when/where was that ?
Just a word of caution: 5,000 bear call credit spreads will result in 10,000 call volume. Same for 10,000 straight SHORT calls. I don't...
I don't claim to grow 10k to 100k so what I think is irrelevant. YOUR answer that question is what matters. :confused: :confused: :confused:...
Indeed, worst case this degenerates into a sales pitch. Best case I find it very refreshing: while the rest (incl. me) wrecks their brain about...
I don't know about riskarb but afa I'm concerned you are definitely right! :) But that you'd worry about a few months of non-optiona-bi-li-ty...
You can't be using real historical option price data because if so then there would be no prices for 1/1/01. So you're probably creating...
I guess when the Greeks made the alphabet, they forgot about option strike codes... :p
I just fail to see your point. If naked selling seems too risky, does that imply they serve no purpose at all?
so what's wrong with that ?? btw IB commission would be $0.50 :)
there can be many reasons why a strike code does not match the code schedule you refer to, like (previous) contract adjustments and/or occurence...
Attached is a paper "A New Formula for Computing Implied Volatility" describing, afaik, the most recent analytical IV approximation that works...
I recently ran into some explicit analysis on the correlation between daily volume, float and volatility but heck, I canât find it back. Next to...
One attractive feature of a log chart is that it visualizes volatility: a (almost) straight line on a log chart implicates zero (low) volatility....
if you could elaborate a bit on how you plan to use the data then i can advise if the quality will suffice
www.tbsp.com for $32 + $25 (registration) you can download years of data. from the site: The Daily Data files for Stock/Index Options...
http://www.ivolatility.com/top200.j
Heck chienandrew, good call so far, I cursed when Cramer advised against it tonight. Hopefully contrarian....
...hmm, unless of course you can offer above the earlier MM's offer.
I agree. Unfortunately there is little information like this out there, among an abundance on butterflies and condors etc. Any similar stories you...
JohnL111, appreciate your explanation but for me still remains the question: what is fair value, how do you measure it? If it is the comparison...
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