Import the data into Excel, and use its descriptive statistics functionality to get the skew and kurtosis. I've never looked into it, but perhaps...
If the area under the bell curve above the higher strike is p=0.3, then the area under the curve below the strike is 1-p = 1-0.3 = 0.7. For the...
I've never used this indicator specifically, but I imagine it is like every other indicator ever devised; sometimes it works, and sometimes it...
The skew is relatively flat for long dated options. I've never delta neutral traded using LEAPS, maybe it's worth a look.
Make sure you stick primarily with one language and make that your specialty and career. Don't try to be a C++ developer and a Java developer and...
I stopped writing all my own trading code when I found this site. http://www.stockfetcher.com
You won't pick the exact bottom on this sell-off, so don't wait for it, thinking you will. The way to play this is to decide on how many shares...
An assumption that the markets are completely random means I can enter at any time and always have 50/50 odds of being right about a given...
An assumption is the root of all screw-ups. If you build a trading system on that assumption, you will get your head (and wallet) handed to you at...
You don't need to be an implied volatility genius, with a Ph.D. in math to trade in volatility. Being a volatility Forest Gump will suffice i.e....
The way Taleb prepared for a possible Black Swan was (is?) to take low risk, and the same time take large risk. In other words, he bought T-Bills...
Shifting is just curve fitting the MA to the price. Like all indicators, it is still backward looking and has no direct predictive quality. The...
Generally speaking, RAID is not a substitue for doing regular backups. However, unless you keep the backups some other place than at home, a...
Here is an answer to the original question. It is an algorithm to compute IV, using the Method of Bisections. Developed by Bernt Odegaard....
Volatility = stddev(ln of return relative)*sqrt(365) or sqrt(252) if you prefer trading days over calendar days. Also, your standard dev. is...
Generally, the closer to expiration you get, the more pronounced the smile becomes. This is some German Bund data I believe.
If you know a bit of computer programming, the following link has some good algorithms. http://finance.bi.no/~bernt/gcc_prog/recipes/index.html
The problem is that so many people make claims, performance or otherwise, without providing any objective scientific evidence. No independently...
That is the risk in outright speculation with options. The leverage can work for you or against you. Try trading only options that have enough...
I'm just curious that if, in your opinion, more sophisticated strategies like statistical arbitrage, provides superior returns to a buy and hold...
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