A good point--you can't really tell until the next day. Still, you can infer a lot. If 500% of the Open Interest traded, and it was all at the ask, you probably get at least 400% new open contracts.
500k calls on PCU
- Thread starter IV_Trader
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Quote from FullyArticulate:
A good point--you can't really tell until the next day. Still, you can infer a lot. If 500% of the Open Interest traded, and it was all at the ask, you probably get at least 400% new open contracts.
agree. On the first day of such an unusual activity , you should set some flag like "status = Open " and move the stock from universe to WatchList . IMO
Very interesing FA. This type of data seems to be Dr. Jon "J" Najarian's raison d'etre. I was scanning the IQFeed website. I see they have compatible software choices, which one would you recommend to construct a program such as yours? I'm not a huge fan of java, and am not the most technically abled person in the world.
Quote from volatilitypimp:
This type of data seems to be Dr. Jon "J" Najarian's raison d'etre.
Indeed! My method for finding interesting opportunities is probably different from his, but the goal is the same.
I see they have compatible software choices, which one would you recommend to construct a program such as yours? I'm not a huge fan of java...
This is a tough one. IQFeed has bindings for Visual Basic, Visual C, Java, and .NET. There's also a DDE interface, but I don't believe you can retrieve historical data this way (which is what I need to generate those stats).
I assume (but have no experience) that some of the trading systems creation suites would allow you to do this:
SmartQuant
TickQuest
This type of data seems to be Dr. Jon "J" Najarian's raison d'etre.
Indeed! My method for finding interesting opportunities is probably different from his, but the goal is the same.
I see they have compatible software choices, which one would you recommend to construct a program such as yours? I'm not a huge fan of java...
This is a tough one. IQFeed has bindings for Visual Basic, Visual C, Java, and .NET. There's also a DDE interface, but I don't believe you can retrieve historical data this way (which is what I need to generate those stats).
I assume (but have no experience) that some of the trading systems creation suites would allow you to do this:
SmartQuant
TickQuest
Osho67- No. copper futes and options are pit traded from 8:10am to 1:00pm(?) est. the futes apparently trade electronic after 2:00pm on some phantom electronic exchange(lol), but the options are strictly pit traded.
What other liquid options are you referring to?
FA- thx for the response!
What other liquid options are you referring to?
FA- thx for the response!
neophyte321
Guest
I've been looking for something exactly like IQFeed.
How well does it work? I'd like to pull, say 500 ticks
every couple seconds. I've been using INET's free web
service, but it leaves huge gaps, between orders
it fills.
Does IQFeed provide an greek info? IV for instance?
"Not a fan of Java" ... ? are you mad? Java Rocks!
How well does it work? I'd like to pull, say 500 ticks
every couple seconds. I've been using INET's free web
service, but it leaves huge gaps, between orders
it fills.
Does IQFeed provide an greek info? IV for instance?
"Not a fan of Java" ... ? are you mad? Java Rocks!
Quote from neophyte321:
I've been looking for something exactly like IQFeed. How well does it work? I'd like to pull, say 500 ticks every couple seconds.
You could watch 500 symbols and get their ticks fed to you in realtime. You can also query history for time frames ranging from monthly down to ticks.
Does IQFeed provide an greek info? IV for instance?
No, but they're relatively straight-forward to compute on your own. My program computes the greeks plus the beta-adjusted delta and probability of breakeven and win in realtime with each tick.
The only downside is that computing IV historically for all options is not easy. (The "Option Chain" lookup command only returns the currently active options, not those that expired last month, or whatever). So, you can't really plot the IV of all options for a stock for the last year, for example.
I've been looking for something exactly like IQFeed. How well does it work? I'd like to pull, say 500 ticks every couple seconds.
You could watch 500 symbols and get their ticks fed to you in realtime. You can also query history for time frames ranging from monthly down to ticks.
Does IQFeed provide an greek info? IV for instance?
No, but they're relatively straight-forward to compute on your own. My program computes the greeks plus the beta-adjusted delta and probability of breakeven and win in realtime with each tick.
The only downside is that computing IV historically for all options is not easy. (The "Option Chain" lookup command only returns the currently active options, not those that expired last month, or whatever). So, you can't really plot the IV of all options for a stock for the last year, for example.
Quote from IV_Trader:
you can define a "Current Month IV" field , then you can plot it regardless if its expired. That's how I do it , anyway.
In IQFeed? Are you storing the IVs each day in a database or something?
you can define a "Current Month IV" field , then you can plot it regardless if its expired. That's how I do it , anyway.
In IQFeed? Are you storing the IVs each day in a database or something?