ideas

IV term structure estimation

Today I was studying earnings caused IV crushes over the bunch of stocks. Take a look at the chart above: seems like logarithmic function fits the real data much better than square root function, which was previously used in PnL calculations, thus I've updated the PnL engine to use the former one.…

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Guide: profit page

If you navigate to the /profit page of the Option Toolbox, you'll see that picture. This page is intended to provide a Monte Carlo simulation tool, which can help you to understand what your chances as a trader are given the statistics of your trades. First of all, open the settings and enter your data: Bet percent: how much capital do you risk in every trade (the optimal value is calculated automatically using the Kelly criterion when you update other parameters). Profit/loss ratio: average profit divided by an average…

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