Solely looking at ATM IVOL you can view it in a few ways. I usually look at vol in either absolute terms or relative terms. Relative: For example...
What I have found in the vol space is, biases need to be back tested while in-efficiencies dont. For example, the implied var premium should be...
Why are there no ETFs or closed ended funds that give retail exposure to a delta hedged straddle or a replicated variance swap? I would imagine...
There are quite a few things wrong with using these numbers. VIX like the Varswap is closer to the 90% moneyness strike than the ATM strike so...
There is still a risk premium, .80 is not nothing. Just don't think you can start selling 30 day straddles, have a mediocre hedging strategy, pay...
"collect" is the not the right term to use. Plot the IVOL-RVOL spread (lagged RVOL 20 days) over the last 10 years. The mean is less than 1...
I am reading Brian Petersons research on how to build systematic strategies...
As H20 stated. Vol is likely to stay bid going into the event. The stock only needs to move a few dollars to start making this position a loser
I have been taught - If you have a delta view buy the stock if you have a gamma/vega view buy the option. With that said when I go to Bloomberg...
Actually one more thing Heydrrich. I am going to be pulling from my github. When I pull, do I have to clone the whole document or is there an...
Brilliant. Thanks for all your help @Heydrich. To add to your advice, this link was the final piece for me...
We are almost there. So I followed the links instructions and pushed a script to git. The script simply says - every 5min send me an email with...
LOL. Little does Kevin know about his shrine our schools trading team visits every Sunday to pay tribute. "The Legendary Kevin Schmit". When you...
After talking with IB they said I can transfer in and out to a joint account Unfortunatelty it will be necessary
I am from Canada and looking to start a business with a partner in the states. For our business I will need to transfer cpaital from my IB account...
I decided to go the route of Digital Ocean with Ubuntu. Everything is up and running and I have R installed on my VPS. My next step is going to...
Thanks Guru! I like the idea of storing the run times. For some reason I thought it would be much more complicated. Seems easy enough.
I am currently doing windows task scheduler which is what I am trying to move away from. It looks like I want to go the approach you took with...
hey guru I think you are familiar with C++ IIRC. I need a program that will run the C++ script every N hours. Lets say you have a simple script...
Hey everyone, I have code (R of course) that I have running on my PC. Every hour my PC wakes up and runs my .bat file which runs my .R script. I...
Separate names with a comma.