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Raw ticks. I can tell you more via PM. Python is very good for it. So, petty much any serious quant shop runs their R&D on python these days. There is really nothing like pandas out there. Matlab and R are close second, but the sheer horsepower that pandas+numpy deliver are unmatched. Plenty of...

I use it for both barred and true tick data, using transformed exchange data. Why do you ask?

First, a bit of general trading philosophy. A proprietary trader should avoid trading a spread where one leg of the spread is introduced for risk mitigation (there are a few exceptions to this rule, but it's a longer discussion). If you feel that an change in one of the specific metrics would be...

I have never sat in an HF execution seat but I have been on the other side of phone for their EQD flow, so my version might be a bit distorted. It really depends on a variety of factors. If it's just a question of getting some shares, he'd probably look at either executing electronically...

Do you mind walking me through this logic?

Lets take a simple LS fund. There is a PM (he's doing "the philosophy" and the final say), there are analysts (they actually do the analysis) and there is a trader (he presses the button). The investment flow would go like PM to analyst: what do you think of buying some shares of DB? analyst to...

Yes, at some point your delta will start approaching unity and other greeks will be close to zero. Of course, it's gonna hurt oh so much on the way there. "An opportunity to keep things somewhat reasonable" means that you would trade delta or hedge somehow? In my experience, when the shit is...

Just FYI, 80/70 overnight gap cliquets trade actively in the interdealer broker market on both S&P and Stoxx. Apparently, the buyers legal departments feel that these things are worth the money. In any case, unless you are trading pure gap (e.g. weekly options), your risk is not that it's...

Once you start hedging, it's a different trade. E.g. if you sell the front gamma and buy vega, your risk is term structure (and it's pretty rich right now). If you are trying to reduce the risk, your best bet is reducing the size, not adding more risk on top of it. PS. I've yet to hear Bobby or...

Really? Name a better single number that will tell you if you are long or short risk premium.

https://www.measuringworth.com/datasets/DJA/index.php will give daily values from May 2, 1885.

I have not read the whole thread, so you might have explained it before. Are you continuously maintaining your delta or it's a "sell and forget till expiration"?

It's even trickier because your SPAN margin treatment differs if you are delta-hedged or holding it outright (e.g. if you have a DITM option, you will get different margin treatment if you hold a futures against it or not, worse if you are holding a different option against it etc). Now with...

if you are looking for historical data, best place to pick it from would be http://www.federalreserve.gov/Releases/h15/data.htm. E.g. you can get daily series of Fed Funds effective rate at the top (or any other term lower).

Because your delta is funding-neutral (since your are posting fixed margin that collects interest either way), so your early-ex decision is purely driven by the interest on the premium.

The skew and term structure will really skew the results for some things if you always use a strikeless and fixed term IV measure.

Actually, in case of futures options, you should early-ex any option where your margin carry exceeds optionality. It applied to both puts and calls, i.e. if you have something that is deep enough ITM that cumulative margin interest is bigger then time value. It's been a while since we had...

Unless you are trading something very funding-intensive or long-dated, it does not really matter what you use (LIBOR, FF or T-bills). Other stuff, e.g. divs and short borrow are gonna matter much more anyway.

I am gonna chime in too. You aren't really short - according to your Greeks, you get flat if market sells off about a dollar in SPY-terms (if I read the units correctly). I'd call it neutral to slightly long position, especially considering your vega. PS. I don't get this desire to be "right"...

Using theta as the key risk metric is very smart, that is what most seasoned risk managers would look at. Everything else can be fudged/masked/misinterpreted, but your theta is a good indicator of risk - if you are collecting $100 per day you have more money at risk then if you are collecting...