Recent content by Cadavre

Trading systems that consume BT models are usually unaware of the date (market is open or it is closed). TS world limited to current tick - B tick W tick - your post hints requirement for hard dates (easier to time trades to ECB counterfeiting and rumors that the fast but not too bright HFT...

Option probabilities rate the likely hood, based on tick at moment probability is calibrated, that the market will price the option in / out money before expiration. Next tick could change everything. A less than precise probability surface: 18 day 105 SPY OTM PUT (S=109.43): Pegging the...

Consider this proposal: US Equities trade as a derivative of the USD FX. (an inverted dollar carry). Ideas jobs production assets revenues sales (etc) are down across all sectors. Yet, as if by magic, US indexes bubble up to magnificence of past glory like a giant underlying Elliot event is...

An accurate forward priced Call / Put Probability surface?

Last decade or so there always seems to be a short squeeze put in play by the invisible hand. Typical gambit is currency manipulation and sovereign devaluation right around option expiration time by Central Banks and so called Economic Advisory Boards known affectionately as the PPT. You'd have...

Shopping a correction or confirmation to better understand open interest and volume: Regarding volume during a given market: Open interest = orders executed + (balance) open orders Volume = orders executed Shopping for thumbnail stats related to trading demographics specific to options market...

Colocatation? (Don't need broker with coloacation! Just need lots-o-bucks) :)

Opened calls on some banks and shorted with a steep S&P ETF Short. Issue - and thinking its just one brand. Lets call it Brand X ETF S&P financial shorts for now. The schedule to split or merge shares seems to execute to the detriment of retail holders. Our secret ETF Outfit seems to have done...

:oops: We are allowed our Perry moments, but not every 5 seconds - apologies, i think its the vanilla Gama sharing Vega's "leg agnostic" status (leg iv's?). There is a (separate) theta for each side of the straddle.

Yahoo! has EOD histories. Note the currency histories will have to have their calanders synced to any composite with equities (CSV format - includes adjusted close) stocks here (symbol=RHT): Download with Yahoos button download or work a request response. You can even find free real time...

This may sound retentive. Read (or tried to read) a bunch of forward IV approaches. Some used delta, some used money-ness. Don't those metrics require an IV to calculate? Pretty hard to do when the IV is the "quest" :) The pricing model is a matrix with columns being a range of possible stock...

Interesting that both Vega and Theta are said to be leg agnostic, setting aside PUT vs CALL IV and that their second cousins (DvegaDtime {vega bleed) and Driftless Theta {pure bleed}) showed the most significant variance regarding strike stickyness (SEX/XES)!

Bookmarked thanks. DVegaDTime = Delta Bleed Driftless Theta = Pure Bleed Snag of DVDT and DT for the 109.43 / 105 PUT 18 Day: They look like different "sexes" of the same species. One thing for sure Reading this stuff is making my eyes bleed! Both those guys are functions of the clock -...

A 109.43 SPY 105 PUT IS ESSENTIALLY the SAME option that a 110.09 SPY 105.63 PUT (maybe anyway?). Using a synthetic option (if a synthetic strike is, indeed, a hallmark of one of those critters) to pick apart the method offered in the initial post (why does the cursor behave as thought i am...

You done real good on dat `un, in4! Congrats. Did you close those positions Friday - who knows what the next dollar devaluation that will come out of the G20 this week end. The inverted dollar carry seems to have come back into play and the central banks work their collective fannies' off...