chemfire

Sorry I just make it public: https://docs.google.com/spreadsheet/ccc?key=0AsGWpfpq9bW8dDgzVnEzU3NRSWZiSW9qaVhuSE5EWVE

I know there are already excel files around that we can fetch data from yahoo finance and also historical data. But since I am using mac, so some excel macro and addin are not possible. Then I found google spreadsheet does a great job in fetching financial data (also free and cross-platform). Here is the link to my google spreadsheet file: https://docs.google.com/spreadsheet/ccc?key=0AsGWpfpq9bW8dDgzVnEzU3NRSWZiSW9qaVhuSE5EWVE You can have quotes from yahoo finance and google finance. You can also get historical data from google finance which is handy to calculate historical volatility. And then a tracking sheet for SO trades.

Are you considering SPXPM? It's SP500 index options. PM settled Electronic exchange. http://www.cboe.com/micro/spxpm/default.aspx RUT moves wilder than SPX. So I am thinking maybe this one maybe better for IC trade?

Is it due to broad market low vix that makes this strat not working well this week?

I'd like to help but I am away from computer next week Thursday and Friday. Maybe I can test in the later weeks. I actually have tested long butterfly on AAPL for real.. I buy to open 1 call butterfly 620/630/640 on Thursday around 9:50am for a debit of $2.4 . For the whole Thursday the spread is around 2.1-2.5 Today AAPL has big rally, so down my position. I waited till afternoon, it's still way under the water. I got out for 44% loss. It's unlucky for AAPL trade because it's got a upgrade today. But If I did AMZN it should be just fine. I can enter at about 2.5 on Thursday, and exit at about 3.5 today

Thanks Richard and Kim, those information are helpful

Hello everyone, I have some general newbie questions but might be also interesting to senior traders 1. Besides earnings plays, we also long IC to capture dropping IV and time decay; long calendar spread to be benefited from accelerating time decay and rising IV. Seems like volatility is the key element of our decision to go long IC or calendar. Is there a certain criteria to look for? (like how much VIX). I know Kim normally do 25 delta IC, and look for reasonable credit. But how to decide the entry for calendar spread? 2. I'd like to quantitatively calculate whole portfolio delta, since when I have lots of trades with different sizes, it's hard to see whether I am delta positive or negative. At first, I simply add up size* delta for each trade, for example, if I have following two trades in my portfolio contract underlying price size delta size*delta CREE straddle 25 4 0.0752 0.3008 RUT IC 788 1 -0.045 -0.045 then total delta is 0.2558, so I am now delta "positive". The assumption here is that both CREE and RUT will move same dollars in the same direction. But when CREE move $1, RUT would most likely move more than that, since it has much larger price. If we assume both stocks move 1% in the same direction then: contract underlying price size delta size*delta*price/100 CREE straddle 25 4 0.0752 0.0752 RUT IC 788 1 -0.045 -0.3546 in this case, total "delta" is -0.2794, so delta negative. I feel that 2nd scenario makes more sense to me to gauge our portfolio delta, though both assumptions have flaws. I'd like to hear advices from you.. Thanks