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 model that has a slight edge doesn’t always mean profits. How do I [...]
I just wanted to share with you the results from my next generation S&P500 Volatility Model. This model seeks to predict, on a weekly basis, the direction of the S&P500’s Historical Volatility. I optimize the model weekly and then make a one week forward prediction on a rolling time series window.
To test how [...]
If you’re a follower of My Del.icio.us links in the sidebar (or a RSS feed reader), you would’ve seen my posting of the “Dispelling the ‘Bin Laden’ Option’s Trade” article. Sure enough, as posted in my first Conspiracy Trade article and discussed in the comment section, this potentially nefarious trade was nothing more than [...]
A client of mine recommended that I read Sheldon Natenberg’s, “Option Volatility & Pricing” book as part of my education into the world of options. I’m nearly half way through the book and I’m really enjoying it. It’s written very well for such a technical topic and easy to understand. I’m [...]
The conspiracy nut jobs are out in force this week and they’re all saying that a “Bin Laden” option’s trade was placed. According one site (they won’t get my link), they claim someone sold 61,730 September SPX Calls at strike 700 because this person or people know that there will be another terror attack [...]
Is that it’s too damn volatile! I’ve been working on the next gen version of a directional volatility model and its been both frustrating and rewarding at the same time. As long as the model is re-optimized on a weekly (or daily) basis, the predictions tend to have a 60-70% accuracy.
The problem is [...]
I haven’t been posting an option trades from my virtual account lately because I haven’t made any. The reason why is because forward test results indicate the model is more lucky than robust. So I’ve developed a second generation model that’s a lot better statistically and uses pattern recognition learners from YALE/Rapidminer (the [...]
