You can certainly apply Gaussian statistics to market data and come up with a probability, but the assumptions you have to make are dubious at...
If there is a pattern or an indicator that worked 300 years ago, it will work today. This is because markets move as the result of human behavior...
From Bernt Odegaard's site. Finds IV using Method of Bisections #include <cmath> #include "fin_recipes.h" double option price implied...
I think the lesson here is that to get really, really rich, you have to create something of value. Namely, a business. Sure, you can create some...
This is what you are looking for. http://finance.bi.no/~bernt/gcc_prog/recipes/recipes.pdf
So is the smile structure for the VIX so tilted that ITM Puts (OTM Calls) have lower IV than the ATM contract?
Of course that is not an irrational fear. More often than not, making a profit hinges on being right. Being right about direction, being right...
Like any indicator, ADX, +DI/-DI, is just a number. You're interpretation of what that number means is subjective. The market doesn't have to...
I think we all know that supply and demand drive price. The problem is how does one quantify supply and demand? That's why technical analysis...
The markets may not be perfectly random, but as you just described, they are random enough that most trading methodologies aren't going to work.
One reason to get historical prices is to be able to calculate the greeks and impl. volatility. Creating historical implied volatilty surfaces can...
Don't forget about the implied volatility smile (skew) structure. For equities, farther OTM options generally have a higher IV. This difference...
Random markets has everything to do with the idiosyncratic behavior of humans, and also is the cause of why they are not perfectly Gaussian.
All real word financial data have some degree of skew and kurtosis to thier distribution. They do not follow a perfect Gaussian distribution. What...
Yep, haven't seen a Taleb post lately, but what you're saying is all about Black Swans.
I hope you're not suggesting that retail traders start dynamically delta hedging their positions. They will lose so much money to spreads,...
What no one has conceded yet is that the most important factor in an options price is the absolute level of the underlying, and not volatility. In...
I like what IVolatility.com does with their IV Index, that is scale the implied from 1-100. 100 being the highest implied over the past 52 weeks....
More precisely, prices are assumed to be lognormally distributed, and returns are assumed normally distributed. This makes sense when you...
If we are, you won't know until it's already over.
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