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I just got the raw historical option data that has bid and ask prices. For a same maturity/strike, there are 4 prices (call/put and bid/ask), how should we back-out the implied vol? - Get the mid price, get IV for call and IVput, average them? - Get IV for all four, and average ? - Others?

It is an desktop app, didnt mean mobile app! It is also inverted, u keyin your desired exposure/premium , it then SOLVE the best combo

Come on, guys! No views? Is this app too stupid to be useful? Too good to be true ? Or just don't really bother...

If I made an app like this, will you use it? Input: Target Vega$ : ________ Target Delta$: ________ Target Gamma$: ________ Target Theta$: ________ Target Vanna$: ________ Number of Option:________ Maximum Margin:________ Getting market data... Calculating, Please wait.... This combination...

Very general question. I believe you are talking about FX? 1.B) No, unless you are running million dollar portfolio and can strike a deal with Investment Bank to offer you a cheap Exotic. For retail, if you try any of these, you chop your limb first (paying the margin to the bank's who sell...

Can share why would you not trade 2) and 3)? For 4), do you think delta hedging is effective enough?

Thank you all. It is a hit on the head. Horizontal spread exposes the Vol term structure risk! Basically, short-date IV and longer-date IV is not perfectly correlated. Now, I got one more 4) Straddle/Strangle + Delta Neutral Hi Convexx, You said can't run Gamma neutral w/o long Vega. I think...

Fellow Option Traders, Supposed I have a view on Implied vol increasing or decreasing, and I want to take this bet. What is the best way to play it ? 1. According to (a simple) example E. Sinclair book, he mentioned long/short call/put + delta hedging dynamically as it move beyond the band...

If you have backtested and research your strategy fully, trust them, keep them going. If you feel that your strategy need to be revised as it no longer works, stop them, go back to drawing board. If your position sizing has been sound in the first place, follow them. The pain is emotional...

Bumping the thread. We have two takers now.

Market perspective: Few large red bar, many small white bars. Typical equity movement Cheating perspective: Usually down is colored red =D

This is some equity chart rotated 180 degree isn't it (looks like daily but maybe not)? Rotated daily EQ chart != Original, ups and downs are obvious asymmetry.

It's just a vertical. The point is, why trade digital? It's Greeks is flying around

I am mainly interested to build up my EOD options database for backtesting purpose. So it will be one-time for now. I figure if enough people have like-minded objective, we could do something together.

Historical data is not cheap if we collect them for many tickers, across many years. Who mind sharing the cost for option data? Feel free to PM or reply.

What is the underlying instrument for this system? T-Bond, Bond Futures, or Bond ETF ?

Thanks for the info. Apparently you are right, in demo account TWS does not route to the correct exchange hence causing these odd fills and time.

Bumping the thread. Anyone has ideas on where to get the historical NYSE auction data?

Hi all, Long time lurker and first time poster here. I have searched thru the forums and seems like most are getting their MOC fills nicely. I cannot figure out why mine is not. Here's 28-Apr-2014 MOC fill Action IB Fill Yahoo/IQFeed Close Size Short SPY 186.91 186.88 123 Long XLK 36.1...