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location London, United Kingdom
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visits member for 3 years, 7 months
seen Nov 1 at 12:27

Computer programmer.


May
23
answered Mass Market Data Source
May
23
answered If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
May
23
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
I'm not sure that this it the whole story. There is a big difference between buying $100 of IBM (which currently has 16% At-The-Money Implied Volatility) or SLV (which currently has 60% At-The-Money Implied Volatility).
May
23
revised Whats the equation to calculate the area under the curve of a normal distribution, given an upper and lower standard deviation?
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May
23
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
How do I calculate the proportion of the total assets under management to commit to the trade? Would I be correct in assuming some relationship with Historical Volatility (HV) or Implied Volatility (IV)?
May
23
answered What data sources are available online?
May
23
revised Looking for a recommendation for a real life volatily trading book.
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May
23
asked Whats the equation to calculate the area under the curve of a normal distribution, given an upper and lower standard deviation?
May
23
asked If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
May
23
comment Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
The whole point of specifying "arbitrage free" is to ensure that the vol surface is somewhat stable (i.e. its not offering obvious arb opportunities). You may not be able to profit from an obvious arb, but the CBOE certainly can, and it does. You want a non parametric vol surface that takes a tradable grid as input? Browse to intermarkit.com, and pay them $7500 for their local volatility surface library. These libraries exist, they are just extremely difficult to get hold of.
May
23
awarded  Critic
May
23
comment What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?
Around $600 per month for Nanex, and thats just for the feed (exchange fees are on top of that). It provides the entire US market in one datafeed, with no symbol limit.
May
22
revised Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
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May
22
asked Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
May
22
comment Recommendation for a library to calculate the local volatility surface?
p.s. Here are the search terms I used: "implied volatility surface", "local volatility surface", "black volatility surface" surface".
May
22
revised Recommendation for a library to calculate the local volatility surface?
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May
22
revised Recommendation for a library to calculate the local volatility surface?
edited tags
May
22
revised Looking for a recommendation for a real life volatily trading book.
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May
22
awarded  Editor
May
22
revised Recommendation for a library to calculate the local volatility surface?
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