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Market replay for Volatility Skew
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Market replay for Volatility Skew

  #1 (permalink)
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Market replay for Volatility Skew

Hello all,

Like most options traders I use Volatility Skew as part of my daily analysis. I keep a running picture in my mind as well as daily end of day screen shots as a way of tracking change.

I've always thought it would be cool if there was a playback feature (like in Multicharts or Ninja for futures) that would allow for a playback of Vol Skew. My desire would be to match Skew against other indicators that I use for a more complete backtest experience. I'm particularly interested in a visual representation using multi expiration charts.

Does anyone know of such a service or system out there today? I use Ivolatility for most of my data and Interactive Brokers for most everything else as well as actually trading. Both present Skew but not in this type of historical playback fashion

Thanks for the help, I'm interested to hear what others have found.

GuppyDRV

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  #2 (permalink)
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  #3 (permalink)
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GuppyDRV View Post
Hello all,

Like most options traders I use Volatility Skew as part of my daily analysis. I keep a running picture in my mind as well as daily end of day screen shots as a way of tracking change.

I've always thought it would be cool if there was a playback feature (like in Multicharts or Ninja for futures) that would allow for a playback of Vol Skew. My desire would be to match Skew against other indicators that I use for a more complete backtest experience. I'm particularly interested in a visual representation using multi expiration charts.

Does anyone know of such a service or system out there today? I use Ivolatility for most of my data and Interactive Brokers for most everything else as well as actually trading. Both present Skew but not in this type of historical playback fashion

Thanks for the help, I'm interested to hear what others have found.

GuppyDRV

Too difficult.
Assuming you already have the data on flat files (but that's TB of data) you could create custom symbols in Ninja and inject them using the External data feed.
The problem will be the amount of symbol, thousands of options/underlying...

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  #4 (permalink)
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I'm only thinking of one symbol at a time. Either SPY or SPX.

I can't believe someone hasn't created this before as a paid service. My interest is solely in being a subscriber. I use end of day screen shots now but would love to be able to play with this more in real time.

GuppyDRV

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  #5 (permalink)
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GuppyDRV View Post
I'm only thinking of one symbol at a time. Either SPY or SPX.

I can't believe someone hasn't created this before as a paid service.

GuppyDRV

Do you need intraday snapshots of the skew? Otherwise, there are daily time series of delta normalized skews (interpolated to a constant time) on quandl.

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  #6 (permalink)
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baywolf View Post
Do you need intraday snapshots of the skew? Otherwise, there are daily time series of delta normalized skews (interpolated to a constant time) on quandl.

That was the question I had too, the change should be invisible on a small time frame so the goal using market replay is not obvious to me.

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  #7 (permalink)
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Completely agree intra day is a small timeframe, although might make for an interesting playback! End of day would be my goal. Using multiple expiration of course.

I get this now with daily snapshots but would like to see it run automatically so I can scroll back/forward in time.

I'll check out the suggested site.

GuppyDRV

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  #8 (permalink)
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Have you explored Quikvol from Bantix?


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  #9 (permalink)
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suko View Post
Have you explored Quikvol from Bantix?

Bantix I believe is the chosen vendor for the CBOE product. I have looked at their site but no I have not explored beyond that. I'll take a look.

GuppyDRV


Last edited by GuppyDRV; August 21st, 2018 at 09:16 PM. Reason: Spelling
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  #10 (permalink)
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FWIW, I wrote something that snapshots the full options term structure for SPX components, three times a day (morning , lunch, and closing). I only have a months worth of data, but the skew change intraday has no significant correlation to vol, nor price change. There is however a factor that looks interesting, but I need more data to confirm. I mean, it looks like you can capture it with a risk reversal, delta hedged intraday for equities.

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