-
Recent Posts
Recent Comments
- Vaishak on Tutorials
- Ajmal on Quantmod Package in R
- Tom on LibSVM Learner – Part I
- Hamid on LibSVM Learner – Part I
- irfan on Tutorials
Data Mining
Economy
Quant Finance
R
Trading
Category Archives: Options
S&P500 Option Volatility Scorecard
For the last two predictions the model made, I had one correct and one wrong. Continue reading →
S&P500 Option Volatility Scorecard
The results are in this morning and sure enough the prediction was correct! Continue reading →
S&P500 Option Volatility Report
For the week ending 7/17/09, a historical volatility (HV) predicted close for the S&P500 is 0.2736, UP from last week’s close of 0.2183. Continue reading →
Derivatives and Stimulus Money to Create Another Crisis?
too big to fail is very dangerous because large complex systems have to fight really hard to remain organized in the face of some large negative events. Continue reading →
Goodbye Las Street
Or did I mean Wall Vegas? Now that its after the fact, everyone wants to take the Las Vegas out of Wall Street and return to a kinder and more advisory role for clients. But to do so, you’ll have … Continue reading →
VIX Buy/Sell Signals For Option Traders
Ah, the almighty ^VIX, everyone’s favorite indicator and the one index that a lot of option traders watch with bated breath. What if I were to tell you that you can use Stock Neuromaster to generate BUY/SELL signals for the … Continue reading →
Posted in Neural Nets, Options, Products
|
Tagged Neural Nets, Options, VIX, Volatility
|
9 Comments
The End of Black Scholes?
I’ve been thinking a lot about options this year and focusing my Internet searching on that topic a bit more than usual. I recently stumbled across a paper co-authored by Nassim Taleb, the author of the widely popular books “Black … Continue reading →
Short USDCNY & ISE Options
Well I’m back in the saddle again trading Forex and I’m short the USDCNY pair. This is a beautiful trending pair and I couldn’t resist establishing a small position in it. My plan is to establish this as a longer … Continue reading →
The Year of Options
I’ve decided that this is the year I focus on understanding the option markets. I’m interested in not only Stock options but Forex ones as well and to prepare my mind for this crazy endeavor, I started re-reading Natenberg’s book, … Continue reading →
QQQQ Volatility – Just The Beginning?
Volatility begets more volatiliy and it looks like every time the annualized volatility number crosses the 13 DMA of volatility, the QQQQ prices become very volatile. Right now the Q’s are in a relatively low state of volatility but we … Continue reading →
Option Trader In The Making
My daughter E is enamored with this book probably because she sees Daddy reading it. She likes to flip open random pages and pretend to read along. She even likes the charts and makes up a story that only a … Continue reading →
Random Thoughts
Now that my next generation option volatility model has a 60 to 70% accuracy in predicting the direction of volatility, what the heck do I do with it? I spent the last few days thinking about this because a trading … Continue reading →