That makes sense. Thanks! Intraday data is the prerequisite for calculating intraday realized vol. Although I had a different understanding about...
I guess by "modern production system" you didn't mean anything used by retail.:p I think the rates, dividend and hard-to-borrow fees could be...
Thanks for the explanation, but I didn't get this part. Why does retail software use yesterday's close in calculating IV and greeks? It only needs...
MrMuppet, could you please explain in a bit more detail why BS model is invalid for this case? I thought people could bet on strike touch with...
I also use TOS for the IV chart. I like its support of intraday chats. But I find there are some data quality issues. There are sometimes spikes...
Why does it have to get filled at MidPrice? Your other side of the trade, typically a market maker, is not going to fill your ITM order if she...
Long-dated options will also tend to have lower trading volumes and larger bid-ask spreads that affects PnL.
Makes sense. I think OP probably wants to add some leverage but in the meantime avoid exploding margin requirement on the way down. The margin...
Not sure if I understand the strategy correctly. Does it involve the following legs: a stock, a long put at -5% strike, a short put at -20%...
A risk reversal does not protect from a significant drop, though.
If I understand it correctly, it is not their return curve. But I'm not sure what it is exactly. OP should explain what the figure means on their...
Interesting. The call side skew seemed to have gone up a lot today.
I also had experience where I thought I wouldn't have been assigned but ended up being assigned (kind of opposite to what OP described). The case...
In this case, I think IB will raise the margin requirement much higher since now you own 100 shares. You could deposit funds to the account to...
If I understand you correctly you are selling a 106 put and buying a 105 put at the same expiration. The margin would be 100 times the strike...
It is asymmetrical in linear scale, but should be symmetrical in log scale. You can try to change the x-axis to log scale and see if they are more...
The extrinsic value must be non-smooth ATM. Because it’s the difference of overall value and intrinsic value. The former is smooth and the latter...
Have you used any of these? How is the data quality?
Can you name a few with good data quality?
I don't recall that they asked me if I'm a professional or not.
Separate names with a comma.