For common futures such as ES and NQ, I wonder if anyone know if there is free daily historical data source that covers multiple expirations?...
In the recent month I found that the trend of VXX has deviated significantly from VIX futures. Both the September and October VIX futures have...
Last year I subscribed the CBOE end of day options data for all symbols. It costed $600 for a year. It was expensive compared to other data...
I'm thinking about building a tool for calculating risk profiles similar to the one in TOS, but using a local/stoch vol model instead of BS (to...
I have been doing some experiments and testing, and placed thousands of orders and cancelled them through TWS API (which by the way rendered TWS...
I'm curious what the priority is between the complex order book and the regular order book (single options). I.e., which order book is matched...
I was reading the relative/pegged-to-primary order type offered by IB. If I understand it correctly, it generates an order that is better than...
Has anyone tried it? Is it even useful? I wanted to plot and visualize the volatility change of single name stocks. ATM IV doesn't take skew into...
I'm on IB's tiered commission structure, but the per-contract commission is no where close to $0.65. Often times, I got charged almost twice of...
TOS shows an IV value for each option, and also an IV value for each expiration. But I'm having trouble understanding what the IV for an...
I've been using options pricing models where days to expiration are integers. But I found it to be not accurate enough to compute IV especially...
In a calendar spread, the vols of front month and back month change differently. Tools like TOS show a Vega figure for a calendar spread. Does...
I'm wondering how people here calculate the one standard deviation move of the underlying, I've not found a formal definition of it and there...
I'd like to short an ATM straddle for the most premium, not the intrinsic. It is not always possible as the underlying could be at none of the...
One thing I don't understand about Black Scholes is why the mean (drift) of the stock return lognormal distribution is set to the risk-free...
Does anyone have one?
I find reading option chains a easy way to learn options, either using trading software or websites. However, it is not always easy to get the...
Greetings, I found that IB's portfolio margin requirement is way higher for collar than a risk-equivalent call spread, sometimes 10 times higher...
Greetings, On Friday, I started longing a few hundreds of SPY call option contracts that would expire on the same day. My account did not have...
I'm trying to compute greeks by myself for some historical data. I'm able to get the greeks computed most of the time, but sometimes they just...
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