Dashboard for Historical SPX Butterfly Prices

I built a dashboard to plot historical butterfly prices from an options database that I have locally. I’m using Python and Ipywidgets in a Jupyter Notebook to create a user interface to select the expiration and strikes of the fly and it will plot the closing fly prices versus the SPX. I’m sharing the code as it can serve as a good template for others looking to visualize data or create GUI Dashboards with Python.  The…

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Random Notes with Python

I admit I had a lot of trouble just getting up and running in Python. It probably should have been easier but programming languages seem to have gotten a bit more complex since Fortran and C++ where all you need was an editor and a compiler. So I’m sharing these notes to hopefully help anyone else out there who has an interest in using Python specifically for back testing trading strategies. Python can be used…

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XIV & ZIV historical data

Perusing the internet I found a neat little site:  On one specific post, a commentator posted his link to reconstructed XIV, ZIV, VXX, and VXZ from 2004 using historical VIX futures and the methodology from the prospectus. Good stuff and huge thanks to quantstrat and Helmuth Vollmeier! VXX: XIV: VXZ: ZIV:   Edit 11/10/14: After some thought I realized the simulated XIV/ZIV data may be incorrect. While it follows the…

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Little More on Black Swans

Just as a follow up to previous post, I did a similar study on SPX movements using my primary breadth indicator that I follow, looking for number of occurrences of the 1 day Average True Range of SPX was less then -30 points or more while flashing a long/short signal.  In other words, how many days the SPX range (including gap) was -30 points or more when signal was on a buy or sell, hopefully…

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Black Swans

Mebane Faber wrote a paper entitled, “Where the Black Swans Hide” where he finds that volatility clusters and that most of the outliers in the market occur when the market is already declining. In trading VIX I am often positioned short vol of vol, short index vol or delta in this case, as well as short gamma. Any short vol or short gamma position has a risk of blowing up if losses aren’t capped so…

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Papers & Statistics

As part of my role at a hedge fund we were constantly testing and searching for new trading strategies. The best resource I ever found, besides my past experience and monitoring real time trading, was . The site is absolutely loaded with academic research on the ways humans make errors in the market. As such, I was forced to read and understand academic research papers and PhD thesis. Now, I am not an academic,…

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2010 in review

The stats helper monkeys at mulled over how this blog did in 2010, and here’s a high level summary of its overall blog health: The Blog-Health-o-Meter™ reads This blog is on fire!. Crunchy numbers A Boeing 747-400 passenger jet can hold 416 passengers. This blog was viewed about 7,700 times in 2010. That’s about 19 full 747s. In 2010, there were 51 new posts, growing the total archive of this blog to 159 posts….

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Reader Comment on Poor Man’s ETF Arbitrage

Reader Comment on Poor Man’s ETF Arbitrage: Nice piece. Few questions, if you don’t mind (acknowledging I have not used TradeStation in quite a few years, which may be the root of my misunderstanding): (a) can you clarify your intent with step 2: why you are building a custom index (since standard ETF basket arb assumes the hedge ratios are estimated via cointegrating regression)? (b) what is the “log ratio”, in this context? (c) what…

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Interpolation, Cubic or Otherwise

I found a neat little Excel Add-In that performs interpolation and specifically cubic-spline interpolation. Spline interpolation basically fills in the missing data from a series along a curve, in other words its a form of curve fitting. This is a technique that can be used for data cleaning, filling in bad or outlier prints, and more importantly in duration analysis of securities (interest rates, commodities, volatility, etc.) For example I decided to look at VT…

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ETF List

I was searching for a complete list of ETF’s and came across a list which I modified to include only US & Non-US Stock ETFs. I removed bond, commodity, and leveraged ETFs although I’m sure there are some stranglers in the list somewhere. Enjoy! ETF List 5-8-09