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thanx for the clarification. needs to get the post counts up.

PM is still not working for me somehow. cannot send or receive. love to talk about models too. it says "Your administrator has disabled private messaging." I am not sure what I have done to deserve this kind of treatment :) njrookie

One again, I agree with sle that normalizing by ATM IV is a good idea since it breaks down the positive link b/w level and skew, and make econometric/statistical modeling easier since you can model two processes separately without worry about joint dynamics. Think like this: it is normal for...

112 views and no participation?

Thanks sle for bring us back to skew discussion. We need adult supervision here :) Normalization by ATM IV effectively assumes vol of vol is proportional to the current vol level. You want to separate strike skew from the calender skew. skew at fixed maturity fixes this problem (by...

I am already learning a ton from the option forum. I got a couple of more things to ask for your advice. What is a good place to get real time data feed as well as historical data for backtesting? I use IB, but get historical data thru API with IB is a pain in the butt. I use MATLAB...

Atticus, Thanks for the response. I have a statistical model that forecast imp vol level and skew. This provides the basis to put on the trade. Converting the vol / skew forecast to an efficient trade is where I am struggling. I need a bit more time to think through about the trade you...

My goal is to find out the most efficient way to express a view on skew. Say if I expect the skew to get steeper from 5 vol points to 6 vol points, not the overall shift of vol surface. These two things (steepening of skew and the elevation of vol) of course are correlated (correlation at about...

any comments on my proposed combinations to trade skew? njrookie

I disagree. You do not need to do stat arb at HFT frequency. There are plenty of meet at 30m 60m, and even daily and weekly level. njrookie

I am reviving the thread since I have some additional thoughts that I would like to listen to everyone's comments. Here is the trade I have in mind if I think skew is going up (opposite if skew is expected to go down): 1. Long OTM put say at 120 (let us take underlying at 125 for example)...

Hi WinstonTJ, Ever thought about arbitrage trading on high frequency? You effectively make the market and try to keep the relative prices not out of line too much. By doing so you are making the market more efficient and those want to buy or sell pay a fair price for the moment. Latency...

can you take client as a unregistered IA if the client works for an investment bank and needs to satisfy all the compliance issues?

For IB's Friend and family account, you do not need to be a RFA. Under IB's guideline, you can only many manage 15 accounts, and less than 20 million combined. Any comments on my tiered pricing schedule? Is it a worthy complication? 2 and 20 is not worth it if accounts involve intensive...

I am interested in the same question and would appreciate anyone sharing their experience. My current understanding is that IB can bill the client accounts directly on your behalf (say 2% of asset and 20% of performance fee) on a quarterly or annual basis. You can also choose to bill the...