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Hey @ironchef , first I would like to say, math is not something exclusive to institutions, neither is programming. Actually many people in institutions do not know math!! I think @Daal posted a thread where mutual funds are finally starting to switch out fundamentalists for quants. Nothing is...

I am trying to de-jump earnings in implied vol for backtesting purposes. Any easy ways to do this? I have the rolling 30 day implied vol and the rolling day 60 implied vol + all the earnings dates

@smallfil Having just found out you blocked me, I want you to know, you have 0 clue on how to trade options. You only buy options because you do not have enough dry powder in your account. What you keep talking about on this forum is how limited your risk is. You are the definition of scared...

What would be a fundamental reason for testing this? Wednesday gaps are larger than Thursday gaps because...?

12 years of data on SPX, looks like buy monday close :)

Almost didn't recognize you with the new display!! That's the end goal, is to find predictors of less liquid underlyings. However I thought I would get some statistical advise on a more liquid underlying where the data is much cleaner. If I remove the outliers the data looks much cleaner, but I...

Hey everyone, I thought ET might do well with a stats/betting thread. Although Cross Validated is very helpful with answering my questions, sometimes non-financial data scientists have a hard time connecting the 2 fields. We are lucky enough to have some very smart people on this forum who I and...

Hey Corto, thats awesome you are looking at trades from an expected value point of view. You are way ahead of most of the tasty traders. First thing I would say is stop watching them. Tasty trade does a great job of getting beginners excited about the options market BUT thats about as far as...

https://www.jstor.org/stable/pdf/2329066.pdf?refreqid=excelsior:0520aed7748291ef1f58b5d84bc5e454 I am finding the paper to be an interesting read. Maybe xGARCH news impact curves can be used to help value the skew. Thoughts?

Thanks guys, this has helped alot. I am summing it up as - the variance of gamma + the path dependency of vol is what causes the skew. When the underlying trades lower, not only are we expecting higher realized vol but those options will now also have higher gamma. So this brings me to the next...

thanks for the response. then what is our expected PnL of an OTM option? I am having a hard time seeing it being different then vega(rv-iv). As long as there is gamma in the option (which there is all the way up until expiration). That "should" be our expected pay-off.

Hey Jgillis, I am still a bit confused. If we can both agree on our expected final PnL (if delta hedged until expiration) is vega(RV - IV), what inputs are you suggesting I use for RV/IV for an OTM option? And I still don't see why RV should be any different depending on where the strike is...

NuclearPhynance <- it's a forum

Having traded the skew countless of times, today I realized, I do not have a sound understanding of why it exists(apart from the hedgers vs liquidity providers aspect). Trading Scenario: I will be trading the IV vs RV spread using the options from SPX 1 month chain. Let's say we have...

Most of the "quant" talks goes down in the PM's. ET bridges the gap between NP and stock twits or dare I say wallstreetbets. This site has/had a ton of NP people on it. If you want to ask a quant question go to NP or message them here personally(that being said most of my quant questions here...

I can think of 6 people on this site who have or currently work for large investment banks/hedge funds. Also a number of ex - market makers. There are also a handful of people who are on the come up and showing (somewhat) promising talent/work ethic.

You are asking a lot of questions on this forum which is a great thing! It shows you are interested in learning. Since you want to be here for the long haul, lets take a deeper dive. Let's say the market rallies and you take off the position for a profit. Now what? Can we do the trade again...

Ahhh, I just left 15 min ago!! I'll post it tomorrow with the 1 and 5 year forecasts. In the mean time stockrow.com can give you some sketchy data. https://stockrow.com/CELG/snapshots/cash_flow just scroll down to the bottom

Well let's break down if this set up makes sense to trade. "Im confident the market won't hit the strike price" <- ?? "Nice return if it expires OTM" <- ??? "Managing time decay in between" <-???????????? So far I am confused on all 3 points. 1) Why are you confident? Confidence does not make...

I have not wrote anything beneficial on this site for a little while + I would like some feedback, so I thought I'd write a little report on CELG and a position I have been loading up on over the past week. I was initially skeptical with taking a position in CELG because EVERYONE is bullish on...