Switching strategy 180 degrees

earth_imperator · May 26, 2023

traider said:
I am referring to the code that filtered the data from yahoo finance

Sorry, it's proprietary code of a small company where I'm one of the code developers.

As said it uses the YF API. You can find the prices and subscription link in the above given link, then use the language of your choice for calling the API (for example via the curl tool or the wget tool etc.) and further processing the received data...

traider · May 26, 2023

earth_imperator said:
Sorry, it's proprietary code of a small company where I'm one of the code developers.

As said it uses the YF API. You can find the prices and subscription link in the above given link, then use the language of your choice for calling the API (for example via the curl tool) and further processing the received data...

It looks like a mission worthy of CHAT GPT!

earth_imperator · May 26, 2023

traider said:
It looks like a mission worthy of CHAT GPT!

Nope, there is zero AI in this tool :-)

It's just using simple filtering, here ATM_IV <= 35. That's it. :-)

Of course it has first to find the ATM strike, but that's trivial...

vanzandt · May 27, 2023

BlueWaterSailor said:
It's the most brilliant idea I've ever heard!

Now, excuse me while I go build a transmission with five reverse gears and one forward; there's a lot of bugs smashing against my windshield as I drive, and I don't like spending all that money on windshield washer fluid...

Also:

Have you ever heard of wings, or risk-limited trades? Just wondering.

Of course he has, he knows everything.
Except how to make money trading.

OT Edit:
I think the Frogs patented that transmission (on their tanks) long before you had this idea.

traider · May 27, 2023

earth_imperator said:
Nope, there is zero AI in this tool It's just using simple filtering, here ATM_IV <= 35. That's it.
Of course it has first to find the ATM strike, but that's trivial...

YF API doesn't give you IV. Did you use some library to calculate it? How do you adjust for half a day and holidays ?

earth_imperator · May 27, 2023

traider said:
YF API doesn't give you IV. Did you use some library to calculate it?

This is not true. Here's an example showing the IV: "impliedVolatility" (you have to multiply it by 100):

Code:

              {
                "contractSymbol": "AMD230616P00120000",
                "strike": 120,
                "currency": "USD",
                "lastPrice": 6.15,
                "change": -6.8399997,
                "percentChange": -52.655888,
                "volume": 2623,
                "openInterest": 339,
                "bid": 6.05,
                "ask": 6.1,
                "contractSize": "REGULAR",
                "expiration": 1686873600,
                "lastTradeDate": 1685033181,
                "impliedVolatility": 0.5039112109375,
                "inTheMoney": true
              },

How do you adjust for half a day and holidays ?

Sorry, I don't understand. Why holidays?
FYI: the IV is for the latest top-of-the-book Bid/Ask.
Therefore there is IMO nothing special to do with them, see above.
And: this is just "current" snapshot data (at the time of the downloading), not a historical bar data like EOD covering the whole day.

Although IV is already present in the YF API data, I still do also my own calculations b/c some Bid/Ask in the orderbook contain invalid values, for example Ask of a Put that is greater than the strike (which is impossible for a Put option).
IV is computed from the Bid/Ask, then when fixing Bid/Ask then one of course needs to re-calculate the IV. See also this thread regarding these issues.

BlueWaterSailor · May 28, 2023

vanzandt said:
I think the Frogs patented that transmission (on their tanks) long before you had this idea.

I first heard that one about the Russian tanks the Arabs used in the Six-Day War. Hadn't been thinking about it here - at least not consciously - but it probably sneaked up from my hippocampus...

BlueWaterSailor · May 28, 2023

Darc said:
Why? Wouldn't it be easier just to turn the Front seat around or put in a massive reversing screen.

Or possibly leave the car in place and spin the Earth such that the destination comes toward me? Hmmm. Seems like a reasonable strategy... at least compared to the original one. :sneaky: