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    How to find the probability of touching between two dates

    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...
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    How to find the probability of touching between two dates

    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...
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    How to find the probability of touching between two dates

    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...
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    How to find the probability of touching between two dates

    An accurate forward priced Call / Put Probability surface?
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    How to find the probability of touching between two dates

    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...
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    Volume Demographics Contingency Trades?

    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...
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    Looking for equity EOD Feed

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

    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...
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    Forward pricing implied volatility

    :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.
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    Looking for equity EOD Feed

    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...
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    Forward pricing implied volatility

    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...
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    Forward pricing implied volatility

    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)!
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    Forward pricing implied volatility

    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 -...
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    Forward pricing implied volatility

    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...
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    MS vertical put spread

    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...
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    Forward pricing implied volatility

    Bookmarked, thanks.
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    Forward pricing implied volatility

    Thanks Martin (great last name for Halloween! :wicked:). There were a few problems with the dat, but I don't know how critical it is. I have since corrected what I could but the presentation was developed before the corrections that could be made were made. The one I could not correct for was...
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    Forward pricing implied volatility

    Been working for the last year or so on forward P/L models for combo options. This is a forward priced P/L for a single straddle: The dividend yield and interest rates used now match the stock price and the time remaining to maturity. Since this example is modeled for the same option on the...
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    Stock v index

    I've heard about a Beta Delta relationship. My general understanding is the regression slopes of the underlying are normalized to the regression slope of the index and that from that a price change to index moves can be established. Beta refers to the volatility. Delta is the speed or price...
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    Help Understanding Bollinger Bands

    Hello, I've been working through a Bollinger project. Most of the documentation asserts that a 2 standard deviation offset defines the upper and lower Bollinger range. With my project I am using a close / close volatility (deviation seed is log(close/yesterday's close) and in order to get a...