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ex: Calculate the number of standard deviations "x" that a future price target X of 450 is from the current price S of 444.27 in 35 days, with a volatility of 11.61%. x = log(X/S)/sigma*t = log(450/444.27)/0.1161*sqrt(35/365) = 0.3565 in Excel. = normsdist(0.3565) = 0.64 or in other...

The shorter your time frame, the closer the fractal dimension is to 0.5 i.e. random motion. Some very short period data can even be anti-persistant i.e. reverts more than a normal Gaussian times series would.

Here is my question. The percentiles are based on a lookback period, a 1 year window I believe. Wouldn't it be better to use all available IV data available to create the percentiles, even if that meant a 30 year lookback? In other words, use the entire lifetime of the available options...

Check this article, specifically section 3. http://thfinance.de/RobertTompkins/EJF2.pdf

Check the work of Robert Tompkins on normalized volatility surfaces. His work shows some evidence that these normalized surfaces are stable over time. Any deviation away from the surface could potentially be a mispricing. Although to take advantage of this kind of mispricing in real time...

It's really simple and basic. Price can't move until a buy or sell transaction takes place. Nobody's opinion makes the market move until they lay their money down. Until the bid/ask spread is crossed, price can't move. So what motivates people to lay their money on the table is every reason...

There is one way and one way only to make the price of an asset go up, and that is to buy it. Therefore, what moves the market is buying and selling. Now what motivates buying and selling is every reason under the sun I suppose.

If this tool does nothing else than to get people to think about maximizing payoff (payoff = probability*(reward/risk)) instead of maximizing probability alone, then I would say it is definitely a good feature IB had introduced.

First of all, don't buy it because you can find it for free on the web. Axiom: 1. a statement or proposition that is regarded as being established, accepted, or self-evidently true. 2. A premise or starting point of reasoning. The contents are not about a specific indicator or even a...

I suggest you review the work of John Ehlers. Specifically, "Rocket Science for Traders" gives a good review of moving averages. Also, look for his Super Smoother, and his recent work on Spectral Dilation.

The 60% is telling you what the market says the volatility is given the current price for the option. However, you can't solve for IV directly from price using the Black-Scholes etc. models. You have to use mathematical methods such as Newton-Raphson or Bisections to solve for IV. IV is...

I don't think they are intended to be zero-lag, just low lag. BTW it is trivial to make ANY MA a zero lag MA. Follow these steps: 1) Calculate the MA of price (any MA will do.) 2) Calculate the MA of the first MA using the same parameters. 3) Zero-lag MA = 2*MA1-MA2 Thank you very...

Why does the number 150 or an SMA versus any other MA type have meaning to you? I'm not criticizing you, just trying to help you understand the realities of technical analysis.

Look at the work of John Ehlers. Specifically, his method of determining the dominant cycle, and his Inverse Fisher Transform RSI indicator. His method(s) of determining trend mode or cycle mode may help you as well.

So use a method that incorporates both, such as: buy if price closed down 7 days in a row AND close > 100MA You buy on weakness within the context of an up trend. BTW, nothing special about the numbers 7 and 100, but you get the idea.

It's called survivorship bias. http://en.wikipedia.org/wiki/Survivorship_bias

The following site has a powershell script to download data from yahoo: http://portfolioslicer.com/stock-quote-download-scripts/free-script-download-quotes-yahoo-finance I had to add this code to line 222 in the script, because I wanted a sorted .csv file as output. Import-CSV...

Yes, but NR is a derivative technique. If the price-volatility curve is relatively smooth, such as European style exercise, fine. If the curve has discontinuities, or inflection points, then NR can blow up.

Here you go, from http://finance.bi.no/~bernt/gcc_prog/index.html #include <cmath> #include "fin_recipes.h" double option_price_implied_volatility_call_black_scholes_bisections(const double& S, const double& K, const double& r, const double&...

Exactly. In trading, the true value of p is basically unknowable. It's not like tossing dice. All you can do is make an educated guess at p, knowing that at some point, that guess is going to be wildly wrong and could bite your account in the ass. Other risk management techniques, like a fixed...