You're referring to final settlement @ expiration. Im referring to the daily settlement calculation used by the exchange which is VWAP weighed...
In developing various volatility trading strategies, I have been using settlement prices for VX futures which are derived during the last 30s of...
Can you elaborate? I know it can get pretty up there in complexity esp since banks are typically holding baskets of single names, but for my...
Trying to wrap my mind around a simple concept. Dispo trading is a strategy that profits in low / zero corr environments, obv. Short index vol,...
That was my initial thought process too. But I can't help but feel they get a little more granular than summative 'end of minute' data. CME...
What? VWAP is settlement. It's the primary method used by the changes to calculate settlement for the instruments I track. Problem is the data...
VWAP is just a calculation. I dont know how you chartists choose to use it (nor do I want to, as thats not the point of this thread), but I'm...
I know its calculated during the settlement period (14:28-14:30 EST), but how? Are they polling every single transaction that occurs btwn 2:28:00...
ive checked the online resources, they don't help. hopefully someone who knows can chime in
Bump if anyone can answer this - for sigma are we using statvol? Or implied vol for the strike
how do you define the preceding "trend"? larger slope vs x days ago? slope of regression slope? lower lows higher highs? once you figure that out,...
depends on how complex your model is. more complex you might need some light python. if its a simple strategy, you can honestly just test it in...
listening to a podcast and the interviewee mentioned his observation of the backwardation of the 'realized vol term structure' - ive never heard...
wow, what a hassle
ofc not. works comes first, these are largely automated TF strategies that don't require much oversight anymore anyway iima, what's the policy...
so basically the answer is 'it depends', for each of the above variables. surprising to me - thanks for polling
id like to apply to some hft firms later this year and am just wondering, would I still be able to trade my personal account? I've seen various...
if you're trading options as a leveraged play on spot, you deserve your losses - these are not lotto tickets. its even worse when you don't have...
Of course. But nonetheless I'm still having issues calculating a relationship that should exist....
Yes, so fixed moneyness not fixed strike. Is that incorrect?
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