The VIX is a measure of S&P 500 implied volatility, and Bitcoin is not in the S&P, so I don't understand your 2nd question.
I am tempted to short Bitcoin, but it is too volatile. I would think about buying Bitcoin put options -- when will they be listed? In the limit...
On Interactive Brokers' Traders Workstation, I can create watchlists of related securities. How can I show the average return for the securities...
I am looking at vendors of daily historical data.
I have been downloading data from Yahoo Finance for a while and, like others, am not happy it is broken. However, Yahoo was never obliged to...
I have a volatility strategy that trades XIV with an S&P hedge. I have another strategy that trades closed-end funds. If you are trading more than...
Based on https://ibkb.interactivebrokers.com/node/188/ I think it is possible to trade futures in an IRA account at Interactive Brokers with 3x...
I was, unfortunately, short XIV coming in to today, since the VIX futures term structure was so flat. On average, the slope of the term structure...
Yes -- quoting Reuters: (Updates with analyst comment; updates prices) ** CBOE Volatility Index <.VIX> falls the most since Nov 9, after...
Thanks for the links, but buying/selling a stock when it is below/above a moving average is a plausible mean-reversion strategy. Change the sign...
The Caltech Quantitative Finance Group has criticized the quality of intraday stock data from kibot. They prefer QuantQuote.
Thanks for your reply and for the backtrader project. I should have written that the strategy is to own the N most oversold stocks each day. Then...
Interesting, but the short-term (9 calendar days) volatility index, VXST closed today (Thursday) only at 12.75, well below VIX at 15.96. If the...
Thanks. Backtrader https://github.com/mementum/backtrader looks especially useful to me since it's in Python, which I use.
For a group of M related stocks that I specify, I would like to backtest the strategy of buying at the close, each day, equal dollar amounts of...
Yes, I read it. The book was "The Options Edge: Winning the Volatility Game with Options On Futures".
To harvest the volatility risk premium in SPY, you could sell 1-month ATF SPY straddles, delta hedge daily at the close during the month, and...
The implied vol of VXX is often much higher than trailing realized vol. Does anyone follow a systematic strategy of selling VXX volatility? Does...
Why are VIX futures inverted (April at 16.41, May at 14.94) when the April futures are not at a very high absolute level? And when the front month...
Interactive Brokers lets you import a set of trades from a CSV file. Which other brokers do so? I am interested in trading stocks, ETFs, and futures.
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