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Howard,
Enjoyed reading your book Quantitative Trading Systems; quite useful.
How do I calculate Historical Volatility? How far back would I have to look, if I am trading an expiry of 30 days?
Coding a Black-Scholes model in to Amibroker could give a good intuitive feel for how the Option price and the Greeks react to the underlying and time decay.
rr
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> 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@xxx> wrote:
>
> >
> >
> > There is a Probability Calculator in the Library...
> >
> >
> >
> > ----- Original Message -----
> > *From:* rr879rr <rr879rr@xxx>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> > *Sent:* Tuesday, January 19, 2010 3:07 AM
> > *Subject:* [amibroker] Re: Options Pricing and Probability.
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "louies88" <Louies88@> 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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