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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 12/13/13 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 7:56 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.)
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