Maybe one reason is due to people buying near the money puts more than OTM puts?
30MB+ (no greeks) in a single zipped CSV file. 8 times more size when unzipped.
IMHO, it is more likely a sticky strike regime as the vol is high. But that will imply even more benefit of selling upside vol with upside skew.
Makes sense. Thanks! I haven't been watching for very long, but sometime I notice TSLA has a slight positive spol/vol correlation during the day...
When TSLA has upside skew, doesn't it also have positive spot/vol correlation like meme stocks? When the stock goes up the short upside calls may...
Thanks for this example. Do you think if direction forecast is the most important factor than vol forecast for this strategy (long shares + short...
A bit late to the discussion but I'd appreciate if @destriero can answer my question: what is the motivation for the short straddle to fly...
Can you post a larger picture? Can't really see the text.
Matt, what is mwVol? Your website defines it as "ATM weighted market width in implied volatility terms" but I'm still not sure what it means.
Thank you for the recommendations. They are great resources but none of these seem to have historical data for already expired contracts, do they?
For common futures such as ES and NQ, I wonder if anyone know if there is free daily historical data source that covers multiple expirations?...
HFT make money and also say that they make the market more efficient. Sounds like a win-win.
No wonder. Instruments like VXX must be very lucrative for Barclays. It depreciates the majority of the time and the redemption value is going to...
Yes, it's the volume of VXU2022 (September expiration).
In the recent month I found that the trend of VXX has deviated significantly from VIX futures. Both the September and October VIX futures have...
How is the fill on the curb session, compared to regular hours?
Thanks for the clarification. Would this also apply to ETFs such as SPY and QQQ? I'd like to explore a bit but want to start small.
I see. Thanks, but how to get floating strike with vanilla options?
Trading exotics?
I can't really trust the greeks calculated by the brokers. The IVs from TDA vs. IB are quite different (screenshots taken just a few seconds...
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