I trade with IB, and am guilty of using their SMART route for my orders. Recently, my buddy has been copying a few of my earnings trades using...
As of Tuesday, I shorted 4 SPY Jan 18 straddles @ 22.5% IV and purchased 24 VGK straddles @ 19.2% (theta weighted the position). At the time my...
Hey everyone, I thought ET might do well with a stats/betting thread. Although Cross Validated is very helpful with answering my questions,...
Having traded the skew countless of times, today I realized, I do not have a sound understanding of why it exists(apart from the hedgers vs...
I have not wrote anything beneficial on this site for a little while + I would like some feedback, so I thought I'd write a little report on CELG...
I was not trading in the 90's and I was curious to know what is was like trading options. Were the most liquid names comparable to trading the...
Hey guys is anyone here still using quantstrat? I have noticed many people have moved over to pyhtons zipline (and for good reasons) but I was...
Hey guys, I am currently spending some time working on a web app that will help with trading earnings. I would greatly appreciate if you could...
Currently I am downloading option data from Yahoo's API however I am noticing that some of the option data is pretty bad. Actually really bad....
hey everyone I was wandering if some of you could help me out with a problem I am facing. In this example I will use MBUU as I put on a short...
https://www0.gsb.columbia.edu/faculty/mjohannes/PDFpapers/Earnings_2006.pdf This is out dated but the models are still useful. It also gives you...
Hey everyone, I am creating a binomial(eventually trinomial) tree for an SPX 1 month option. What I am looking to do is incorporate local vol...
I am trading 231 P Flys into steep skew. I was wondering if I should be using Local vol for my inputs rather than BS. I was also thinking of using...
Many of you are looking to buy the IV ramp into earnings. There is only 1 successful trader I know who can do this on a consistant basis. @Kim...
Stackexchange is pretty good. Are there other forums you would recommend to get help with statistical projects?
Stackexchange is pretty good, but are there other forums that you would recommend to get help on statistical problems? Thanks.
This is a dispersion question. I will also use a current real life example to make it more appropriate. SPX Jan 2019 100% moneyness vol = ~ 12.5%...
When it comes to earnings, what is the common method used to measure the analysts dispersion. Should you look at the dispersion relatively or vs...
This type of trading has been talked about so many times on this thread. But are any of you still doing this. I have found a few trades that have...
Euan Sinclair once said teaching and writing is an essential part of learning (probably not the first person to say it but I will give him credit...
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