Recent content by Brennen81

Hello, I am putting together a quant strategy for a 1-week hold/trade and am thinking of adding historical RSI values to narrow my results. I was wondering if anyone had any suggestions on the parameters to use in this case? Perhaps, would it be wise to use the 5 period (daily bars) to match...

Hey all, I'm hoping to get your thoughts on whether you think the VXX weeklies option premiums are more closely related to the movement of the current VIX calculation or the VIXMO calculation, which is the calculation known as VIX up to Oct 2014, then continued/started as VIXMO and the new VIX...

Hey all, I'm hoping to get your thoughts on whether you think the VXX weeklies premiums are more closely related to the movement of the current VIX calculation or the VIXMO calculation, which is the calculation known as VIX up to Oct 2014, then continued/started as VIXMO and the new VIX...

I got it. Higher strike minus the lower strike (for puts). Ex. Short $37 put and long $35 = $200 margin. Plus the cash credit, which essentially lowers the margin further by that amount.

Hello, I am trying to finish a spreadsheet and am stuck on the calculation on bull plays. I understand the initial short margin calculations of --> 0.3 x Underlying - Out of the money difference. I am in Canada so it is 0.3 (30%). That I have working fine. So when I add/purchase another...

Hello all, I am attempting to perform a quant analysis on (weekly) stock options premiums around their earnings. My question is in regards to how anyone here would go about adjusting the premium for options with more or less time to expire. Essentially, remove the time from the equation. For...

In regards to Theta. IB's number really does confuse me. For example. On Thursday, an out of the money option expiring the next day with a 0.09 bid had a Theta of 0.01.

Hello, In IB TWS they have a time value column which is displayed as an annualized percentage. This calculation uses all days, not just trading days. I confirmed with them a moment ago. So doing it this way, two different expiry's in the same week appear to have less or more value when they...

Hello, A moment ago, both the SPX and S&P mini (ES) are at prices that match (extremely close) to at the money strikes for their options chains. If I bring up both the ATM put and call for each contract for the same expiry day, the ES premiums are nearly identical, which makes sense. But the...

Hello, I am seeking an answer to a general lamens term VIX and SPX option premium. We know VIX is a measure of this, but I am not entirely sure on what the number represents and if a doubling really means a doubling of all premiums. If say for example. VIX level - 11 S&P ATM option - 1 week...

Hello, I was wondering if anyone knew of a formula that if given a stock return scenario, it would give you a potential option return? One must exist because many trading program can give you this information live. I am looking to use this in historical data returns in Excel. For example. XYZ...

Hello, I am looking for a program to automate trades I specify each morning for the entire day. Also, specifically to automate buys and sells of the same contract multiple times for the day. I use Interactive Brokers and it won't allow me to send a sell order when it is already holding a buy...

Hello all, After about 2 years of option trading now I have come to see a very common occurrence. I will often put in a limit option order for around the current price. Buys at bid and sells at ask, therefore not triggering immediately and less fees. It seems that almost EVERY time I get a...

Hello all, I am looking for a program to automate my option trades. I would like to set the trades for the day in the morning. The specific need would be to have the system to buy ATM options (or next closest) at a specific time and sell/close at a specific time. This would be done 2-5 times...

I managed to get the file to work. What is interesting is that the formulas are different between trading geeks and the video I found. Then, of course, the RSI values are completely different with the same data.....