Search results

Is this solely for personal/firm use or is it going to be available to the general public? If the former, why does it differ from any other strategy implementation? You have an idea, back tested it, made sure it fit your risk/liquidity parameters and now are ready to deploy. If the latter, as...

Where are you geting this from? I justed recently started saving my code on rstudio cloud https://rstudio.cloud/projects (eligible python/sql/java + 16 cores to run "doParellel/foreach" on), and just bought(built) a new core i7, 8 processors (upgrading from a 86k). I re-read this thread and had...

Hey guys, I am almost done my earnings/vol application, maybe a few more weeks. I'll be releasing a demo to a a few of you to get some feedback when it's all done. But I wanted to mention a LULU trade that I think is looking ripe and wanted to hear what you guys think. Both bloomberg and zacks...

Getting your hands on a unique dataset is 100% worth doing. You might not find alpha in your first dataset but as you become better at collecting and processing data, eventually you will find something.

You stated selling an iron butterfly is better than buying a butterfly because you receive a credit.

I hope your not being serious.

Yes, I have only heard good things from the guys on this forum. However, if you look at my most recent post, I am finding some issues already with the data (most likely I am miss-interpreting the documentation). Any ideas here Des? Also any reason why you stopped using them?

Sorry here is the CRM straddle for 2nd month

lulu$included.data.ernDate2 [1] 8/30/2018 Levels: 8/30/2018 lulu$included.data.ernStraPct2 [1] 10.2747 :( well there goes my excitement about orats. I am also finding some problems with their straddle px's. For example they have CRM 2nd month straddle price at 18.20 updated at 3pm...

straddle px for LULU on Aug 23

Going through the orats documentation is raising some questions about calculating the implied move using the straddle px (as orats extracts the earnings moves from straddle px's stated in their documentation). There is a thread here between Kevin and I last year where he explains it good...

I finally pulled the trig with ORATS (bummed off their free trial twice, was new to programming so..), I love what Matt is doing and I think more people should be using his product. I have compared the ORATS data with Bloomberg and it's almost spot on with their BVOL(arbitrage free) implied...

did you really have to ruin my chances for free money?

I'll take you on your wager and would actually prefer to increase the size a bit. Not as much as @sle is wagering tho. 10k? PM me and we can set @Baron as the escrow. (Assuming even odds) Edit. I will also be happy to do the 1k if thats as high as your willing to go.

Great resource!!! Going through some of his articles. https://tpq.io/p/rough_volatility_with_python.html I downloaded the csv files he provides for multiple indexes with multiple realized vol calcs. If his RV.Kernal model suggested the past 10 days SPX realized 10vol and over the same time...

why does this work better? I would think it would work better when the underlying is mean reverting. If the asset is trending, you would want to over hedge (assuming we are short gamma). The reason I ask is, Bloomberg recently released their 10 day IVOL 100% moneyness (at least for my...

Dest, do you follow a sticky strike or sticky delta model? You have mentioned it to me before but i can not find it. Thanks

Trading competitions are all about finding loop holes. There are so many! You can tripple your sim account in 1 week doing dividend arb using boxes(no assignment risk, easy to do on TOS, if you ever want to pretend you make millions). Me and a buddy went 3/3 at our schools trading competitions...

Pretty freaky

I hope none of you were short KHZ vol. It looked expensive on a few metrics. What a disaster.