Hoadley, Mini-Options, Chains

J

justrading

Apparently MSN and IB do not distinguish between the normal and mini options when Hoadley OSET or IV Calculator retrieve chains.

Since IV is the same (normal vs mini) for the same strike and expiry, this has no effect on the volatility surface.

However, now that the size of the chain(s) has doubled, retrieving from IB results in many blank prices, eg for SPY April and May monthly expiries, there are no Bid, Ask or Last prices shown.

IB has always been clunky with Hoadley due to data retrieval limitations, this seems to be the straw that broke the camel's back.

Anyone know a way around this?
 
Quote from justrading:

Apparently MSN and IB do not distinguish between the normal and mini options when Hoadley OSET or IV Calculator retrieve chains.

Since IV is the same (normal vs mini) for the same strike and expiry, this has no effect on the volatility surface.

However, now that the size of the chain(s) has doubled, retrieving from IB results in many blank prices, eg for SPY April and May monthly expiries, there are no Bid, Ask or Last prices shown.

IB has always been clunky with Hoadley due to data retrieval limitations, this seems to be the straw that broke the camel's back.

Anyone know a way around this?
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If your going to constantly do research you need a different data source
 
Quote from cdcaveman:

If your going to constantly do research you need a different data source
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Amen to that, yes most of what I do is analysing various positions, so at a guess I probably spend more than 90% of my time with Hoadley and my Excel spreadsheets, less than 10% looking at charts.

Any suggestions on a cheap data source? Still trading small so I cannot justify the likes of Livevol which is now $300/month.
 
Quote from justrading:

Amen to that, yes most of what I do is analysing various positions, so at a guess I probably spend more than 90% of my time with Hoadley and my Excel spreadsheets, less than 10% looking at charts.

Any suggestions on a cheap data source? Still trading small so I cannot justify the likes of Livevol which is now $300/month.
More...

I signed up for the LiveVol blog trial (http://www.livevolpro.com/help/free_trial.html) in December, got it free for two weeks, then they gave me an offer for six months at $100 per month. Not sure if the promotion is still ongoing but perhaps worth a shot.
 
If you only need equities data and you can live with end of day, you might look at www.optionistics.com.

I'm not a subscriber because I trade mostly futures options, but I looked at the site when ET member OldNemesis mentioned it (I think it was him). It's a well organized site and you can buy a one-month trial for less than $50 and that includes a bunch of scanners and data downloads.

Maybe it can't do the type of modeling you're looking for, but for the less frequent investor/trader, it looks like a fair deal. Depending on your needs you might find it less expensive than ivolatility.com because ivolatility slices their service into a bunch of ala carte subscriptions. And Ivolatility's cluttered and garish website may induce seizures; I hope they remove those damn ads for paying subscribers.
 
Quote from Brighton:

If you only need equities data and you can live with end of day, you might look at www.optionistics.com.

I'm not a subscriber because I trade mostly futures options, but I looked at the site when ET member OldNemesis mentioned it (I think it was him). It's a well organized site and you can buy a one-month trial for less than $50 and that includes a bunch of scanners and data downloads.

Maybe it can't do the type of modeling you're looking for, but for the less frequent investor/trader, it looks like a fair deal. Depending on your needs you might find it less expensive than ivolatility.com because ivolatility slices their service into a bunch of ala carte subscriptions. And Ivolatility's cluttered and garish website may induce seizures; I hope they remove those damn ads for paying subscribers.
More...

Thanks, it does look interesting. I have been looking for a source for historical IV and options data for download, and this appears to have both. I will need to look into the formats later.

For importing options chains into Hoadley, I am currently looking at Stockwatch. I need to understand their features, but at most the 100 symbol subs is $19.95 + $1 for real-time OPRA quotes, so that is fairly inexpensive.
 
Quote from justrading:

Apparently MSN and IB do not distinguish between the normal and mini options when Hoadley OSET or IV Calculator retrieve chains.

Since IV is the same (normal vs mini) for the same strike and expiry, this has no effect on the volatility surface.

However, now that the size of the chain(s) has doubled, retrieving from IB results in many blank prices, eg for SPY April and May monthly expiries, there are no Bid, Ask or Last prices shown.

IB has always been clunky with Hoadley due to data retrieval limitations, this seems to be the straw that broke the camel's back.

Anyone know a way around this?
More...

Hoadley may be able to suggest a solution?
 
Quote from comintel:

Hoadley may be able to suggest a solution?
More...

I emailed Hoadley outlining the problem and got a very prompt response. Essentially as there is no differentiation in the symbology that triggers the data request, there is not much he can do. Pity the industry did not see fit to separate, like CME does with mini and micro.

I asked his opinion on Stockwatch and he said "Stockwatch is an excellent feed and very fast". He provided metrics for time to download a couple of large chains, so it is not a subjective opinion.

I then contacted Stockwatch and was advised that the lowest subscription level to be used would be 'Trader', $19.95 per month + $1 for OPRA real-time streaming data, which is about as cheap as it gets.

http://www.stockwatch.com/subscrip/subscrip_prices.aspx?pro=N&currency=U

I also contacted Optionistics and received confirmation that all downloaded data is in CSV format, so easy to use with Hoadley and Excel.

https://www.optionistics.com/secure/subscribe
 
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