Search results

While I do NOT trade Futures options, I am aware that TOS's "standard?" fees total about $2.83ish per Contract including commissions and fees. (too expensive for my interest). Others trade IB and get under $2/contract after commissions and fees (I seem to recall about 1.60, but could be...

Probably, but you provide no reference for what your criteria of "good enough" is! It is also assumed that you understand BSM! IMO: If you are OK with TOS greeks with "iiv" setting for your IV (individual implied volatility), then answer is yes. If you require more accuracy, you need to dig...

IMHO (after a few brewskis): Backtesting is similar to farm equipment. Without greasing and routine maintenance, you will surely end up broken down in the field! Even with, it there is risk. AKA, once the "bugs are worked out" only takes you so far! You must insure you address changing...

Can you get two greeks for a turk? Or is it the other way around? Serious answer: I know of none! However, I would think that if one is in need of such 2nd order greeks, they would derive them with their own proven/reliable algorithms, rather than trust some broker with that!

Thnx for the additional detail. Does your setup run unattended? Do you have an API or do you have to run some IB app and poke any buttons, or re-start it from time to time? -- Pardon the "thousand questions"! If I don't find a suitable solution, I may have to redefine my problem! ;-( LiveVol...

I am unfamiliar with IB first-hand. I have heard of issues with extracting large data sets. I need unattended operation. My current implementation captures about 25K quotes at a time (each snap-shot). About 300 Strikes across 20 Expirations (a bit under 12,000 Opras) (out to 90 days) It has...

Underlying: SPX Been there done that <below) 1) TOS stability (via RTD) reliability has become near unusable. 2) TDA-API does not support weeklies, except for some very near term ones. So, looking for other data sources. I have historical, so that is not needed. Note: the snap shot needs to...

It would have been more ethical, to create a new product with the changed leverage! And if they really wanted to terminate the -1X version, phase it out in one or two years! This would allow an orderly transition. This horrible handling will likely result in loss of confidence in ProShares!

Any data to explain what is happening with SVXY today? -- Yesterday's info suggested it would be -0.5X (instead of -1.0X), however today it seems to have lost the "sign" and multiple!

That is not what I would do... However, our goals and criteria are different AND are subject to change. I am still figuring out what makes sense for me, so my advice should be given very little weight.

Not VIX, but the /VX Futures. VIXCENTRAL is good reference for observing front two month /VX futures and their contango relationship. These are the products that influence SVXY pricing. I wrote a study for observing, but VIXCENTRAL has the same info. The signal referenced suggest a relatively...

I have been jumping in each time the /VX switches from Backwardation to Contango. Has worked for the last 3 years without incident. (I did not trade the French election, however): Caveat: I always exit with a price target, so do not catch the full move.

After a short break to change my undergarments after the shocking post by mt2rules... My initial fear of the longer-term prospects for SVXY have diminished considerably!

I find it very unsettling, if they are able to "redefine" what I own retroactively!

WOW! Did not know. Thnx! That should drop the interest considerably in the near term (perhaps some exits as long prospects may be better suited elsewhere). Need to digest this.

Hm! They (longer dated call options) do seem less inflated than I recall prior to the Feb spike! May be a good way to leverage at-risk capital fairly efficiently. Thnx for the post.

IMHO: We recently had the sharpest spike in volatility in history (change/time)! This change exceeded 80% change, resulting in XIV exceeding their termination clause. Just a bit more volatility could have hit the 100% change, which would cause SVXY to go negative! What is the likelihood of...

Agreed on correct algos on deriving the proper forwards! -- Deriving via marshaling the chains has been adequate for my purposes for Index options.

Regarding ITM & OTM IV. As Quiet1 has indicated; If the process is done properly, (PUT - CALL Parity is properly addressed), then the IV of the PUT and CALL at each strike will be identical, as well as OTM IV is used in place of ITM IV. -- the use of OTM over ITM may take some time/thought to...

You may wish to consider, that a BID value < some number (depending on your requirements for precision) will infer the MID price may not be representative of a "reasonable value"! This may also suggest that attempts to derive Greeks for that specific strike in isolation of the rest of the chain...