I want to buy some option data to do research

Discussion in 'Options' started by kevzhu, Nov 7, 2012.

  1. mutluit

    mutluit

    This alread was answered in previous postings here.
     
    #21     Nov 8, 2012
  2. CT10Gov

    CT10Gov

    Oh crap, I totally missed where you claim using historical vol is acceptable, even when others advised you that it is stupid.

    Another ET crazy person, eh? No wonder your post made absolutely no sense.
     
    #22     Nov 8, 2012
  3. mutluit

    mutluit

    Yeah, It seems my answer must have been very hard for some snake-oil-data sellers...

    Buying historical options data is useless, using an automaton gives more realistic study results.
    To this conclusion can come only those who have walked the way...
     
    #23     Nov 8, 2012
  4. sle

    sle

    What do you mean by "more realistic"? Implied volatility is frequently very different then realized volatility, it's part of what option trading is all about.
     
    #24     Nov 8, 2012
  5. CT10Gov

    CT10Gov

    I'm going to bet that you don't know what implied vol is. Why else would you compare it to 'automation'. Even by ET standard, your ignorance is profound.
     
    #25     Nov 9, 2012
  6. mutluit

    mutluit

    No, you got me wrong: "automaton" (not "automation") stands for a standard options pricing caclulator like the Black-Scholes calculator.

    FYI (wiki): "In financial mathematics, the implied volatility of an option contract is the volatility of the price of the underlying security that is implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, when used in a given pricing model (such as Black-Scholes), yields a theoretical value for the option equal to the current market price of that option."

    Historical volatility is, as the name implies, about the observed volatility, ie. past volatility, whereas Implied Volatility is about the future expectations of the volatility.

    This is options101, ie. basics.
     
    #26     Nov 9, 2012
  7. CT10Gov

    CT10Gov

    Wow, I'm completely speechless... You really really ought to crack open an options book. I'll leave to others more tolerant of idiocy to explain why you don't understand anything about options.

    But I will point out that BS is a pricing model, not an automaton. Inventing your own terminology is often a sign of gross ignorance.

     
    #27     Nov 9, 2012
  8. sle

    sle

    "automaton", if i recall correctly, is a "self-operating machine", not a model of any sort.
     
    #28     Nov 9, 2012
  9. fbell50

    fbell50

    I spent a significant amount of time trying to get historical option's data cleaned. They give you whatever data they managed to collect just as they collected it. Sometimes option symbols will change for one or a few days and then change back. You need to handle symbol changes due to stock symbol changes. There were other problems, but it's been a couple of years and I don't remember all the details.

    If I had realized how flaky the data was and I wouldn't have bothered with it.
     
    #29     Nov 10, 2012
  10. sle

    sle

    If you think EOD data is dirty and hard to handle, you should try dealing with tick-level historical options data. There are terabytes of quotes/trades and you have to create vol surfaces out of it. Fun stuff, yet there is a lot of $$ value in getting it all cleaned up and working properly.
     
    #30     Nov 10, 2012