Carey's Journal

cdcaveman · Mar 4, 2013

APPLE vol surface in R... stuff ive been fooling around with..

newwurldmn · Mar 5, 2013

Quote from cdcaveman:

APPLE vol surface in R... stuff ive been fooling around with..

<a href="http://www.flickr.com/photos/93790705@N06/8530340752/" title="ivxdelta by cdcaveman, on Flickr"><img src="http://farm9.staticflickr.com/8528/8530340752_00f331f55c_b.jpg" width="911" height="737" alt="ivxdelta"></a>

The graphs look cool but I never understood the point of them. It's not like you will look at it and say, "the June 515 strike is cheap"

Jgills · Mar 5, 2013

my only comment is that if i'm looking at the 50 delta on your chart, i am seeing vols for each maturity > 50, and in one case over 100. is your calc right?

cdcaveman · Mar 5, 2013

Quote from Jgills:

my only comment is that if i'm looking at the 50 delta on your chart, i am seeing vols for each maturity > 50, and in one case over 100. is your calc right?

The graphs look cool but I never understood the point of them. It's not like you will look at it and say, "the June 515 strike is cheap"

i just grabbed all the puts over the entire term structure.. i could trim it back to atm .50 delta..

the entire point of this was merely an exercise..... i know it sort of looks cool and novel.. but it might not have practical use.. but as i become more proficient with R... maybe i'll have more interesting questions to ask the data..

as for the calcs being right.. i'm not sure .. i'll look into it

Jgills · Mar 5, 2013

Quote from cdcaveman:

i just grabbed all the puts over the entire term structure.. i could trim it back to atm .50 delta..

the entire point of this was merely an exercise..... i know it sort of looks cool and novel.. but it might not have practical use.. but as i become more proficient with R... maybe i'll have more interesting questions to ask the data..

as for the calcs being right.. i'm not sure .. i'll look into it

i get that u pulled all of the puts over the entire term structure, on the top graph, each curve is supposed to represent an expiry, right?

i only said 50 delta beacuse looking at your chart labels, the x axis has delta, and looking at 50 delta on your graph i'm seeing the vols i stated. am i looking at it wrong?

atticus · Mar 5, 2013

Carey commented.

cdcaveman · Mar 5, 2013

basically its all wrong..

i'm not passing a function i am using from Quantlib the right shieettt...
its looking at it as if its one maturity..5/12 ..
its looking at it as if the price of the underlying is 459 with yesterdays options prices..
needs some tweaking

the function ..

getIV <- function(type, value,
underlying, strike,dividendYield, riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=151) {

AmericanOptionImpliedVolatility(type, value,
underlying, strike,dividendYield, riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=151)$impliedVol
}

#params sent to it
puts$IV <- mapply(getIV, value = puts$Ask, strike = puts$Strike, MoreArgs= list(type='put', underlying=459.99,dividendYield=0, riskFreeRate = 0.01, maturity = 5/12, volatility = 0.5 ), SIMPLIFY=TRUE)

cdcaveman · Mar 5, 2013

Quote from Jgills:

i get that u pulled all of the puts over the entire term structure, on the top graph, each curve is supposed to represent an expiry, right?

i only said 50 delta beacuse looking at your chart labels, the x axis has delta, and looking at 50 delta on your graph i'm seeing the vols i stated. am i looking at it wrong?

your right.... the calcs are way off

i gotta mess with it some more.. i'd like to come up with something of a decent particular use to us..

i keep thinking about looking at a surface of the vix curve.. something like the z axis being the price action of every expiration.. the x axis being expiration's.. and y be the vix price/expiration..

so you can see how the curve has evolved over certain time periods on a surface.. idk just thinking

fullautotrading · Mar 30, 2013

Quote from cdcaveman:

in interactive brokers.. i opened a position in one account, and closed it in another...

For people with Interactive Brokers or generally interested in strategies,
there is also this new Linkedin <a href="http://www.linkedin.com/groups/Interactive-Brokers-Traders-Fund-Managers-4932221" >group</a>

cdcaveman · Mar 30, 2013

Quote from fullautotrading:

For people with Interactive Brokers or generally interested in strategies,
there is also this new Linkedin <a href="http://www.linkedin.com/groups/Interactive-Brokers-Traders-Fund-Managers-4932221" >group</a>

? spam