Hey all, I near solely trade SPX weekly options. Vertical spreads specifically. I bring all of the live bid/ask pricing into a live excel sheet...
Hello there. Thank you for your help. I did try that and it did not change the refresh rate. I tried making it very large. After entering a new...
I don't doubt that. In my case, it is because I am live calculating, using mostly SPX options, and have set it up to be able to shift between...
Hello, I recently flipped over the the new Excel sheet for streaming live prices. The stream is actually, believe it or not, too fast for what I...
Hello, I am wondering if anyone knows where I can find (paid or free) historical implied volatility data for futures. In my specific case, Crude...
Hello, I am putting together a quant strategy for a 1-week hold/trade and am thinking of adding historical RSI values to narrow my results. I was...
Interesting. So If I was looking at an ATM option, in the morning, with a week expiry (Fri-Fri), with a theta of 1.0. I would most likely see a...
Hey all, I am trying to strategically calculate some strategies that incorporate's the actual time decay during the trading day. I am using the...
Hey all, I'm hoping to get your thoughts on whether you think the VXX weeklies premiums are more closely related to the movement of the current...
I got it. Higher strike minus the lower strike (for puts). Ex. Short $37 put and long $35 = $200 margin. Plus the cash credit, which essentially...
Hello, I am trying to finish a spreadsheet and am stuck on the calculation on bull plays. I understand the initial short margin calculations of...
They responded. It was a glitch for Canadain accounts. They didn't know that the margin for VXX/UVXY shares were not increased as well up here.......
I tried the customer service chat but the person there couldn't tell me why it was this way. He asked me to send a support ticket. Which I did a...
Shorting that same call in my account is way different actually. [ATTACH]
I'm not asking the question, I am stating that's how it is now. Last week in my IB account, if I shorted a VXX ATM call it had me put up 30% of...
For calls only, I now have to put up about 75% for each VXX or SVXY and 150% for each UVXY. But Shorting the stock is still only about 30%/60%...
Thanks, Robert. I definitely did not think there is a specific formula. But for sure as of the now with the data I have, the average premium...
Hello all, I am attempting to perform a quant analysis on (weekly) stock options premiums around their earnings. My question is in regards to...
OK. Thank you for your replies. I would like to add that, lets say, if we assumed 2 trading days went by, and all underlying's and imp vol were...
Hello, In IB TWS they have a time value column which is displayed as an annualized percentage. This calculation uses all days, not just trading...
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