This doesn't appear to be true, Vols are more or less equal as of close Friday. Here are vols calculated off of options closing mid and...
Since modern vol models calibrate to prices almost arbitrarily well, you've either coded the papers up incorrectly, or applied the calibration...
That's pretty good considering SPY has only been trading since 1993.
Depends on what you mean by realtime. If you mean intraday, then no, not as far as I know of. If you mean timely EOD, then the answer is maybe....
Dynamic Nelson-Siegel. It's been around a while, but still seems to yield usable forecasts.
Yes, posters on this site who have any clue at all are growing fewer and fewer. The handful who haven't left yet post infrequently if at all....
He's referencing Rebonato's "Volatility and Correlation." The phrase is the book's subtitle. Another recommendation for the book:...
AFAIK BarChart only goes back to 20080508. If trader221 has a link showing otherwise, he should post it.
This statement betrays a total lack of understanding of how options work. I'd try to explain it to you, but it has already been explained in this...
Go with choice 2. Polygon is not even a decent retail feed. What you have observed so far is just the tip of the iceberg. Problems are legion....
https://tickertape.tdameritrade.com/trading/synthetic-options-strategies-15457
If the put payout is unfair compared to the call payout, why does long stock plus long put replicate the [same strike] call payout? I realize I...
Why then does a binomial tree model (which essentially computes the discounted risk-neutral expectation) produce the exact same price as BSM with...
The FairPut can't have a price of 11.92 (same as the ordinary put) because for every stock price below the strike at expiration, it pays out more...
This post of mine is incorrect. My intuition was that since the payout on his "FairPut" is K^2 / S[T] - K, a little middle-school algebra applied...
True that. No amount of logical refutation will convince a crank he is wrong. That is one of the markers of a true crank vs. someone who is simply...
Yeah, one in ten thousand cranks turn out not to be cranks. Somehow I suspect that TheCoder falls among the 9999, not the one.
Of the two sites you reference, the first, SpotGamma, seems like a complete scam site. All their charts are lifted from somewhere else; they...
That is a good idea. It will be a useful exercise even if you find that option implied probabilities aren't very good estimates of real-world...
That's the same as the dual-delta (2*N[d2]) approximation, except arrived at via finite differences instead of analytically. Normalized to...
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