Attached is an example of "unusual activity". On 7/3/19, there were 2 block orders for MYL 20 8/16 calls. 24927 contracts @ $1.23 (midpoint),...
You can watch the block order tape on LiveVol. It has made me believe that the pros are losing a lot more than they lead on. If you have a live...
The 315/320 call spread was for 110,000 contracts and 270/276 short put spread was for 11,000. Now I am intrigued. [ATTACH]
LiveVol returns significantly different volumes than above.
Good call.
Oracle may still have a chance if they can claim to be a minority woman-owned business.
It can be done, but not easily. Using the VIX to time entry/exits and put/call bias is a start. Here is my system trading contracts on the day...
Great journal. I believe we have similar backgrounds and I also wrote a 100% automated system from the ground up (for equity options). I would...
Ed Thorp comes to mind.
It seems fairly realistic. Below is the SPY 5/31 280.5 put on 5/30. My limit price was 1.87 and the IB Adaptive Algo delayed the order 15 seconds...
I ran my system on paper in May. The system made a total of 718 trades on 4250 contracts. The activity increased in the last week of the month...
Yes, it is. We have the same data.
At first I thought `min(open_interest) > 0` could identify those, but I looked up that contract in my DB and the OI on 2017-11-29 was zero. So you...
Maybe the attached file will help. My data only goes back to 2017-07-25, but it can be accomplished with a SQL query like this on your CBOE data....
If you have an ASA on both sides, you can run the VPN setup wizard in the Cisco GUI to configure it all. You will need a static IP on your home...
Go with colo and buy your gear on eBay. Data centers are desperate for tenants and you can negotiate a deal on a partial cabinet. Any Tier 1...
My biggest regret was not paper trading (forward testing) on IB for a minimum of a year before going live. The market will always be open, as...
I would suggest considering a SQL-on-Hadoop MPP query engine like Cloudera Impala or Apache Drill. Both are open source and free to use...
The underlying theory and implementation was strikingly similar to Maestro.
I had spent a fair amount of time trying to recreate his indicator. He posted the formula years ago but obviously left out most of the detail. I'm...
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