This is really fascinating stuff. I'm trading an automated strategy I developed, which is in essence short options delta-hedge... it loves...
Great, thanks for the pointer!
Were any of the positions in stocks that require higher margin ratio (or non-marginable at all)..? See IB's list of special margin...
Yea, I've considered a strategy along those lines... sort of the inverse of a delta-hedge? For example, let's say: - I buy a straddle at...
If I recall correctly, buying power is 4x your previous night's excess equity. Is it possible that when you said you had $33k cash, some of...
Right. Arb opportunities are not "sustainable", but options are "persistently" mispriced... Anyways, that aside, you need to get your eyes...
I think I'm a happy guy. The vol surface number seems to be working well. The estimated IV seems to be about 5% less than actual IV, which is...
Ok, I see the hint of maybe a good ending for this thread, and *maybe* a thumbs up for continued use of ivolatility. In a new email, they're...
Amen. Words of wisdom.
I know it's pretty much standard operating procedure on ET to pass off anecdotes as "strategy"... but sorry, not an impressive story unless you...
I guess this is what I should've been using all long: http://www.optionmetrics.com/ivydbus.html You get what you pay for, at the end of the day.
Oh, it's worse than rotten. Why? Because iVolatility actually very publicly discusses their methodology in great detil:...
I personally doubt there's much alpha left in trying to arb the volatility surface. Everyone has pretty much the same option pricing models, and...
Here's ivolatility's answer: "If the calculation of IVx gives a big spread between the call and put IVx then we consider that such values are...
I am inclined to believe that stat arb does exist, but it's incredibly, incredibly rare... and it's certainly nothing as simple as buying or...
Oh sorry, thought you were familiar with that term/number. It's just a calculated number representing "implied volatility" for any particular...
dmo, Just taking a quick look at the functions provided: http://www.hoadley.net/options/develtoolsaddin.htm I don't see anything that...
So, short of paying $2k for buying a few years worth of EOD option prices, and then parsing it all to calculate my own IV numbers... ... does...
Well, that's actually *exactly* why I'm asking... I had started to lean on them pretty heavily on back-testing... downloaded 2 years worth of...
Hi, Just curious if there are any users of iVolatility's IVM numbers. I've just started using them for back-testing, and also some basic...
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