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2rosy, just curious is this a real and/or common need? What does one do after such a breakdown? Maybe it is useful in figuring out how one would hedge the portfolio or break it down into a more manageable thingy? How big would the portfolio be? 1000s of Positions (market maker) or just < 20...

Let's say I'm Short VXX, and I want to hedge my ass by being Long an OTM VXX Call. Then? Or if I invested 25% of my life savings in some hot stock and am butt-scared that it may turn out to be Enron, and want to put on a monthly Collar...Then? Anyway, my main point is about illiquidity...

Thanks. That's a very useful perspective; I have a habit of overengineering things and then finding out it was not worth it! :) My particular use case is VXX options (for now). Liquidity actually increased, so it is worth it for at least 2 reasons: a) it is realistic to assume that we can...

Superb idea! Will update this thread with how it goes.

Thanks for the thoughts! I was thinking on these lines, too, but the max b/a spread is a good one, I didn't think of that.

I am trying to backtest using Options EOD data from ivolatility.com and there are some interesting data issues. Let's take the particular case where the Bid / Ask is really wide : Bid = $0.67, Ask = $2.63. Mean Price calculated = ($0.67 + $2.63) / 2 = $1.65 In such a case, the Mean Price...

The CFA is most valued by other people who have done the CFA. Basically, they think it's like a Navy Seal tattoo that shows that you two are brothers. You've seen the war, what it's REALLY like in the trenches, etc; Thus, it makes sense the most when you know for sure that the decision-maker...

I purchased Options data from ivolatility.com and loaded the CSV files into a database. I'm not sure if they have an API for the Historical Data, though. I have looked at their SDK briefly and it seems to address only Real Time data...

Dumb / amateur question : why would one want to view all forms of Options pnl in a "number/percentage of vol points" view? Alternatively, what is wrong with calculating the dollar pnl on all Options positions, including Calendar spreads, etc;? I suppose that to calculate the potential maximum...

Seriously, guys, this whole thing is a scam. And it's only in the US that this situation exists. The same Tylenol costs a LOT less in any other country.

Thanks drownpruf! I am considering this; or rather, after newwurldmn's + Martinghoul's insights into the institutional space, I will have to consider this! :) SPY options' liquidity is indeed a boon.

Yes, I misunderstood your initial reply as I thought from some past replies on this board that you currently work for a bank, know the spread, but would rather not "disclose" it. Apologies for the vitriol, my bad!

You know, you could have answered the question. Or just not answered it. But you chose to take the time and energy to write a reply that basically says, "Fuck you, we're so awesome up here on Elysium that you don't even deserve an answer. Here is why." This condescending attitude of yours...

Thanks, I will check out the ACD thread.

QUOTE]Quote from newwurldmn: If you have to ask here its a closed option to you. You will need a relationship and an isda. Or at least a private client account and the willingness to trade 2-5mm notional per trade on a buy and hold basis. Thanks for the information. So if I have...

IG Markets offers "to Close Up/Down" (binary digital) exotics at a horrible spread of +47 / -53, i.e., you win around 88.6 cents per $1 lost! I was wondering what the bid/ask offered by big banks is...Is it closer to 50:50? I think I can still convert +47 / -53 to 50:50 with some clever...

Maverick74, You really seem to have seen it all : level 2, market making, directional, stat arb, etc; Your posts are often high quality and one day (or rather one month), I intend to read ALL of them. Can you share how you trade right now?

+1 for redis. It's quite easy to get started with redis : http://try.redis.io/ It's quite adequate for your specific use-case.

nitro, I once used R in an Amazon EC2 large instance to handle large amounts of data for a machine learning competition (predicting links in a social network). To be specific, I used the m2.4xlarge instance, which gave me 64 GB and 8 cores. The only issue I had was human : I did not optimize...

Thanks for all your posts. I learned a lot from your journals (exotics, pitchfork, etc;) and you set the bar. If it weren't for you, I (and many others on ET) wouldn't have even know what is possible. I must add that your knowledge of health, supplements and other medical issues was/is as...