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Well, maybe both demand and the supply are not elastic. Unfortunately, capitalism is capitalism and at some point it makes sense to relocate the company to where the labour is, be it India or Russia. Everywhere I've worked programmers were making 200 k/a and upwards. Not the kind of cash as...

Look up how many H1B visas in total are granted each year and compare it with the IT worker shortage in the US. The numbers are something like 60 thousand of H1B visas (oh, also don't forget, not all H1B workers are in IT) vs. half a million and up expected shortage of IT professionals in the US.

Oh, ok, now I understand your question - it was so intuitive that vega notional times change in vol strike is roughly your P&L that I did not get it. Sorry.

Ok, now I see - this is because Jun13 was "listed" earlier then Sep13. CBOE decided to back-calculate realized volatilities from the listing dates for the options, so while Jun13 starts accruing realized variance from the summer of 2011, Sep13 only start accruing it from this past Sep. So, the...

Makes me feel that someone should start a business that would do something along these lines for retail or semi-retail traders. I personally feel that a subscription to a service that has these features (I am not impressed with LiveVol either) should cost $50/month at most.

Here is a spreadsheet that calculates implied variance strikes from the futures settlement levels. To use it, get the settlement data from http://cfe.cboe.com/products/VACData.aspx, paste it over to the "inputs from CFE" worksheet and calculate. The "variance curve" will calculate the implied...

Not sure what you mean - here are the implied closing variances for the past 3 days (19th, 20th and 21st): date 12/21/12 12/20/12 12/19/12 18-Jan-13 18.99 19.14 17.83 15-Feb-13 19.15 18.59 17.77 15-Mar-13 19.47 18.83 18.29 21-Jun-13 20.49 19.82 19.35 20-Sep-13 21.73 21.05 21.09 20-Dec-13...

You can't just look at the two settlement values, you have to back the closing implied variance from the settlement value using realized variance to date and initial implied variance strike. It's simply a matter of inverting the formulas that I described for calculating the settlement values...

Not sure what you mean, could you give a numerical example?

The realized variance includes all daily moves, it's simply a sum of squared log-returns. I assume you are referring to the theoretical price of the variance swaps - the actual swaps usually trade with "var basis" over the theoretical price.

I am sorry, I am a bit behind on the stuff I promised to deliver. Let me first start from the historical quotes (from OTC markets), the I'll get to some R/V plays. As the time goes, I will post some views here, but I am hoping that people will get involved on their own.

Unlike an option, you can pull your limit at any time so it's kinda not much of an option (except for real HFT guys).

Out of curiosity, what would you think is a reasonable amount of pay for a standalone options software package as well as an integrated platform (e.g. historical data with updates + analysis software + maybe even some analysis function and scans)? Just trying to see if services like LiveVol are...

I think I have mentioned this one before: Picking bottoms gives you smelly fingers

I don't like this example at all! :D All I want for Christmas Is my two front teeth My two front teeth Just my two front teeth Gee, if I could only have My two front teeth Then I could wish you Merry Christmas

Well, think of it this way - if you buy a straddle that is priced with implied vol of 16% and are delta-hedging it, you are long realized volatility vs the "strike" of 16%. However, along the way your P&L depends on both what you have already realized and whatever implied is priced in for the...

Thank you for the vote of confidence :) I did end up writing my own tools in VBA and my own models in R (well, S+) but that was simply because when I did that (some 10 years ago), it was before these packages were publicly available. If I had to do it again, I'd go with one of the packages...

Of course it has to be low, otherwise nobody would buy this crap. You can't charge more then a couple hundred bucks for something that simple. I am willing to bet that if you use your hoadley add-in and calculate implied volatilities for S&P, for example, even the put/call vol equality is not...

Exactly. Original variance strike is nothing more then a reference point to calculate the price of the futures, like the coupon rate on an interest rate swap. From your P&L perspective, you only care about what variance strike you are buying/selling today, not the original one.

Seems like the guy took some time, collected a bunch of free code from the web and is selling it to people that don't know better. Quanlib has an excel addin that has more functionality and is free. A cursory look shows that pretty much everything that Hoadley has is out there for free - go...