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I just read review of one of his books on amazon, seems he doesnt present an actual, practical trading strategy but rather the framework to help people develop an edge on their own. again this adds a bit subjectivity to it, and personally im more of a math and statistics type of guy...what im...

this is what i thought...your edge is in reading things like channel, support/resistance etc....which is subjective by nature. in other words, the edge isnt really from the option market in itself, which is what i thought you implied previously...such subjective things can be difficult to run...

Hm I see, what kind of signal are you using? if you have some kind of charting indicators/timeframes that you monitor and act upon, then obviously the edge you have is most likely in that, rather than in option market irrationality, which was my original understanding of your post...

But this was thanks to it moving outside 610/605 within the last hour...how often does that happen? had it not moved you'd have wasted $62.

My bad, I thought you said last 2 days until expiry, not last 2 hrs until expiry...last 2 hrs probably offer some interesting opportunities.

Towards the end of the weeklies also has the most time decay though, which is a problem. And if stock has high ATR, that just means higher volatility, which would be priced in via higher IV, no? Not sure if I see any edge here...not that EMH has merit anymore, but just saying. Also transaction...

It's a new regulatory requirement. No market making for you.

Looking to demonstrate what-if scenarios first and foremost, to one particular novice...myself :p It's much more practical dealing with one set of widely available, free data, rather than a ton of individual data per symbol and maturity. As long as you're aware of model limitations, I don't...

Yeah, I actually found some papers on it. Here's one of them: http://www.math.nyu.edu/phd_students/benartzi/Slides9.pdf#search=%22dupire%20skew%20from%20historical%20data%20bloomberg%22 On page 24 its decribed how you can find the breakeven vol surface based on purely historical data. The...

Care to expand a bit on this? My main objective is to price ITM/OTM options by looking at historical underlying prices, in order to do some backtesting. By the way after googling around a bit, I saw a post by you where you said you had an excel spreadsheet that does something along the lines of...

Gah, but I want to price OTM/ITM options based on UL history :( And I assume skew data is needed for that...

Is this even possible? If so how does one go about doing it?

What if it goes to one of your strikes and start ranging in that area? You'll be paying a lot of commission, spread etc, enough to eat up the small gain you got from selling the premium. If you short the ATM straddle instead, you get higher premium and can thus take more ranging before you start...

Just go naked short the straddle my friend, AAPL will not go further up, its overbought...trust me, I manage $200M on a daily basis. But in all seriousness, Im pretty new at this so you probably shouldn't listen to me, but I would think there's some kind of strategies where you can profit of...

Best way to avoid time decay: Sell time decay

Why not sell puts instead?

Not bad, I always had the impression VB was too simple for such tasks.. My opinion has definitely changed a bit now... Think I'll just stick with VB for the time being Thanks for this and good luck with your developments as well!

Well my goals are pretty simple, at least thus far, so maybe I'll just stick with VB as you say. No need in overcomplicating. Thanks for the tip :)

To be honest, I don't really have any names for what I'm trading. :p All kind of stuff really, where I try my best to isolate some greek and profit of it. I do my own development yes, I make active use of VBA in excel. I've learned a lot of VBA since I started it, and I heard C# is similar so...

I guess it depends what you use it for. I used the Risk Navigator a lot to look at future scenarios, and always thought the numbers it gave me were weird. There have been cases in which Risk Navigator miscalculated my portfolio greeks. This can be dangerous. Not to mention the functionality is...