Northern boy

Forex Historical Data has tons (going back to 1980) of free intraday forex data in CSV format that can be uploaded to a spreadsheet (at least I assume it can).

thanks. any for commodities or specific stocks?

thanks, more sources welcomed.

Does anyone know where to get Intra-day data for Excel? Preferably free, but if not that's fine too. Looking ideally for forex data, but commodities and equities will do. Website I used to use isn't working anymore. Thanks

http://www.cfosfx.com check these guys out, I'm not sure how reliable they are, says they are an NFA member. this is the only one I've come across through google.

I've noticed these options are very hard to find for a retail trader, and I think this is deliberate to deprive you of several opportunities. I can't think of another reason why options on forex would be so difficult to find on the retail level. If you ever do find a provider, let me know.

How do you calculate standard deviation of realized volatility from Mean (IV)? Is it normally distributed? Terrible in math, need help desperately. Thanks.

I don't think this is a call that should be made with TA. You need to figure out how much more damage is left to be unveiled in Europe imo.

...Until I found out about volatility swaps. lol. I KNEW there was an easier way! Their construct and pay off is simple. You arrange a notional amount, a strike (V%), and the pay-out at maturity is: 'notional' * (realized volatility - strike) there's no premiums involved. They just trade your book. Google: "Salomon Smith Barney Exotic Equity Derivatives Manual" to read further about the products. There's: 'Realized', 'Implied', and 'Capped' volatility swaps. If looking to hedge vega, Implied is what you want. Ta-da! :crap: This drops the standard dev on my strategy at least 5% ps: Nate, clear your inbox. I can't send you any messages. :p

lol high powered brain, I can't do math for my life. I'm not saying I'm gonna do it (delta hedge), besides I'm pretty strapped for free "investing cash" since my directional bets from last year went to shit . If I knew then, what I know now... Anyway. I'm not studying options to try and game from them, I was reading about em because I'm trying to piece a strategy together that exploits noise differences in correlating assets. But it has a hole in which I thought options could fill. Maybe I'll ask your help with it later,... The problems you mentioned with delta hedging, regarding contract sizing.... those are only really problems in the futures market are they not? If you're delta hedging an option in forex or stock there's no problem. As for the problem of commissions... play it on a larger time frame... commission is insignificant then. Playing roulette with vega... I dunno... but in theory it's a 50/50 risk/reward to the blind isn't it? It can benefit you as much as it can hurt you. And can't you hedge it with the VIX? ps: Isn't Stock Talk full of spam now? UGh... I wish I was betting directional now.... not then... market bottom? i want money for high beta stocks :2c:

suppose you sell the option 10% OTM to avoid the biggest delta changes, making your hedging job easier. Sure neutralizing delta is a job... but for the slight inaccuracies you make... won't the collection of Theta be predominant? I don't know everything about options pricing, but theta seems to me to be a one way street without any trade-offs. Why can't you just isolate it? I'm sure the sell-side on Wallstreet runs delta hedging programs for every option they sell, unless they're making a directional bet. So why can't the average Joe?

Anyway, I agree with DarthTrader. There's no sense being on the buy-side of options because of -theta. (Unless you know something, or found a system that averages a good return after -theta)

I was just wondering why you can't sell an option, delta hedge it, and collect theta(premium).

but you don't know what I'm doing. I'm not just shorting volatility on its own... I was looking for an option as a hedge for a strategy I want to improve. What's wrong with using options (particularly a butterfly) to bet against price finishing where it started? I think my sharpe ratio is better off with it than without. You really think that probability is useless? That, with enough data, the stochastic process doesn't break even. The distances for price to travel and the frequencies in which they should occur relative to one another don't matter? On what time frames even? Maybe the larger the time frame, the less efficient. But how much less efficient? The market isn't random, but it's not stupid either. I'm not leaving behind that logic unless you prove me wrong. I'm not driving myself crazy trying to debunk my common sense either for something that would be a pain in the ass to prove lol.

well you could go long a straddle every day, but it would cost you a lot of commission to reset that option position every day to protect you from something that will hardly happen.. your software isn't that bad is it?

what the hell are you talking about?

Ok I found it, was a long butterfly call. I was looking for something that went positive on theta exponentially. B-E-A-utiful . thanks for the help .

yeah I think a short strangle near-the-money works... I'm not used to options :doh:. I'm just using the options simulator at http://www.888optionsnet.com and that strategy so far fits best for me. I'm hedging an improbable stochastic... for example the probability that a stock trades between 30 and 32 ten times before it breaks to touch 33 is very low. So I wanted a low risk, low probability, high reward trade to hedge against this. See, a far otm "VIX" put would work too if it actually did index volatility.

more ideas welcome

Thanks for the reply Frank. I don't believe the purpose of the VIX as a 30-day fear gauge is what I need though... I'm beginning to think that writing a strangle deep in-the-money is in fact an option with the odds I'm looking for.

this is actually only relevant to a particular approach and useless in general, so if a moderator could delete this thread that'd be cool

I'm looking for a way to short volatility in a quantifiable manner, (so not just writing strangles or straddles earning fixed premiums). I'm not looking to simply short volatility either, it would need to be in the nature of an option. In essence, I want to profit from an improbable(<5%) decrease in volatility in order to hedge a strategy which is successfully long volatility most of the time(>95%). Buying puts on the VIX would be lovely, but as far as I can tell the VIX is garbage and just negatively correlates the indexes more than anything... it doesn't seem to care much for volatility in price to the upside. My knowledge of options is limited but if you know what I'm looking for go ahead and say it and I'll understand. If it's doable on an intra-day level, even better. If this method isn't common knowledge then I'll just get creative. thanks.

Nevermind, I'm an ass. C and D are irrelevant.... lol I'm going to bed.

here's my probability tree, roll with me. note: P denotes "probability". also, Each event in the tree is independent of each other. Stock(X) trades at 2$. If pay-off A = B, than instinctively P(A)=P(B).... Now, Stock (X) trades at either 3$ or 1$. Pay-off C ≠ D, than instinctively P© ≠ P(D) if the game is fare. But if the market's development in (P)A = (P)B , and the directions are inverse of each other... Than shouldn't the directions that are equally inverse to each other in C and D mean (P)C = (P)D? That would imply that: Pay-off A = B, and (P)A = (P)B but Pay-off C < D, and (P)C = (P)D If this is wrong, please tell me why (P)C > (P)D but if this is right, than WHAT THE HELL ARE WE DOING???????????????????????????? (lastly, I thought one might say that starting point C is > than starting point A. But finishing point A is > than finishing point C. So although trajectories are inverse, the resistance they both meet are equal, and P(A) = P(B) = P© = P(D) )

are you Nate from stocktalk? lol. I'm quite sure this is an issue that isn't new, I'm bringing it up because new as well as experienced traders don't take time to consider this, and it plays a huge factor. I didn't know it had a name.