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Showing results for tags 'arbitrage'.
Found 5 results
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This is a trade strategy in which the trader holds a position in an option and a contrary directional position in the asset itself. It is a delta-neutral strategy which can be used to balance out response of the asset to market movements when implied volatility declines.
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I am designing software which will act as a trading tool for traders, trading on any platform and any instrument (stocks, forex, commodities). Some of the features are listed below. I would like to gauge a sense of its demand before I launch it publicly and any input anyone may have. I am doing an early launch with basic functionality so I can fund the additional enhancement on the system (some listed below) 1) can read data of the screen and compare between two platforms and place trades automatically to capture arbitrage and spread trading opportunities. NO API NEEDED (finished) 2) NO API connection or back end software integration needed to read data of your broker’s platform and then place trade on their system (finished) 3) automates traders movement on the screen to place trades automatically when trader defined basic parameters are met (finished) (advanced algorithm based parameters still in progress awaiting additional funding) 4) ability to setup invisible stops limits, place stops in the tool instead of brokers platform, and when price is met, the software will place trade on the brokers platform (finished) 5) communicate data of your actions (buy/sell signals) to multiple traders (using this platform) simultaneously so they can follow your actions on their platform. (work in progress-awaiting additional funding) 6) if you are a recipient of another traders buy/sell signals, you can automate the action to place trade on your platform as simultaneously as you receive the signal and reduce reaction time. (work in progress-awaiting additional funding) 7) Advanced algorithm in simple language (work in progress-awaiting additional funding) I can post a video of the system in action (comparing rates between two forex brokers and then placing a trade between them to capture arbitrage opportunities). System is ready enough to place trades on arbitrage opportunities (I will post vdo shortly), trader defined stops limits. System will work on any platform and any instruments, including stocks, commodities futures (and capture spreads and arbitrage between them, faster than any human can)
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Hello guys, I tried to find a forum dedicated to financial derivates pricing without success, so Im trying my luck here. My question is only partially related to trading, altough it is dependent on the no arbitrage condition. So... I have two currency call options, let's say CHF/USD and CHF/EUR (meaning I can buy USD and EUR for CHF). Consider that CHF/USD is not exanchange traded but I still want to deduce it's price. Hence, I create a strategy, starting with 100 CHF. I do the following: 1/ get the option premium P1 of a call on CHF/EUR with strike S1 2/ buy 100/P1 calls with strike S1 3/ calc the NPV of holding these options till maturity. The cashflow per one call is (-P1 + max( S[TTM] - S1, 0 )* discountFactor) where discountFactor si the usual exp(-swissRiskFreeRate * TTM) and S[TTM] can be approximated from forward curves. 4/ Sum up the cashflows for all 100/P1 options bought. Hence I have a cashflows from investing 100 CHF into CHF/EUR options. Now, if I want to invest my 100 CHF into CHF/USD calls and do the same calculations with a unknown premium P2 of the CHF/USD, I end up with the cashflow from investing into CHF/USD options. By equating these two cashflows I can get the theoretical premium P2. And the question is whether this approach to getting the premium P2 is valid. I can't find any bug in it but I would like to know the opinions of others. Any input is much appreciated. Daniel
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Currency Arbitrage is relatively rare in the modern trading age, as computer trading has mostly eliminated the ability to simultaneously trade currencies with different brokers at advantageous prices.
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Here is a workspace featuring a TICK chart and an ESINX chart. The indicators are as such: @sk_ESINX. (Index Arbitrage Program Trading Premium Values) This is a simple indicator that will plot the most probable levels where trading programs are bound to generate buy and sell orders. Please see http://www.indexarb.com/index.html for more information. You will need to update new levels daily before the market opens. For Tradestation users other symbols are $SPINX and $ESINX, $NDIQX and $NQIQX, and $RLIUX and $ERSIUX. Other data vendors may use PREM or EPREM. The video of Hubert Senters using $ESINX is below or alternatively find it here: [ame= ]http://www.youtube.com/watch?v=1eVJZnT5oHg[/ame] @Tick Bias. It is important to know the market bias from the first half hour of trading whether it be bearish (average below zero) or bullish (above). I wanted something visual so that it would remind me to go with the trend of the day ie. don't go short when the Tick trend is bullish. Fade the Tick lows if it's bullish. Of course this is a simplification . My dilemma was how to produce an average from the start at 9:30 am ET. So I wrote code to calculate the moving average of the TICK as each bar unfolded (ie. incremental......average of 2 bar closes on second bar, average of 3 bar closes on third bar until a suitable moving average could kick in (say, a moving average of 50 on the 50th bar)). Blue (bullish), Pink (bearish), Gray (neutral). *******The last high and low in the format dialogue must be a wide histogram********* @Tick Alert Lines. Simple enough. Obvious levels of Tick extremes. Alerts as well. @sk_Value Chart show me. Plots Value Chart extremes on Tick chart. Signals a possible reversal. Play with the levels to suit. N.B. These indicators are as is with no time spent being fussy with code. You are welcome to modify them. If you have an improvement in code or other ideas feel free to post. You may need the XVid codec to watch the video. ****** For Tradestation users it would be best to install the .ELD first then open up the workspace in the zip file. I'm not sure if it will open up the way the image portrays but just make sure if you insert indicators that you insert @Tick Bias last as the background painting will cover the others otherwise! ****** TICK BIAS AND ESINX.ELD TICK BIAS AND ESINX.txt TICK BIAS and ESINX workspace.zip Hubert-Program Trading3.avi
