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I am trying to clean up my closets, so a bunch of books that are/were related to my life in finance have to make room for other stuff. All of this is free for the taking if you want to pick it up yourself or arrange it with someone from here to ship it to you. The offer expires in a week or so...

A. Is it a hundred options or a hundred underlying stocks (second one is not as small as you think)? For a small set of options, why can't you capture the markets yourself from your RT feed? B. Why would anyone who is not trying to do AMM in options care about actual ticks? even for my...

I kinda-off wish someone would actually maintain a matrix with all providers that would include comparison of market data providers feature by feature. Also, I am surprised that someone out there has not undertaken a project to write a "data-splicer" interface - something that would allow...

There has been an announcement from CBOE that they are rolling out all of the weeklies for the next for weeks in time for the Black Friday sales. You will notice that the implied vols on these weeklies are somewhat discounted too.

Their problem is that any guy who has the education and know-how to come up with a high return strategy that is capacity constrained can find himself a spot with capital at a real prop firm instead of starting out at a 100k. This is "for pikers by pikers" and it's going to be very hard to leave...

As my old boss used to say (may be he rest in peace), "At a small enough capacity, return on capital can be infinite. A Mexican guy working at a bodega invests nothing, yet makes 5 dollars an hour." I am not saying this model is destined to fail, but I doubt you would ever grow past a...

A stand-alone print of a 100k is too small for anyone planning to do this full time and not a significant enough addition to existing capital for anyone who is already managing enough capital to do this full time. Which brings me to the next question - what sort of trader is the geared for...

The sizes of the allocations are, for the lack of better word, staggering. Did I get that correct, you have 1.2 million to allocate to the top 5 traders?

You should mentally separate the usefulness of options for hedging and for leverage. If you own a portfolio of stocks that you like for whatever reason, you can buy an option to protect yourself against a correlated market event. E.g. if you like CSCO, AAPL and a few more tech stocks, you can go...

Of course, you can teach yourself anything and everything. Ad ultimum, Srinivasa Ramanujan have become a great mathematician without any formal training. Question is - you certain could learn on your own, but would you? For example, if the school was free, would you still go to school?

There is no proven system that will last a life time, any statistical edge that you would learn would decay relatively quickly. Change is the only thing certain about markets and the only way to remain profitable is to keep innovating. Options trading, as an exclusive activity, is very...

Out of curiosity, has anyone tried the API on NADEX? The really short dated binaries and call spreads do sound interesting if you have an ability to execute automatically - though getting a meaningful size through would be hard.

"picking bottoms gives you smelly fingers"(c)

Given that the OP is "proving" his system using historical vols, I would seriously question the 500% number.

In this case, how could you ignore the implied volatility and simply use realized vol?

1 std = 0.2, agreed? atm call price approximately 0.08, agreed? B/E = price / stdev = 0.08/0.2 = 0.399

It's a part of their business model - when the going gets tough, they try to squeeze a tiny bit more by refusing to pay. Awesome industry.

Black-Scholes pricing formula for vanilla option can be, indeed, derived without the use of stochastic calculus and Ito's lemma - that derivation uses pure probabilistic and risk-neutral approach. However, if you can show that you can derive Black-Scholes SDE without the use of Ito's lemma, that...

One-sided markets are fairly common in bespoke world and even if the other side is there, nobody expects it to trade (e.g. knock-out options). In the end, no matter what is "bundled into the price" if my model puts the fair value at a premium to the single-sided offer or at a discount to a...

I take it you can only buy these options, not sell them?