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by Bentam64
September 27th, 2014, 10:39 pm
Forum: Trading Forum
Topic: Method to identify ETF Vol Pairs
Replies: 0
Views: 3404

Method to identify ETF Vol Pairs

<t>I've started experimenting with volatility pair trading on etf options. It seems like the core importance lies in identify etfs who's implied vol tends to move together. I know about correlation and co-integration, but I suspect that there is something better out there. What method would you use ...
by Bentam64
June 14th, 2014, 1:07 pm
Forum: Trading Forum
Topic: General Framework for a Quantitative Trading System
Replies: 12
Views: 7431

General Framework for a Quantitative Trading System

<r>AnalyticalVega, Have you taken a look at genetic algorithms? They seem like a reasonable way to optimize your variables(Position sizing, stops, profit exit levels, etc).<URL url="http://en.wikipedia.org/wiki/Glowworm_swarm_optimization"><LINK_TEXT text="http://en.wikipedia.org/wiki/Glowworm_s ......
by Bentam64
February 24th, 2014, 10:40 am
Forum: Off Topic
Topic: How much is enough money?
Replies: 23
Views: 5649

How much is enough money?

We only live once, so what's your target?
by Bentam64
February 4th, 2014, 2:59 am
Forum: The Quantitative Finance Code Library Project
Topic: Matlab Option Greek Functions
Replies: 2
Views: 9517

Matlab Option Greek Functions

<t>Basic Black and Scholes model with non-dividend paying stock and constant volatility. Where %S = Current Spot Price %X = Strike%r = Risk Free Rate (Per Annual)%T = Time (Per Annual)%v = Volatility (Per Annual)Vega -----------------------------------------------------------------------------------...
by Bentam64
December 5th, 2013, 1:17 am
Forum: Technical Forum
Topic: Calculating implied volatility of arbitraged option spreads.
Replies: 4
Views: 6279

Calculating implied volatility of arbitraged option spreads.

<t>Thanks for the replies, that's great information. In light of what Jige has said, I have decided to drop the 'abritraged' data as Alan has suggested.I simply do not have the time to figure out what went wrong for that much data. And as you said Jige, little marginal utility to be gained for my pu...
by Bentam64
December 4th, 2013, 1:38 pm
Forum: Technical Forum
Topic: Calculating implied volatility of arbitraged option spreads.
Replies: 4
Views: 6279

Calculating implied volatility of arbitraged option spreads.

<t>Hi guys, First time posting here. Pleasure to join the forum. I'm in the process of calculating the historical implied volatility of every single option traded over the last ten years using end of day historical prices. Sometimes, I run into situations where an arbitrage has occured, for example ...
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