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Search: Posts Made By: CafeGrande
Forum: Options March 22nd, 2016, 07:29 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Fact of life for for-profit exchanges: data has...

Fact of life for for-profit exchanges: data has become a large, predictable source of revenue and the margins are probably better than software or drugs. It's obviously not in their interest to give...
Forum: Options September 1st, 2015, 06:16 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Hi - Are these files "independent" in that a...

Hi - Are these files "independent" in that a person could download version 4c, get some data, play around with the new historical feature, and not interfere with downloads and analysis in their...
Forum: Options June 24th, 2015, 09:06 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Ah! Those darn Type 81 records. I should have...

Ah! Those darn Type 81 records. I should have known. :becky:

Thanks for the quick response!

ETA: I'm pretty sure they fixed it already (there's a 7:49 pm CT update). They must be watching us.
Forum: Options June 24th, 2015, 08:35 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
FYI, I think there is an error in the ICE (NYBOT)...

FYI, I think there is an error in the ICE (NYBOT) file for today, June 24 p.m.

I went to the CME's FTP site to download it directly and it's about half its normal size.

Using the 'direct'...
Forum: Options November 8th, 2014, 03:04 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Option model used by CME SPAN

Hi - this is a (minor) caution about using the ATM IV figures in the CME SPAN files for long term tables and charts.

Below I've attached an image that compares CME SPAN IV on nat gas with the IV...
Forum: Options October 4th, 2014, 03:57 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
^^ The revised method worked for me. - let...

^^ The revised method worked for me.

- let the whole thing download in a browser window
- CTRL A, CTRL C, open a notepad, CTRL V
- save notepad in SPAN4 > DATA folder, make sure it's saved as...
Forum: Options October 4th, 2014, 12:38 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Same thing. The two files download OK and if I...

Same thing. The two files download OK and if I "track select" or "scan select" ICE contracts the application works fine. If I include CME contracts the "calculating - please wait" window displays for...
Forum: Options September 3rd, 2014, 10:19 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
It worked! I didn't break anything! Thanks...

It worked! I didn't break anything!

Thanks for adding the .txt file. That helped this novice to know what to look for.
Forum: Options September 2nd, 2014, 08:46 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
DudeTooth - I have a selfish request...

DudeTooth -

I have a selfish request unrelated to the issue immediately above.

Would it take a lot of work to add the Kansas City (KE) wheat contract to your application? It doesn't have the...
Forum: Options July 3rd, 2014, 11:06 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Your work continues to impress! And I agree...

Your work continues to impress!

And I agree with your comments above. I think the summary stats are most useful when presented by PRODUCT and then by month within that PRODUCT. The separation...
Forum: Options July 1st, 2014, 10:56 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Well, whaddya know. A complete shut-down and...

Well, whaddya know. A complete shut-down and reboot and now it works fine.

I'll leave the post up in case someone has a similar problem in the future.

The puzzling thing was the partial...
Forum: Options July 1st, 2014, 10:42 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
An incomplete download?

For the first time, the two daily files are not downloading and unzipping/extracting themselves. I thought it might be "my" version of PC-SPAN so I downloaded a fresh copy from the first page of this...
Forum: Options June 29th, 2014, 12:01 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Did you double check to make sure the date is...

Did you double check to make sure the date is correct? It has to be in this format: 20140627

That's Friday. As far as I know, it won't pull in the closest business day, so you have to be precise....
Forum: Options June 25th, 2014, 08:58 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
BlueRoo, I think I have the workbook you're...

BlueRoo,

I think I have the workbook you're referring to. FWIW, another resource from a well-known author is the "DerivaGem" software that accompanies John Hull's book(s).

DerivaGem Software...
Forum: Options June 25th, 2014, 08:29 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
I'm trying to get the basics on one spreadsheet...

I'm trying to get the basics on one spreadsheet so I can see my cumulative positions across brokerages. Here's a snip of the Risk Navigator tool from Interactive Brokers....
Forum: Options June 25th, 2014, 03:53 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
DudeTooth - If you're thinking about...

DudeTooth -

If you're thinking about updating the SPAN tool some day, and if the data elements already exist in the risk arrays (I think that's the term for the big files from the CME and ICE),...
Forum: Options June 4th, 2014, 04:05 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
I was mostly wondering if you've had difficulty...

I was mostly wondering if you've had difficulty retrieving so many consecutive days of data. Currently, I don't store any history, but if it's a reliable source and it downloads fairly quickly, I...
Forum: Options June 4th, 2014, 01:23 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
Just out of curiosity, is all of the data on the...

Just out of curiosity, is all of the data on the chart derived from the SPAN files, i.e. have you collected several months of history and your application calculates HVs based on the futures...
Forum: Options June 2nd, 2014, 10:01 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
That's a good find. We still don't know how many...

That's a good find. We still don't know how many strikes the CME uses; some providers use the two nearest the money (one above and one below) and I've come across at least one that uses three (the...
Forum: Options June 2nd, 2014, 09:17 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
A couple of months ago I tried to get a better...

A couple of months ago I tried to get a better understanding of the historical volatility (HV) column in DudeTooth's application. I messed around for a little while but I couldn't match it with...
Forum: Options May 13th, 2014, 02:12 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
I meant archiving the data behind the chart. Will...

I meant archiving the data behind the chart. Will you store it in your program or in some other dbase? A number of options analysis programs contain what you've displayed, but once expiration occurs,...
Forum: Options May 13th, 2014, 01:05 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
(^ image above ^) That's valuable! I don't...

(^ image above ^)

That's valuable! I don't know if you plan on archiving it, but in my experience it's useful to have that type of history, although it's expensive to procure.

It's easy and...
Forum: Options May 12th, 2014, 08:27 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
BlueRoo - I've attached the formulas for 1 to 3...

BlueRoo - I've attached the formulas for 1 to 3 standard deviations using the lognormal distribution. Rows 7 and 8 (I think) are used as a shortcut so the long formula in Row 7 doesn't need to be...
Forum: Options May 11th, 2014, 10:00 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
BlueRoo - First, I don't know how you added...

BlueRoo -

First, I don't know how you added all those elements since I posted my message; because of the time difference, you should have been sleeping most of the time. You must know this stuff...
Forum: Options May 11th, 2014, 10:35 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,754
Posted By CafeGrande
BlueRoo - You've done some very nice work; I've...

BlueRoo - You've done some very nice work; I've seen commercial packages that are not that well designed. Bonus points for putting a visual representation of the StdDev ranges and position break-even...
Showing results 1 to 25 of 28

Would you sell your system, and for how much?

 

 
 


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