Can You Compare Intraday Volatility Surfaces?
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- Опубліковано 2 чер 2024
- In today's tutorial we investigate how you can use ThetaData's API to retreive historical options data for end-of-day, and intraday trades and quotes. We will create volatility surfaces use an interpolation method (B-Splines) to compare surfaces between the morning (10am) implied volalitity and afternoon (2pm) implied volatility surfaces.
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Online written tutorial: quantpy.com.au/realworld-opti...
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Every and each of your videos are incredibly useful, expected and certainly the best to enhance my acknowledgment of algorithmic trading and this one, does not escape to this “rule” :) Thanks!
I like how you name your variables such that they have same length. Make the code so easy to read.
Great video. I'm glad I came across your channel.
Clean and understandable code. Impressive API. Congratulations. Real nice work.
Finally back in equity derivatives!
Thanks for sharing with us i have a question if you would like to do some motivation videos also like the path to follow as a beginner . I just started and currently learning finance just to know some basics I’m self though and i guess those videos will help me a lot
A little bit off topic, but any tips on what a trading strategy that incorporates different morning / afternoon vol surface would look like?
Thank you.. liked and subscribed to your channel!
What visualization tool are you using?
How is this helpful for trading?
How vol is helpful for trading? Kkkk
@@fortalbrz How is going through all of this helpful for deciding when to trade when you can just look at the values lol
@@jamals6311 Well... There is a really long road to explain. But just follow assets price levels are not a real good strategy... Kkkk. Just for give you motivation for learning: at very basic level, vol surfaces are essential for book hedging (i.e., greeks) and at little more advanced level are the key to implied probability distributions, that actualy shows market moves expectatives... And this are just examples of applications... There are universe of possible uses...
In this video prototype there is actually a strong intraday trade strategy!!! But you have to understand...
Do you think the amount of work you had to do was ridiculous? I'm looking at that code, wanting to vomit. just use one data store. cache the api data into your one data store. put every var in that data store. all those different syntaxes are awful. and those var and function names. omg what year is this?
The guy made an notebook for demo intraday vol surfaces, and you are talking about var names? Its seens that you maybe missed the point or never worked in a bank/trade floor... Kkkkkkk
@@fortalbrz 1. missed the point OR 2. never worked in a bank... dafuq do they have to do with each other? logic bro
@@nil0bject let me rephrase it: missed the point AND never worked in a bank... Kkk. Whenever you got some real experience you will understand the logic for sure... Kkkk
@@fortalbrz want some rye? course ya do!
@@nil0bject gluten-free diet, sorry! 😉