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Do you recall if the orders were placed during wide spreads or if the market would briefly trade down to your price on a tight market?

Did you any in house code or execution software outside of your broker when executing orders? If yes, could you elaborate.

Thanks for explaining that kevin. If I am using a second tier broker like questrade for example, will they have a different routing system than say IBKR that would impact fill prices of a resting complex order? Say pre market on a stock that has just had a 5 sigma move and bid/ask opens $-2/$5...

The ibkr software not showing any volume even on individual legs. I cant get the volume on the screen for some reason. I woud think if they were referencing current fill vs last order on second leg we would see less vol on given the volume on Roku. I remember @guru was getting fills on cals...

Hello all, This has happened quite a lot and i am trying to understand it a bit better. Here is an example: When i plot the traded prices using IBKR of ROKU 62 strike July26/Aug2 call calendar on the 1 minute time frame over the past few days, i see that the calendar has traded in the range of...

I havent spent enough time on this to give you a good answer. But GARCH models incorporate characteristics of volatility (mean reversion, clustering), so I would imagine the answer to be "yes"

Kev, i forgot to thank you for this. It was what i needed and very useful.

Whats your pnl? If you are making under 500k/yr you can structure a corporation and pay small business tax in canada which is not so bad. 12% IIRC. If you are above 500k and are ok with residing outside of canada (but still keeping the citizenship) there are many options - malta, antigua...

Kev, i got to work with @sle on this problem and I wanted to post a real world example because the output im getting is iffy in a real world example. Im still going to use KO and PEP. Current Ivols PEP/USD 1 month = 16% KO/USD 1 month = 12% Forecasted 1 month Cor KO/USD, PEP/USD = 70% formula...

I love coming back to this statement. Just to enjoy how it is written.

Risk

Hey, im moving to Barcelona for a bit. Anyone is the Catalan region and want to meetup for some wine/tapas and talk shop?

Hello all, I am starting this thread to try and figure out what I am missing on this AMC/APE conversion next week. If anyone has ideas on why this spread is not as tight as it should be please comment. APE is going to converge with AMC on Friday Aug25th. AMC will be giving 1 extra share to...

Haha. Putting the “e” in sine() says it all ;) Enjoy your evening Kevin and I’ll chat to you tomorrow

I am now getting your original answer of .234 for Side C. However when I use the formula you mentioned above I am getting .62. angleA = asin(.3 * sin(.368699) / .234) 2angleB = pi - .483 angleB = 1.32 sideB = .234 * sin(1.32) / sin(.368699) sideB = .625 Could you help me figure out where...

Kevin, if it is not a right angle triangle, dont we need 3 pieces of info? I understand that we have Side A (.3) and angle C (acos(.8)) but wont we need one other side or angle to solve? Unsure how you came up with side C in first equation I tried setting: SideA = .3 SideB = .09 Angle C =...

As always kevin, thank you. Although, why is it that KO vol is lower than PEP (.23)? Why could it not be 7 vols above -> .37? Im actually using this for Crypto since uniswap does have BTC/ETH. I can use current BTC ivols and uniswap to calc ETH vol. Side note, it does seem we can use BTC/ETH...

Yes the 9% is the ivol of the ratio. Do you happen to know the answer to the original question - given the data provided could you price fair for KO/USD option?

If you create an asset of KO/USD over PEP/USD you create KO/PEP. And if you take the vol of that let’s say it’s 9%. Think of the KO/PEP similar to a uniswap BTC/ETH pool

Im trying to calculate fair value for KO Ivol given the following information. PEP/USD Ivol = 30% PEP/KO Ivol = 9% PEP/USD and KO/USD Implied Correlation is 80% Im sure its a very basic formula, but i am not able to figure it out. Thank you