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Under the Black-Scholes framework, you can calculate the implied volatility, given the option's price, underlying's price, time to maturity and the risk free rate. To calculate the implied volatility you have to use a root finding method, since there is not a closed form of the inverse of the B-S option pricing equation for volatility. In the real world ...


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The issue is what exchanges recognize as acceptable complex option orders. This is governed by FINRA margin rules like rule 4210 Brokers can only execute orders that are recognized by options exchanges. So what brokers can put on a single order ticket is limited. The most complex spreads defined by FINRA rules would be butterfly spreads, box spreads and ...


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Multi-Leg options are just combinations of vanilla options. So you can combine two 4-leg spreads to an 8-leg spread and so on. I think they offer at most 4 legs because it is the most bought option. I dont see a reasonable trading strategy involving 5 or more legs.


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There is no such thing as "free" option data. This is free -->http://www.nasdaq.com/symbol/aapl/option-chain You could crawl that. But to get the actual ticks or intraday data, you will unfortunately have to pay. I strongly suggest you find a college business program that has option data ticks and reach out to them. Best of luck, JL


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There is no skew/smile for forward contracts, but there is for options based on it (caps, floors, swaptions, options on futures). Then it would be the simple Black Formula that should be used in theory (using futures price). The mere existence of the smile is an indicator that the model is fundamentally flawed and it is important to apply a correction.


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I do not know any free sources. One of the cheapest commercial is http://eoddata.com/products/default.aspx


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You used the Bloomberg tag so I will assume that you have access to a Bloomberg terminal. Let's say your ISIN is FR0011671296. In the terminal, you can type: ID <Go> then type the ISIN and the security's page will open. You can then type DES <Go> to see the details. If you are in Excel, you can use the API. For example to get the underlying ...


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The condition $$ud=1\text{, or equivalently }u=1/d$$ is necessary to ensure convergence of the Binomial tree's mean $\mu$ and standard deviation $\sigma$ to nonfinite values when $n$ (number of steps) goes to infinity. Cox-Rubinstein-Ross showed in their famous paper, that to achieve this, we must have: $$u=e^{\sigma\sqrt{t/n}}\text{, ...


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All complex multi leg options strategies involve being both long and short options. In other words to enter into a multileg position one is both buys options and sells other options. Therefore it is confusing to think of spreads (2 legs), butterflies (3 legs) and condors(4 legs) as buying them or selling them. Step back and reason what you want to ...


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Your method does make sense to me, I do the same. The historical simulation is known to be a full evaluation approach: you simulate changes in market conditions by applying the same changes happened in the past to your risk factors, then you compute your portfolio value under the new market conditions. Since Value at Risk (VaR) is the maximum loss with a ...



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