/2. If you think you can do better then think twice. Very very smart people have been doing this for decades and still with hitting percentages that are hard to be proven to be better than 50-50.