I have access to historical daily data from options and stock prices. I would like to get a picture of the cross section relating to the IV and...
There was a similar post very recently that you can find some good replies from more knowledgeable ppl:...
night trading is the new day trading : P
I think your maths are right. (Ignoring the effect of interest rate). If you get a negative price - in theory you have an arbitrage opportunity....
To be honest that text didn't look a lot like an abstract - more like marketing BS. But it 's true almost in every science a lot of the academic...
Very good read, thx Nitro. @Atticus: I guess he wants to keep his anonymity (and his sanity lol) but in case he agrees is there any way to link...
Looking foward to Martinghoul's next post. In the meantime I ran a quick Excel sim usng constant realised vol and constant implied vol and it is...
[img] That's the formula I was referring before. (Willmott, p.227)
The straddle PL should be dependent on the difference between implied and realised vol. But since there is no delta hedging and each straddle will...
Start with this formula in your code: http://en.wikipedia.org/wiki/Black%E2%80%93Scholes#Instruments_paying_continuous_yield_dividends For...
My understanding âand someone correct me if itâs not right- was that for index under the assumption of high skew and sticky delta, the back...
Atticus has a lot of posts on the subject and it's best to spend some time searching for them. One of his ideas was that if you have a target...
Just use ActiveX instead of DDE. IB has an example Excel sheet just as with DDE.
Cool. I can only transfer my encyclopedic knowledge so it's good when someone with experience posts. (I'm not that modest in real life, I just...
In general, part of the index options "overpricing" should be correlation risk premium. An option that appears overpriced by comparing for example...
This is a good (to say the least) collection , written in VB : https://github.com/rnfermincota/EUM Also: We are all going to bed dreaming of...
This is a very important point that I have underestimated so far. I still study some of the models to get a better understanding of the dynamics...
These 2 are not necessarily the same. With 30 days of historical data you get an estimate of the "average" volatility over this period. Now...
What I have done, I paid up around $700 (IIRC) and got 10 years of EOD data up to the end of 2012. The rest you can get for free from IB including...
Maybe you missed the part in the book: "You own 1000 ABCD ..." ?? So your portfolio consists of 1000 ABCD shares long and 10 calls short. Stock...
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