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Started By
Message
Options data analysis -- need help
Posted on 12/12/13 at 9:13 pm
Posted on 12/12/13 at 9:13 pm
I have historical EOD data for 48 options contracts specific to a single commodities market -- exchange-traded.
So I have the following variables by trade date:
-Instrument type (put/call)
-first and final (expiry) trade date
-Premium price
-Strike price
-Underlying's price, volume, OI (on futures mkt)
-Total volume traded
-Open interest
-Greeks (delta, gamma, theta etc)
-Implied Volatility
-Historical Volatility of underlying
(I calc'd IV using black sholes to derive the theoretical price and wrote a goal seek macro to back out IV values.
So given the above data: what do I do with it? In terms of analysis, that is. What's the best way to determine when there was a mispricing by the market of either the underlying (itself) or options contract (premium) with the data I have?
What trends should I be looking for?
I'm a bit unclear on how to analyse the relationship between historical EOD data for options and the underlying (futures contracts), any suggestions or input?
I'm giving a presentation to the global head of energy commodity X (don't want to name the specific commodity or trading shop to ensure my identity remains anonymous, if you know either of the two I'd appreciate it if you would refrain from posting it -- what desk i work on and the shop i work at) and need to finish the analysis tonight (likely will pull an all-nighter) so any help or insight would be greatly appreciated.
So I have the following variables by trade date:
-Instrument type (put/call)
-first and final (expiry) trade date
-Premium price
-Strike price
-Underlying's price, volume, OI (on futures mkt)
-Total volume traded
-Open interest
-Greeks (delta, gamma, theta etc)
-Implied Volatility
-Historical Volatility of underlying
(I calc'd IV using black sholes to derive the theoretical price and wrote a goal seek macro to back out IV values.
So given the above data: what do I do with it? In terms of analysis, that is. What's the best way to determine when there was a mispricing by the market of either the underlying (itself) or options contract (premium) with the data I have?
What trends should I be looking for?
I'm a bit unclear on how to analyse the relationship between historical EOD data for options and the underlying (futures contracts), any suggestions or input?
I'm giving a presentation to the global head of energy commodity X (don't want to name the specific commodity or trading shop to ensure my identity remains anonymous, if you know either of the two I'd appreciate it if you would refrain from posting it -- what desk i work on and the shop i work at) and need to finish the analysis tonight (likely will pull an all-nighter) so any help or insight would be greatly appreciated.
This post was edited on 12/12/13 at 9:42 pm
Posted on 12/12/13 at 9:18 pm to Tigahs
Should have started sooner. SMH.
Are you sure you chose the right profession?
Are you sure you chose the right profession?
Posted on 12/12/13 at 9:28 pm to Tigahs
Posted on 12/12/13 at 9:29 pm to lynxcat
Mispricing by the market?
Only way on an option I know of is if it's in the money, and the intrinsic value is higher then the market price.
Only way on an option I know of is if it's in the money, and the intrinsic value is higher then the market price.
Posted on 12/12/13 at 9:36 pm to lynxcat
quote:
Should have started sooner. SMH.
Eh, I'll be fine
quote:
Are you sure you chose the right profession?
for now, but gimme another six months and we'll see...
other than what Ive learned in the six months after I took started the job as market analyst on an energy commodities trading desk, I have ZERO knowledge of trading/ finance. I have undergrad degrees in sociology and political science and a masters in public policy. So what I learn is either on the job or during my free time
This post was edited on 12/12/13 at 9:39 pm
Posted on 12/13/13 at 12:52 am to Tigahs
Come on LSURussian, help a brutha out
or foshizzle, and Jersey Tiger, whatever ur username is these days
or foshizzle, and Jersey Tiger, whatever ur username is these days
Posted on 12/13/13 at 10:05 am to Tigahs
volatility surface, sticky strikes and options skews vs forward curve of futures is where you should begin...
heston model (or other stochastic volatility models) w/ matlab is better direction to go...
quote:
using black sholes
quote:
goal seek macro
heston model (or other stochastic volatility models) w/ matlab is better direction to go...
Posted on 12/13/13 at 7:24 pm to Tigahs
Sorry, but I never worked with options professionally. My experience was mostly in mortgage-backed bonds. I studied option theory (incl. Black-Scholes and binary models) but it was a long time ago and your firm probably has a better idea than I do.
Posted on 12/13/13 at 7:56 pm to Tigahs
You could see if short straddles generate statistically significant profits, if so that would suggest market is overpricing risk ( path peso problem.)
Posted on 12/13/13 at 9:40 pm to William Stephenson
Solid advice, started looking at volatility surface against the underlying forward curve (though will probably use the in-house futures forecast I developed for this particular exotic commodity. Thought of incorporating the black-shole volatility calc fixes but the quants said it wasn't necessary given the lack of market depth, small market size (regional) and illiquidity of the options contract for this particular commodity
Posted on 12/13/13 at 9:43 pm to GeneralLee
quote:
You could see if short straddles generate statistically significant profits, if so that would suggest market is overpricing risk ( path peso problem.)
Good idea and will probably test the inverse too (long straddles, underpricing risk))
This post was edited on 12/13/13 at 9:44 pm
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