Building an offsite volatility RV system?

Discussion in 'App Development' started by sle, Dec 6, 2011.

  1. sle

    sle

    I hear you there, yeah. However, I will have to calculate all this during the day anyway so I can actually make trading decisions. And good vendors (e.g. optionmatrix) will give you all of that in their datasets anyway.

    Most of the issue is with calculating business time - pretty much every vendor IV calculations I've seen break down once you looking at days before expiry and weekends tend to add some strange effects to the front of the vol surface.
     
    #11     Dec 25, 2011