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First, double and triple check your data for accuracy. This surface seems very odd for a liquid contract like SPY. But, if accurate, then various debit strategies would seem to be in order.

If you are using the data to look for mispricings as possible trading opportunities, you likely will not find it in the S&Ps. Possibly for contracts on individual securities, but even then, I doubt it. The low liquidity options will probably have wide spreads that make any potential mispricing...

This thread is premised from the famous Rothschild quote. I intend it to be taken both literally and in an economic sense. My own preference would be to stick with previously known locations with capitalistic democracies, but I'm am not limiting this thread to them. Also, my own preference is to...

However, traders of the underlying don't usually have a 100% loss on their individual positions. Net long options positions like you are talking about are frequently a 100% loss.

Yes, and typically the only way to get that kind of reward/risk ratio is a buy low/sell high type of strategy. However low and high are only relative, not absolute, except for zero. That's why trading (whether financial instruments or real assets) is the easiest and yet the hardest way to make...

Yes, we have a winner! When it comes to selling options, you should maximize payoff (i.e. expectation), which is probability multiplied by the reward to risk ration payoff = p*(reward/risk). Just maximizing probability will lead to sell the furthest OTM contract that has a bid. Realize the...

In the past, Taleb has espoused a strategy of take no risk and at the same time take enormous risk. Practically, this meant put your money on tbills and use the interest income to purchase OTM options. Certainly a strategy anyone could follow.

If you are at all worried about the precision of the calculation using 252 vs 365 days, you should instead use the number of hours until expiration. That will give you much more precise number. For retail, the difference between 252 and 365 isn't all that important. I use 252 days, but most...

Correct sir. http://www.mesasoftware.com/papers/FourierTransformForTraders.pdf

- No simple answer to this quandry, but in general if you like to initiate positions with 45 days to expiry, use the 45-day historical realized volatility. - The options delta is a good estimate of probability. At each strike take the delta and multiply by the ratio of how much premium you...

I'll take a stab at no. 4. Options are priced very efficiently nowdays, so looking for mispricings is a waste of time. Being over or under priced is always relative to future conditions, so in general, buy low sell high, implied volatility that is. Expected value? Probability (approximated by...

It would seem to me that if there was a minimal (and possibly random) time period that orders must remain valid on the books, that both spoofing and HFT would largely dry up. If that happened, I'm still undecided if that would be good or bad for the US financial system.

Try a Power transform (ie Box-Cox transform), or a Fisher transform on the data to make it more Gaussian.

If using end-of-day data, the shortest period would be a two day cycle (0.5 Hz), which is the Nyquist frequency. Stay several octaves away from the Nyquist frequency because of noise. No shorter period than an eight day cycle (0.125 Hz). Anyhow, if desiring to use moving averages, use Ehlers...

Neither he nor anyone else who admits to primarily using DSP for technical analysis have disclosed their records. Ehlers is very open about his methods and approaches trading with a solid science and engineering mind. Of course that doesn't mean DSP, or TA in general, will make you or anyone...

Another way to look at moving averages is from a digital signals processing (DSP) standpoint. MAs are lowpass filters. John Ehlers is the man when it comes to DSP in trading. Look up his two and three pole supersmoothers, and his roofing filter.

You can still lose money with these strategies. The only way not to have price risk is to have a lock with some kind of arbitrage opportunity, or to have a HFT frontrunning capability.

Perhaps random within certain bounds. If market prices were completely random, then you would see jumps from $1 one day to $1000 the next day and back down to $5 the next. Real market prices are only bounded on the upside by fear/greed, expectation, hopes, wants etc., and $0 on the downside of...

First, your boxes represent different amounts of time, second, sometimes previous support is new support, and sometimes previous resistance is new support. Third, sometimes support/resistance levels are nearly the same price, and sometimes they are different. Looks mostly random to me.

One must be aware of the limitations of using DSP as applied to market data. Market data is derived from a sentient system, which means cycles are ephemeral (i.e. non-stationary) and lots of noise is present. DSP is design to be used with data from physical systems which have lots of repeating...