Are you talking about futures or futures options?
The proviso was to ratio more short legs than long legs. The assumption being that IV in reporting month implodes matched by a much smaller...
Just had a look at RightEdge, looks very promising, but pricey for what it currently offers: Broker execution only through Interactive Brokers. No...
QuantDeveloper used to cost $600 a couple of years ago. So, by the time RightEdge has all of the features of QD, it will likely cost the same :D
Here are the current B/As if you want to plug them in [EDIT: Yes, these are all EW options]: [IMG]
Me thinks that is the problem, hence the immediate $10K loss if one were to open and close the position straight away :eek: T+0 @ ES 1360 If...
You might want to have a look at the following graphs by adjusting some settings: plot lines: +4 @ Day Step step: +2 DELTA (change from P/L...
This should be good. I've got ring-side seats.
Forgot to mention: skew displacement for different expirations can be done independently. Given there is only one strike in this position,...
You mean flat skew? Can't do that either. All Strip vols can be shifted up or down but only together. EDIT: Current market skew is used in the model.
Can't model skew on ToS retail platform :D Only on ThinkPipes.
I took the liberty of highlighting the break-even points etc. The green line is expiration risk profile. The white line is today's: [IMG]...
Thanks 5Pillars. I found that blog thanks to the Yahoo! Market Delta group which also has some good content on there.
Yikes! I wasn't attacking you. I won't speak for Rally though LOL. I think it's an interesting position so when you have investigated the...
I thought I mentioned before but perhaps only in mind mind, that opening a position for a net credit as you like to do, does not guarantee a...
Take a look at the MarketDelta videos. Specifically, this video. It explains it very clearly and in very simple terms for anyone interested:...
Yes, IB for prototyping and also once some bugs have been resolved opentick data. If you use IB, you'll need to be aware of the effect that the...
I started investigating and experimenting some months ago. Since the arrangement between MarketDelta and Linnsoft I have been working very slowly...
Well, if they don't work then they might not be juicy enough to eat and thus will most likely not get corporate sponsorship from KFC... ...but...
Please feel free to point out where I need to do my homework. Thanks.
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