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I am trading Options on Futures contracts at Man Financial.
I am also exploring to trade Options on E-Mini Russell 2000 Futures electronic contracts
at TradeStation Securities.
Problem is that Implied Volatility (IVolatility, see bellow) is not working for Futures
contracts. It works only for stocks. So I cannot compute the synthetic prices of Call and
Put options and backtest my option selling strategies.
Question: Do you know why it is not working and when it will be fixed?
DC
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>From TradeStation 8.1 User Guide:
IVolatility (Reserved Word)
Returns the daily average weighted Implied Volatility of the options for an underlying
stock, index, or future. Allows historical data (bars back) references.
Example:
Value1 = IVolatility;
or
Value2 = IVolatility[2] // of two bars ago
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