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Greetings all --
Historical data for options is both difficult to obtain and generally
not useful.
Only the most active options trade regularly enough to give accurate
and useful OHLCV data on their own. And options expire, which means
that the active contract has a useful history of about one month.
But you can do system design based on the underlying, then use an options price calculator, such as Black-Scholes, to estimate the price of an option of your choice at the time of the transaction.
Options pricing depends on several major factors -- Price of the underlying, Strike Price of the option, Time to expiration, and Implied volatility. And on some minor factors (which can often be ignored) -- Risk-free interest rate, Dividend payment schedule.
The first three of the four major factors are easy to determine. You can either use recent historical volatility to estimate implied volatility, or use one of the volatility indexes, such as VIX, as a surrogate for implied volatility and calibrate the relationship for the specific issue you will be trading.
Thanks,
Howard
On Tue, Jan 19, 2010 at 5:24 AM, Anthony Faragasso <ajf1111@xxxxxxxx> wrote:
There is a Probability Calculator in the
Library...
----- Original Message -----
Sent: Tuesday, January 19, 2010 3:07
AM
Subject: [amibroker] Re: Options Pricing
and Probability.
--- In amibroker@xxxxxxxxxxxxxxx,
"louies88" <Louies88@xxx> wrote:
>
>
>
>
--- In amibroker@xxxxxxxxxxxxxxx,
"rr879rr" <rr879rr@> wrote:
> >
> > Has anyone tried
to do a Monte Carlo on the Probability value of the Underlying Stock at Option
expiration (using Amibroker, of course)?
> > Also, has any work being
done in the area of Option Pricing and trading Options using Evolutionary
Algorithms supported by Amibroker(CMAE or Particle-Swarm)?
> >
> > Maybe a little discussion on the above would be
interesting.
> >
> > rr
> >
> Hello
RR
>
> I didn't know that you can trade/analyze options in
Amibroker. How did you do that? Is there a link that I can find out
more?
>
>
> thanks
>
Amibroker provides you a
programming language and the charting ability. So you can do any kind of
analysis using Amibroker. If you study the underlying math that relates to
Options, you can program Amibroker to analyze Options.
I would like to
discuss here the experience that Amibroker users have had developing/coding
Option-related tools and techniques.
rr
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