----- Original Message -----From: bpstocks00Sent: Tuesday, June 29, 2010 8:31 AMSubject: [ConservativeOptionStrategies] OHLC Data on Options? Does anyone know where I can get end of day data showing OHLC for index options?
Thanks in advance.
OptionsXPress has it, as long as you have an account (even if unfunded).
Does anyone know where I can get end of day data showing OHLC for index options?
----- Original Message -----From: bpstocks00Sent: June 29, 2010 9:31 AMSubject: [ConservativeOptionStrategies] OHLC Data on Options? Does anyone know where I can get end of day data showing OHLC for index options?
Thanks in advance.
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Does anyone know where I can get end of day data showing OHLC for index options?
Thanks in advance.
Hello Everyone,
My name is Demond Johnson. I am 37 years old and I am form Phoenix Az. I want to say thanks for adding me to the group, and look forward to trading ideas investing. I did a covered call on Sprint last month. Here is the trade break down.
On May 27th, 2010, I purchased 100 shares of Sprint for 527.95 (Comm. included), I then sold a 5 dollar June Call for 23.03. This reduced my original cost basis down to 504.92 dollars. (The Math: 527.95-23.03=504.92)
On June 18th, 2010, Sprint (S) was below 5 dollars. The value of 5 dollar June call was now 1 dollar. I closed the position for 4.48 (1+ 7.48 comm.)and got 14.54 after commission. This equaled an uncalled return of 2.8% for the month (The math(14.54/504.92=.028).
Because the July calls did not yield atleat 2%, I sold the 5 dollar Jan 2011 Calls for 73.51 after commission. My cost basis has now been reduced from 504.92 down to 439.49(The math:(504.92+8.48-73.51= 439.49).
Anyway, Thanks for your time and I look forward to seeing the learning what other members of the group are doing. Have a great Day.
Sincerely,
D. Johnson
No problem J -
From: Dennis <dennis.lastor@gmail.com >
Subject: RE: [TheOptionClub.com] Setting up analytics : technology choices
To: OptionClub@yahoogroups.com
Date: Sunday, June 27, 2010, 7:46 AM
Jay –
I've done something like this in the past to gather some rather interesting data on expiration day pinning, as well as monitoring the IV and greeks at 15 minutes intervals throughout the day.
What I did was pull the option chain from yahoo every 15 minutes, compute the IV and greeks and store this information in a database along with a date-time stamp.
I used "Numerical Recipes" C-library for computing the greeks and IV, then MySQL (free) data base for storage, and perl as a wrapper. Then I just wrote a cron job to kick this off every 15minutes of trading hours.My code isn't all that pretty, but if you're interested, I don't mind sharing.
If you're into more 'heavy' statistical analysis, 3D volatility surfaces, term-structures, time-series correlations, etc…check out "R" it's a free Matlab-ish package that has an options plug in as well as many other financial add-ins (portfolio theory stuffs, etc..) I recently learned it also has a plug in for Interactive Brokers to pull real-time data, perform high speed statistical operations, and initiate trades based on the outcome of the data. There are a few retail traders messing around with this from what I understand – but I think it's mostly academic.
Quantlib – is another great, free package that is the back-end for many high frequency trading firms. It's also free and there is allot of support for it in the open source community. Solomon Brothers uses it extensively, as do many others. I've used it for American and European option pricing and greeks – but that's really just a small portion of it's underlying power. An excel version (believe it or not) was release not that long ago as well…
All good stuff –
QuantNet: http://www.quantnet .com/QuantLib: http://quantlib. org/index. shtml
From: OptionClub@yahoogro ups.com [mailto:OptionClub@ yahoogroups. com] On Behalf Of Jay
To: OptionClub@yahoogro ups.com
Sent: Saturday, June 26, 2010 4:49 AM
Subject: [TheOptionClub. com] Setting up analytics : technology choices
Hi,
I am in the process of setting up my own little analytics database for generating some technical indicators as well as for options Greek. I wrote the initial technical analysis part in Perl which I found was too slow when more than one day needs to be processed. So re-wrote it into Octave (clone of Mat lab) which was faster but querying the result from Octave native files was a pain. So yet again decided to use a database system to keep the data and chose kdb (trail version for now). However Octave does not seem to have any interface to kdb, once again I had to go back to Perl and write it for kdb - which is now fast enough.
As you may realize Perl is not really handy for modeling ( while Octave is ), so although I am done for now I am realizing this is not perfect for future expansion considering that I have not yet started with the Options pieces. I was considering the "q" language which works with kdb as a script which seem to be quite different from any other scripting languages I have used in the past and not as much readable. I am sure a few of you out there have tacked similar problem as me with the wide choice of languages out there. Any suggestions which one of these (or something not mentioned here) couldbe a winner long term?
Tx
Most of the people who follow this forum wouldn't have the foggiest
idea how to convert such data into making money. IV and Greeks at 15
minute intervals??? Do you daytrade options? Do dynamic hedging?
On Mon, 28 Jun 2010 06:12:57 -0700 (PDT), Jay <jfrayit@yahoo.com>
wrote:
>Hi Dennis,
>
>Thanks a lot for the advice. R seem to be much better indeed interfacing with exteral data sources. It also seem to have a module for quantlib recently. I need to start learning. I want to start with the Greeks and perhaps move to surfaces and stochastic models down the road - so need to choose the right technology for longer term. "R" has better graphical library as well it seems (Octave is not bad but nowhere close to Matlab). Thanks again for your suggestion, I really appreciate it.
>
>Tx
>J
>
>--- On Sun, 6/27/10, Dennis <dennis.lastor@gmail.com> wrote:
>
>
>From: Dennis <dennis.lastor@gmail.com>
>Subject: RE: [TheOptionClub.com] Setting up analytics : technology choices
>To: OptionClub@yahoogroups.com
>Date: Sunday, June 27, 2010, 7:46 AM
>
>
>
>
>
>
>
>
>Jay –
>I've done something like this in the past to gather some rather interesting data on expiration day pinning, as well as monitoring the IV and greeks at 15 minutes intervals throughout the day.
>What I did was pull the option chain from yahoo every 15 minutes, compute the IV and greeks and store this information in a database along with a date-time stamp.
>
>I used "Numerical Recipes" C-library for computing the greeks and IV, then MySQL (free) data base for storage, and perl as a wrapper. Then I just wrote a cron job to kick this off every 15minutes of trading hours.
>My code isn't all that pretty, but if you're interested, I don't mind sharing.
>
>If you're into more 'heavy' statistical analysis, 3D volatility surfaces, term-structures, time-series correlations, etc…check out "R" it's a free Matlab-ish package that has an options plug in as well as many other financial add-ins (portfolio theory stuffs, etc..) I recently learned it also has a plug in for Interactive Brokers to pull real-time data, perform high speed statistical operations, and initiate trades based on the outcome of the data. There are a few retail traders messing around with this from what I understand – but I think it's mostly academic.
>
>Quantlib – is another great, free package that is the back-end for many high frequency trading firms. It's also free and there is allot of support for it in the open source community. Solomon Brothers uses it extensively, as do many others. I've used it for American and European option pricing and greeks – but that's really just a small portion of it's underlying power. An excel version (believe it or not) was release not that long ago as well…
>
>All good stuff –
>
>QuantNet: http://www.quantnet .com/
>QuantLib: http://quantlib. org/index. shtml
>"R" = http://addictedtor. free.fr/graphiqu es/
>
>
>
>
>
>From: OptionClub@yahoogro ups.com [mailto:OptionClub@ yahoogroups. com] On Behalf Of Jay
>Sent: Saturday, June 26, 2010 4:49 AM
>To: OptionClub@yahoogro ups.com
>Subject: [TheOptionClub. com] Setting up analytics : technology choices
>
>
>
>
>
>
>
>
>
>
>Hi,
>
>I am in the process of setting up my own little analytics database for generating some technical indicators as well as for options Greek. I wrote the initial technical analysis part in Perl which I found was too slow when more than one day needs to be processed. So re-wrote it into Octave (clone of Mat lab) which was faster but querying the result from Octave native files was a pain. So yet again decided to use a database system to keep the data and chose kdb (trail version for now). However Octave does not seem to have any interface to kdb, once again I had to go back to Perl and write it for kdb - which is now fast enough.
>As you may realize Perl is not really handy for modeling ( while Octave is ), so although I am done for now I am realizing this is not perfect for future expansion considering that I have not yet started with the Options pieces. I was considering the "q" language which works with kdb as a script which seem to be quite different from any other scripting languages I have used in the past and not as much readable. I am sure a few of you out there have tacked similar problem as me with the wide choice of languages out there. Any suggestions which one of these (or something not mentioned here) could
>
>be a winner long term?
>
>
>
>Tx
>
>
>
>
>
>
>
>
>
>
>
