You're a fraud. Can't price them? You begged me on Twitter to reveal the stuff. I am handling it on my thread.
I did show unlocked price. See previous message. And I can't even find you on Twitter, or your past messages. What happened there? I approached you by showing you your own base setup (you only confirmed one out of 2 or 3, exposing some ratios you didn't like). I absolutely didn't ask you to reveal anything, just wanted to see if you'd be interested in partnering up, but you blocked me before I could explain. I just had too many setups & strategies that could use polishing and open new opportunities, for you. Maybe you could be just an advisor, getting free equity in something valuable. Maybe you could just validate/vet my backtests or strategies and offer them to large quant firms. Maybe you could take a look at my internal software for trading options (Silexx alternative), which could be useful to tons of people. Plenty of other potential opportunities. But you're just acting petty and worrying about small stuff, unable to see bigger picture. In the past I had VCs and potential partners approaching me (stuff unrelated to trading) because they were coming up with ideas how to monetize great stuff and scale out. But it takes small petty mindset to constantly bicker and think about how to sell some seminar for $30K. No worries though, I have sufficient vision and resources to do what I want without you, and without ET or Twitter for that matter.
I think we've resolved our differences. I don't appreciate being tagged on Twitter or any SM. I've offered @guru some tweaks to his structuring in PM. I stand by my contention that there was no skew or switch edge in TSLA during the time in question as I was a large % of OI in the name. I'll let it go.
CBOE DataShop, but also ORATS and some other data providers found on Google. All of them offer similar and similarly bad data that needs solid re-smoothing. I’ve actually went through many iterations of smoothing option prices because I was getting too many arbs in backtests. So my data quality is now better than any provider’s.
Were you processing mid-point or last sale? Were these liquid symbols with tight markets and lots of trades or the opposite?
Smoothing both the mid-point and IV (also based on mid-point), using various forms of approximation to make sure no specific strike stands out on its own. Also came up with different approximations for OTM vs ATM & ITM strikes. Even had to use some hard-coded logic on stuff that wouldn’t play along. I had to smooth out absolutely everything, including illiquid stuff, to the point of backtests not being able to arb much, as they’re very sensitive to smallest mistakes and showing false profits when things get mispriced. Of course later I’ve learned in practice that I can’t fill many illiquid orders, or when I can then I may not be able to exit. So in practical trading I had to learn what to avoid, but also performing some actual arbs when MMs did let me fill stuff they shouldn’t (like diagonals at credit that should be debit). And I do have lots of illiquid stuff in my inventory when I know I won’t lose much but can make decent profit when the underlying does make a large move. Even currently I have some minor arbs on UVXY that has very illiquid options and all over the place, but very difficult to fill, like with MMs also unable to price it properly. Sometimes I wait days to fill them, other times leg-in. Basically feeling confident in pricing illiquid options, as long as there are a few reference points/anchors in more liquid strikes. As an example, here is my smoothed options chain for the current UVXY LEAP Calls that are quite illiquid and all over the place (bid, ask, and my smooth est value):
The OCC for end of day values for their TIMS calculations (PM Requirements) do similar smoothing. They did not for years creating horrible values for OTM puts where some were $0.00/$0.50 and some were $0.00/$0.05 on either side of the wider market.