Gee this forum is boring when I'm not around ... it needs some disruptive thinking :-)
Seem to recall seeing some code in the AFL library from Anthony Faragasso maybe? but that was light years ago.
It's just well known math ... just get option prices, for the timeframe of your choice, into AB and away u go .... what's the problem?
Some context for u:
- the 'masters of the universe' are working are co-located and working in milliseconds ... u might want to think about on the fly IV/greeks etc like in Apple/Options pro (scroll down for nice piccies)
- prop tools/methods don't make it to the public domain for up to, say 1 yrs cos of the money involved (sssshhh trading secret sauce) so we cant be sure what pricing models those with a license to print money == the inside edge == Market Makers are using. Arbitrage is likely to take care of any options inefficiencies .... birds of a feather flock together (they play poker together too) so the masters know what their 'competitors' are doing ... a lot of Logicos == nerds are lacking in imagination so they tend to be copiests so it is likely that the option pricing modelling space (the latest hot thing) is crowded
PS the good news is these guys are human so they have their psychological foibles .... they are mistaking the good fortune of having the inside edge with superior skill (the quan!) .... Volcker transferred risk from the prop traders to them ... watch this space for their next (temporary) fall from grace :-)
The exchanges just put an 'exchange tax' on it by encouraging co-location so the exchanges are not going to lose anytime soon.
Z
On Thursday, 18 February 2016, 3:01, "'Sean ONeill' oneillseanp@verizon.net [amibroker]" <amibroker@yahoogroups.com> wrote:
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
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Posted by: brian brown <brian.brown963@yahoo.com.au>
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