That makes sense.
Yeah but why would you use that if you've gone through the trouble to build a time series?
Long 60 shares of EW @138.37 to go back to delta neutral.
I understand how to calculate forward vol. Why do you want to calculate it for a trade like this? I'm not arguing with you I just don't...
I don't think it is an outlier. If you look at the first chart I break out min/max/median. The theta calculation is based on the median.
Oh...I may have missed what you were asking...the forecast for IV is just based on the front expiry...not the later months.
I forecast IV rise based on the last 8 cycles. Right now I'm just looking at median, min and max rise from that 8 cycle period. The 8 cycles...
When I've run the data I've found some covariance between market IV and individual equity options IV. Usually it doesn't matter but this last...
Have you looked at Quandl?
Yeah...I'm not pulling raw data...I'm using ORATs
Its something I developed myself. I got tired of trying to build this stuff using excel. It pulls the IV data after market hours for all stocks...
I placed two trades on underlying stocks this morning with upcoming earnings calls to try and capture the rise in IV. The trade idea is based on...
I don't think you would want to use a binomial distribution to model probability that more than one stock will be ITM but I could be wrong. I...
Quandle. Stevens futures data is already processed for rolls etc. Pretty good.
I think you need to learn more about options before speculating with them. Limiting your loss to 200 is easy. As Soes said, buy a call for...
For the naked shorts couldn't you use some multiple of the IV to calculate maximum likely move? There are clearly some problems with that (fat...
You should be able to read that data directly into a pandas data frame. If for some reason that causes problems you can use Python's standard io...
I made the switch to Linux Ubuntu when windows 10 came out. Too many irritating things with Windows and when my new laptop was constantly...
1%-2% is too little when it doesn't compensate you enough for the risk you're taking. If the market is priced correctly it should be a wash...
Hey, Not offended. I just think you missed the point of what I was saying. There is a difference between building a trading model with...
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