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Dispersion (also called variability, scatter, or spread) is the extent to which a distribution varies (to the left and right) from its central tendency. Sample variance, $\sigma^2$ is the most common measure of dispersion. The square root of variance, $\sqrt{\sigma^2}$, is standard deviation, $\sigma$. In finance, risk is proxied with volatility, which is ...


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Volatility Skew is generally quoted in terms of Risk Reversals. I know that for FX products and because of Delta stickiness, the quoted Risk reversals are regarding 10% and 25% Delta. Edit: To complete my answer, Skew results from a difference in terms of offer and demand for calls/Puts. So the best way to track it's changes over time would be by an ...


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My preferred measure for skew would be the difference between the implied volatilities corresponding to the strikes where the Black-Scholes $d_2 = 0$ and $d_1 = 0$. The reason I prefer this to others you often come across is that when the smile is symmetric the $d_2=0$ implied volatility equals the $d_1 = 0$ implied volatility. Furthermore, the implied ...


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Statmetrics (www.statmetrics.org) is a free Android app for portfolio analytics and supports backtesting for multiple portfolios und calculation of portfolio risk and performance metrics (Sharp Ratio, Maximum Drawdown, Value-at-Risk, Alpha, Beta, etc.).


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I think you may be missing two other important greeks here: vanna and volga Theta is not balanced by gamma only, it is balanced by vega, gamma, vanna, and volga. So, when you ask is there an established way, by which I think you mean is there a way to more or less have a free lunch, the answer is no, not really. You will need to take risks, i.e. leave ...


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If your signals only become available at market close, you obviously can't execute them in that day's trading session. You have a few options - Try to execute your trades out of market hours with a willing broker (probably a bad idea, you almost certainly won't get good prices) Trade in the opening auction the next day. Trade in the next day's continuous ...


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You need an API to interface with a broker (which interfaces to exchanges). You will have your strategy running, using data from the API, and ultimately the part of your code involved in signal generation will send an API request (in the form of, e.g., “buy 100 shares of AAPL”). The IB API is quite popular, I would suggest looking through the ...


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