Search results

That makes sense.

Yeah but why would you use that if you've gone through the trouble to build a time series?

Long 60 shares of EW @138.37 to go back to delta neutral.

I understand how to calculate forward vol. Why do you want to calculate it for a trade like this? I'm not arguing with you I just don't understand what you're looking at from the trade perspective or what your assumption is that makes it important.

I don't think it is an outlier. If you look at the first chart I break out min/max/median. The theta calculation is based on the median.

Oh...I may have missed what you were asking...the forecast for IV is just based on the front expiry...not the later months.

I forecast IV rise based on the last 8 cycles. Right now I'm just looking at median, min and max rise from that 8 cycle period. The 8 cycles number is configurable but it seemed like a good starting point. Why does it spike early? No idea. That is what the data reflects though and that...

When I've run the data I've found some covariance between market IV and individual equity options IV. Usually it doesn't matter but this last week it did with a large drop in market IV. I'm actually working on adding that calculation to my app automatically and should have it up in the next...

Have you looked at Quandl?

Yeah...I'm not pulling raw data...I'm using ORATs

Its something I developed myself. I got tired of trying to build this stuff using excel. It pulls the IV data after market hours for all stocks in my list and then I have new forecasts run quarterly. I'm still developing it but if you want to mess around with it send me a PM and I'll get you...

I placed two trades on underlying stocks this morning with upcoming earnings calls to try and capture the rise in IV. The trade idea is based on some of the stuff Jeff Augen wrote over the years on trading the earnings cycle: 1. TSLA: Long the May4th 297.5 Straddle for 30.55. Long the May4th...

I don't think you would want to use a binomial distribution to model probability that more than one stock will be ITM but I could be wrong. I think the other issue is that you're assuming the stocks returns aren't correlated but they probably are.

Quandle. Stevens futures data is already processed for rolls etc. Pretty good.

I think you need to learn more about options before speculating with them. Limiting your loss to 200 is easy. As Soes said, buy a call for 200...done. but your delta will be different than a long future position and you're taking on other types of risk. Your whole risk return will be...

For the naked shorts couldn't you use some multiple of the IV to calculate maximum likely move? There are clearly some problems with that (fat tails) but you could be conservative on the multiple. For example, use something like 5 or 6 x the standard deviation to calculate max moves and then...

You should be able to read that data directly into a pandas data frame. If for some reason that causes problems you can use Python's standard io functions and then will likely have to do a little munging.

I made the switch to Linux Ubuntu when windows 10 came out. Too many irritating things with Windows and when my new laptop was constantly updating I had had enough. That was two years ago and I think it was a great decision. For most things Linux worked fine and was actually easier than...

1%-2% is too little when it doesn't compensate you enough for the risk you're taking. If the market is priced correctly it should be a wash minus fees over the long term. If the market isn't priced correctly you must have some view on either direction or volatility.

Hey, Not offended. I just think you missed the point of what I was saying. There is a difference between building a trading model with underlying assumptions on price distribution and checking to see if two distributions are different. I know a lot gets made of the fact that return...