Search results

  1. J

    Skew Shape and How it Affects Options

    marcas and i worked on a script (marcas did the hard part) to plot some graphs to visualize the effect of a 1 point skew on puts, over a range of implied volatility and days to expiration. the script needs a public server to enable interactive use so i just took a few screen shots that should...
  2. J

    Skew Shape and How it Affects Options

    marcas, is that a hint for me to do more work or are you volunteering? :) dte will definitely have an impact. i used 37 dte over 3 iv levels. the iv levels have an impact but on the spreads, less than i imagined. i'd be happy to look at some of your iv work.
  3. J

    Skew Shape and How it Affects Options

    after thinking about this discussion i got curious: what is vol skew actually worth? i ran a few theoretical calculations for some spx out of the money put spreads, 50 points wide, using the same volatility and then using a 1 point skew, all at 3 different vol levels. the results are in the...
  4. J

    Skew Shape and How it Affects Options

    in my mind, this is a much more intuitive approach to understanding skew. the way i learned it is that when skew is high, puts are expensive and put spreads are cheap. i don't think about it as buying or selling volatility, i think of it as buying or selling premium.
  5. J

    Skew Shape and How it Affects Options

    my initial reaction to adding volatilities was based on seeing the slide using negative volatilities (which don't exist) and multiplying volatilities, which you shouldn't do. but after examining it in more detail, i realized all wayne is doing is comparing the skew of the debit spread vs the...
  6. J

    Skew Shape and How it Affects Options

    wayne, i remember from a long time ago when i was writing my options analyzer, i read a paper that said it's mathematically incorrect to add volatilities. for this reason i didn't implement it but i didn't document the correct algorithm, nor the reference i read. i tried searching for it but...
  7. J

    growth vs. value (again)

    i modeled the trade on the 16th. iwn had already popped because of the barrons article so i didn't do it with real money. bad decision. here's the equity graph, so far, based on short 1, long 2 of what ever multiplier you want to use. although there's no red on a closing basis, you did have...
  8. J

    growth vs. value (again)

    this weekend there were several articles in barrons re. the current rotation from growth to value. the reasoning is the upcoming re-opening of the economy due to favorable news on a covid-19 vaccine will prompt more investments in value stocks. some of the analysts they referenced expect this...
  9. J

    RTD for VIX has issues

    i've seen this phenomenon as well. it's usually cured by changing the topic from last to mark or mark to last. i've also seen implied volatility being returned instead of mark or last prices. another solution i found that sometimes works, is to close and reload the spreadsheet - anything that...
  10. J

    RTD not working with older expirations on TOS

    i was using rtd with ondemand. like gary said above, you have to set the ondemand date and time to a date prior to the expiration of the option you're interested in. it will then be accessible using rtd.
  11. J

    RTD not working with older expirations on TOS

    i recently went back to nov 2016 and had no problem seeing valid quotes. it takes a few minutes to fill in all the data on my computer, although, my windows computer is a wimpy notebook and a lot of programs running.
  12. J

    python gui programming

    when you refer to thinkorswim api do you mean the td ameritrade api? when i contacted thinkorswim about an api they told me to contact td ameritrade, but that was a while ago. that's an ambitious goal.
  13. J

    python gui programming

    i'm continuing to tinker with the tkinter gui. this past weekend i discovered how easy it is to get maplotlib graphs into a tkinter canvas. they don't look bad. i'm not saying tkinter is a good gui platform but it's not as bad as it looks from initial impressions.
  14. J

    Implied volatility of option expirations

    my reasoning for this is based on my assumption that the market is setting up for a binary event in november. i'm comparing this with other binary events i'm very familiar with, namely, quarterly earnings. in the weeks, days preceding earnings, the vols in several option series that expire after...
  15. J

    Implied volatility of option expirations

    that link took me to a video on how to safely invest in cryptocurrencies in 2020.
  16. J

    Implied volatility of option expirations

    in a related topic, how do we reconcile the apparent difference between the spx volatility constellations for the future months and the vix term structure. looking at the volatility curves for spx, there doesn't seem to be an unusual volatility bump in november, like there is in the vix term...
  17. J

    Vix prices on TOS

    correct on both counts. you can't trade the vix index (but you can trade vxx and uvxy) and the vix options trade off the /vx futures price. i usually trade vix broken-wing butterflies when the vix gets very low. i had to add the futures price as a special case in my options analysis program to...
  18. J

    tcp sockets in python

    to follow up on my sockets question, my quote server has been running for a few weeks and i haven't run into any issues with sockets or python. i'm not impressed with the performance but i can't indict python yet; there's a lot of variables. i can say it's noticeably slower than my java quote...
  19. J

    Tos is down ?

    thinkorswim did another large update over the weekend and likely messed something up. i had to close a position from my phone. for those that have the tda api, have you implemented trading from it? it would seem that that would still work and would be a good backup solution for thinkorswim's...
  20. J

    python gui programming

    i can get etrade quotes, but not in this application. i may add it later. i have the api in java and can access quotes with a java version of a quote server. etrade provides a sample java and python implementation when you get approved for access. etrade uses oauth1, which is pretty...
Top