Of all the data I have collected, I am missing options EOD data of the entire November and December 2018. The paid options data providers...
I haven't read up on ARIMA-GARCH model yet, but I will certainly take a look. About IV vs RV, I was thinking about using something like GARCH to...
Thanks for your response. I guess I will avoid using GARCH over earnings or other similar events where there may be regime change (FDA...
I think I understand what you are saying. Since I am attempting to implementing GARCH to my options backtesting, I am trying to predict N+X, where...
So just to clarify, if I want to find the GARCH of 21 March 2007 of MSFT, I use the returns from the beginning of MSFT's price history to 21 March...
I just started learning what GARCH is and how it works. In the future, I hope to incorporate it in my backtests. However, I'm not sure how I...
Is there a chance you can send it to me? Thanks.
am as I was thinking of using 20-day IV until I realised HV would be more accurate (since we are testing oversold/overbought)
Oh, I didn't know standard deviation refers to historical. Thanks
Hi all, I am creating a Python software for Bollinger Bands (as a project). When calculating standard dev, do I use historical volatility? Also,...
What are the adjustments for butterfly and strangle positions to stay gamma neutral?
Hi guys, I have been reading up on options and I see many people recommending to stay Delta neutral. Is it possible to stay relatively Delta and...
Hi guys, I am interested in learning more about greeks and about how to use them for hedging. Can you please recommend some resources to learn...
Separate names with a comma.