Thank you for the clarification. Most of what you say makes perfect sense. I think the delta based skew makes most senses for floating skew...
So I ran the SK10 calculations for WTI Crude Oil - SK10 = [Vol(ATM) – Vol(ATM – 10%))/sqrt(DTE). I have a real-time data grid that shows me the...
Thanks. I will go through this thread for a better understanding.
I miscalculated, a strike K that is 10% away from the spot can be significant. But using the same strike across different maturities with the same...
Curious about the SK10 measure for skew which I am not familiar with. Have always used the normalized 25RR for mainly floating skew products. If...
It's clear that the SKEW index is in general negatively correlated with the VIX index. It doesn't make sense that it is labeled a "fear" indicator...
Thanks for responding. So prior to a stock market correction, in a low vol environment (VIX between 10 and 12) would you be better off purchasing...
I haven't traded stock indexes (SPX, NASDAQ-100, RUT, etc) or stock options in awhile. Can someone give me a quick refresher on how their implied...
How do you execute those? Pick the outlier IV bumps and potholes on a 3-D term structure graph and just sell and buy those spots? That's a pretty...
Thanks for the suggestions. Bloomberg and Orats are two good choices. Will look into both. Can't execute trades on either platform though. I also...
Anybody have any suggestions on which data provider to use for options data? Other than the obvious historical OHLC, I would like a service that...
Thanks for all your feedback. Let's say I want to start with trying to accurately estimate realized vol in commodity futures, and would like to...
I'm trying to incorporate the daily high and low ranges in addition to the closing prices to get a more accurate idea of 1-week and 1-month...
We need a revived bearish sentiment on the economy and stock market in order to revisit the lows. The only way this happens is if the Chinese...
So is this finally the bottom for crude? Everyone is saying to sell the rallies and that $50 (WTI) is the ceiling going forward. Do we see $40...
After we break 45.60 next stop is 42.50 then 40.00. I'd maybe be a buyer at 40.
Good call. Take half the cash you raised from selling all your over-inflated assets and stick it in a trading account to cover your "haircut" from...
Not sure if Hull Trading or Timber Hill (now Interactive Brokers) executed with obvious great success with what I am trying to do, but they both...
Of course each instrument has its own nuances and market behavior. The goal is for the trading program to discover and recognize each individual...
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