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5

I'm also currently working on analyzing option-implied RNDs. I'm no expert but a couple of comments: In addition to volume, you want to look at the open interest of the different strikes to conclude which prices are reasonable. Humans like round numbers so especially for deep OTM strikes you will see the bulk of open interest located at nice numbers. Deep ...


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 ...


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 ...


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 ...


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

Was the put of that strike also traded? If yes, then maybe somebody entered a box position to lock in the risk-free rate. If no, I don't know...


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Last time I checked, algoseek has that kind of data. Their S&P 500 Trades and Quotes+minute bar data set contains OHLC, FINRA volume and etc. You can find a sample of their dataset here


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I remember there was no "^SPX" ticker on yahoo finance two three years ago (not very sure). So I guess "^GSPC" and "SPX" are the same, they just add "^SPX" to follow the most popular naming convention but still keep "^GSPC" for historical reason.


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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....


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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 ...


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