Yes, if the spread you are seeking quotes for is currently quoted (bid, ask, or both) in the COB you are referencing, otherwise you'll get the...
That was in 2019,I doubt he is still getting them. Speaking of Guru, I saved the attached png he posted, which shows the number of bad ticks (all...
3) They aren't. IB is transmitting bad data points. These are effectively "snapshot" (once every ~250ms) quotes. So if, at the exact time of the...
Model it. It is a reasonable thesis, worth testing. Historical options snapshort data merged with OHLC and earnings (reporting) data should...
The best advice you have got on this thread is to figure out whose posts to pay attention to and whom to ignore. The second best advice you have...
TLDR: pg 16 of the attached pdf. Under stoch vol modeling, you call delta adjusted for skew (volcorr) "Minimum Variance Delta (Delta_MV)." You...
Somewhat familiar. I have good 1-min bar data back to Nov 2001, every contract. Let me know if you need it for testing.
More info in links at bottom of this page: https://www.cboe.com/us/options/trading/quoted_spread_book/
Thanks! Ended up removing that series, along with a few other similarly bad single-source cc/tenor series from my design matrices inputs.
Odd pattern in 1 Month tenor, see attached png. Not present in the 3 Month. Anyone have any idea of what is going on? Bad data/supplier? Doesn't...
I don't think there is an ELI5 explanation for these terms. To really understand these terms you need at least some relevant educational...
I realize that this question is addressed to taowave, but allow me to address it. BS, with the appropriate vol param, returns good (not just...
FYI, there is an International Math Olympiad Silver Medalist posting in this thread. Also Putnam. He's still in finance, 30 years post, not...
cos(arccos(x)) just cancels each other, leaving x. Did I give you that formula? If so I made a mistake. Does no harm though as c^2 = a^2 + b^2 -...
"Castle Ridge's chief scientific officer, Alex Bogdan...." Alex, in case no one noticed, is ET's own Maestro. As Destriero pointed out in an...
@newwurldmn is correct, Quanto should be banned. Not because his posts are particularly offensive, but because they are total codswallop. And they...
SPY skew minus SPX skew Granger causes VIX. [ATTACH] Skew Metric is calculated from snapshot data 15min pre-close, so there is considerable...
Thanks!
It depends on your utility function. Lintner and Markowitz proved that for quadratic utility, Sharpe is all you need. For other utility...
a) is the price of a double-no-touch, formulas available online or in books (e.g. Haug) b) and c) are the ratios of two binaries, converted to...
Separate names with a comma.