Yellow',
Was wondering if any AFL is out there to calculate option Greeks, if so I would like to personally check how accurate it is. Just thought I would do the following…
Since the implied volatilities can't be trusted, and don't represent the range it can have during trading (moving target), not to mention sometimes there are outrageous figures which probably account for the fact the source is calculating the implied between different snapshots of underlying and option, i.e., realtime quote of GE and delayed GE option quote, or old trade on option etc.
So I was curious if I had 1 minute data chart on the underlying, as well as 1 minute on the option. I could then take the mid point of both bars each minute and calculate all the Greeks and have them in a sub plots etc.
Just an idea.
-S
Posted by: "Sean ONeill" <ONeillSeanP@verizon.net>
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