Recent content by botpro

Thx, would be glad to see the exchange margin rates. I did my calculation with 21 days till expiration as it was around the 16th or 17th of this month. Here the data: Underlying: CHK OptionType: Naked Short Call Maturity: June 17, 2016 UnderlyingPrice: $3.50 Strike: $9 Premium: $0.05 IV for...

It seems that for the above trade the Margin Requirement of the broker IB is $20,000. Such a high margin requirement for such a low-probability trade for reaching ITM is by no means justified (ie. the underlying is currently trading at 3.50 and the Strike is 9.00, t=1/12, ie. monthly option...

Hi, could someone please help me to determine what the margin requirement is for such a trade at the broker IB (or similar) using a normal margin acct: Type: Naked short call of stock options UnderlyingPrice: $3.50 OptionStrike: $9 OptionContracts: 500...

Like any software project: first planning and prototyping (ie. pretesting the system), then developing, then testing (using simulated data, and also real data), then integrating, ie. installing/going live. Keeping logs, analysing logs, and refining the program, ie. making it more robust after...

Good news: number of hedging trades per month reduced from about 30 on average to just 19 on average. I think that's it. Now I'm going to clean up the code and post the relevant part, ie. the new hedging logic of sys14. <...this message has been updated several times...> Update: -...

FYI: This is work-in-progress. Always check the latest updates for the latest status.

Please don't post any off-topic crap here, only constructive and qualified contributions are welcome... Thx...

Do you know statistics? Come on, sorry to say this but that is IMO BS. Because: the shorter the timeframe the better the annual PnL. So it doesn't make any sense to increase the period... Period! :cheesy:

Do you mean setting expiration=50 days? What's the rationale for this change?

Come on, my system is much different. BTW: please be careful when you link such IMO scam-sites... It's an insult to the intellect what the guy writes there (for example he writes "There is a 100% probability of an option losing 100% of its time value" :clap: ) ROTFL! It is not even wrong...

Jump/Gap Stats: nRuns=100 (each run is 21 days, ie. a month): Totals: cJumps=21000.0 : -10.0% 0.0 -9.0% 0.0 -8.0% 5.0 -7.0% 25.0 -6.0% 107.0 -5.0% 333.0 -4.0% 900.0 -3.0% 1876.0 -2.0% 3195.0 -1.0% 4087.0...

Update: I tried the system now also with a q&d (ie. non-scientific) jump-diffusion emulation (10 jumps per day, normally distributed, taken simply pctChg = random value from normal-dist (ie. about -4..+4) :-): it gives on average 31 trades per month. This is IMO still a good result. Update-2...

An interessting idea, indeed, thx; it surely deserves testing in some simulations and/or with real data.

FYI: - The param AnnDriftPct means AnnualEarningsYieldPct - The code lacks gap generation as seen in real markets (overnight gaps etc.). That feature, called jump-diffusion (ie. then it becomes a noncontinuous process), will be added in the next version. .

GBM source code in C++ for generating time-series (ie. stock prices) Here is some source code I wrote a while ago for generating time series (ie. stock prices) using Geom. Brownian Motion (GBM). GBM is not random data, it is simulated market data (some call it "synthetic market data"). Where...