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7

If you look at tick data, you will probably get an even better analysis. However, vix correlation tends to be negative with spx but remember that this is generally more true for when spx tanks. When spx goes up, the correlation isn't as strong. Why? People panic after a drop, therefore leading to people buying options. They don't care about black scholes ...


5

There was a methodology change in how volume is reported. Now it is using the consolidated tape including trades on all exchanges. See: http://stockcharts.com/articles/dont_ignore_this_chart/2016/12/whats-the-deal-with-that-intraday-volume-on-the-dow-indu.html


4

The VIX is designed to "represent the implied volatility of a hypothetical at-the-money [SPX] option with exactly 30 days to expiration." (via the CBOE) The calculations are available from the CBOE in this white paper. Note that your question is wrong -- it is the implied volatility, not the vega. Moreover, you wouldn't predict a change in vega (which is a ...


4

1 - For historical reasons options expire on Saturdays, before noon. This has to do with potential reconciliation issues that are largely gone nowadays because of back-office automation. Practically, you can think of SPX index options as expiring at index settle, which is 4:00 pm EST on Fridays for PM expiring options, or 9:30 am EST on Fridays for serial ...


4

This site has the company name, symbol, and index weight of all 3 indexes you are asking about. The data is not downloadable, however, simply copying and pasting the data from the page into a spreadsheet works as does scraping the page. SlickCharts.com


4

Calculate the beta of the VIX Dec 18 contract to the SPY. Then apply this equation: $$\ hedge \ ratio = \frac{1000\beta}{SPY_{price} } $$ You then take the hedge ratio round it and that will give you the approximate amount of shares to hedge with. This is a simple solution. There are other ways to calculate the hedge ratio. Just as a note, this will ...


4

I do not think that you were terribly wrong thinking that gold and SPX (or equity market in general) are negatively correlated. The reason behind this is that gold and stocks are in fact negatively correlated in stress periods. Here are some stress periods and the correlations for SPX and gold (and silver): However, if you include normal periods, then the ...


4

If you have an Interactive Brokers account, you can get historical intraday index data, including SPX, through their API. Many developers find using the Interactive Brokers API to be a challenge, especially for collecting large amounts of data. If you want a more turnkey access, you can check out QuantRocket, which provides data collection tools on top of ...


3

Gold's "safe haven" credentials and its correlation to equities are not necessarily quite the same thing. Gold is a safe haven, in the sense that whatever happens in the economy, an ounce will always remain an ounce. It remains gloriously unchanged, whatever else happens around it. Which is why asset allocators often think about it as akin to a perpetual ...


3

You can think of both ( difference and ratio ) indicators as some aggregated measure of difference between flat vol (ATM vol) and "total vol" than includes skew and kurtosis effects.


3

A company's market capitalization does not change because it did not trade. Index calculations are based upon the last traded price of each constituent security. There is no difference to the index level in a stock not trading and it remaining flat for the day (i.e. no change in price since the last close price). Some indices have liquidity limits, so if ...


3

These options are not "issued" in the same way, say, employee stock options are "issued". Instead, the expiration months already exist indefinitely into the future, and in a sense options at all expirations already exist. The data series therefore start showing prints when market interest in a given expiration date starts up. This is of course highly ...


2

I don't know if I understand your question correctly but the procedure how to calculate ATM option prices with publicly available implied volatility indices (like VXO) for the vol parameter can be found in the mentioned paper on pages 5-7: How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)


2

opp_volume is probably option volume (not sure why it would be shortened to opp with extra p), not open interest. Volume is also more likely to be zero than open interest. The rest is like @SRKX wrote.


2

Best bid is the highest price somebody is willing to pay to buy the option. Best off is the lowest price somebody is willing to accept to sell the option. Even if there is no trade, there may very well be limit orders in the order book: there is a potential market but offer and demand are still too far away from each other for trades to happen.


2

When I saw these curves they seemed very strange to me. I believe it is a data-quality issue.I went to Bloomberg and I retrieved the implied vols for 70 near ATM strikes of the weekly SPX options expiring November 27 2015 (I believe that is the yellow curve in your diagrams i.e. November 4th week). This was today 2015-oct-27 at about 15:00 New York time. As ...


2

Multiple stock databases hold this data, but none of them are free. If you are in an academic setting, see if your university has a subscription to CRSP. If you want to split it yourself, you can use different cutoff points for P/E. High P/E = growth, low P/E = value.


2

If you're looking for S&P 500 stock prices, yahoo finance is usually a good source. If you're looking for all of them together datasets are available on github. If you're looking to split between value vs growth you can use any general equity research firm to create the split between growth and value, otherwise use a broad definition from a site like ...


2

CRSP will give you returns with dividends and without dividends from SPX which allow you to compute those. If you do not have access you can use the data from this paper: "On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing," Boudoukh, Michaely, Richardson, Journal of Finance, 2007. The data is freely available here: http://...


2

Have found that using Alpha =0.06, Beta =0.93, omega =0.01 works fairly well. That is from calibrating to histories over quite long time periods.


2

@lcrmorin, what they're describing in the github repo you linked to has to do with creating continuous time series from underlying futures contracts, it's not a 'trick' per se. This is also called spread-adjusting or dealing with futures roll spread. There are several ways to deal with it, back-adjusting probably being the most common but can result in a ...


1

With so many indexes out there it is quite confusing to find what you want! For Russell 1000 you have RUITR and RUINR. For Russell 2000 you have RUTTR and RUTNR. For Russell 3000 you have RUATR and RUANR. Source: http://www.nasdaqtrader.com/content/newsalerts/2010/fpnews/fpnews2010-010.pdf For Nasdaq 100 I found XNDX and XNDXNNR. Source https://indexes....


1

The theta for puts and calls at the same strike should be the same, so it seems the SPX theta is somehow wrong. Edit: thanks @maxim, I see now what the issue is. I think the difference is coming from the fact that the options on the e-mini futures are using the Black formula where the futures price is held constant when calculating the theta. However ...


1

This is a very good question, and I don't mean that in the usual academic platitude sense! Imagine you or I wanted to replicate VOO ourselves. To manage the liquidity of inflows and of potential outflows, we'd need to run a few percent of NAV in cash. Which would mean our stock portfolio would have a beta of slightly less than 1. There "should" then be some ...


1

you need to look at the correct data sources. SPY and VOO both charge management fees. These fees will decrease the value of the fund and they are charged every day. The fees are small enough that you will not see them clearly versus the fluctuation from NAV. Let's do this with VOO: Look on Bloomberg at the ticker "VOONV Index" for the actual Net ...


1

I created a site to collect some useful macro financial indicators and hopeful can continue adding more data in my spare time. Hopefully it can help you: https://datamatrixweb.com/


1

I think this is an error. This is a chart of SPX price and volume I pulled off Bloomberg. The volume does not go up after 12/7/2016 according to this chart.


1

This is a Yahoo data issue - you should contact them regarding their symbols and availability of data. It might just be that the index is not covered by them or they are restricted from providing historical data. Also note that you have referenced ETFs (XLV, XLI, etc.) that trade on NYSE Arca as being sector-based subsets of the S&P 500. These ETFs are ...


1

Your Vega of 188.48 is correct, in the sense that matches my calculation. What it means is that if the volatility increase by 1 (i.e. by 100 percentage points, from 19.14% to 119.14%) the call will increase by 188 dollars. Obviously that is an unrealistic move. More realistically if the volatility increases by 0.01 (i.e. 1 percentage point, from 19.14% to 20....


1

You need to use log of prices, because log of returns are normally distributed. So or where x is return- $$ x=-\frac{1}{\tau} ln(\frac{S_{t+\tau}}{S_{t}}) $$ The annualized standard deviation can be scaled as +/-$ n\frac{\sigma}{\sqrt{\tau}} $ where n is your multiple. You can either ignore or estimate drift. or look at it another way, S refers to the index $...


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