Sunday, July 10, 2005

Another day, more bad trades.

The bad trading in the gamma-scalping experiment continues. I don't even want to write about it. I'll just summarize it like this. I'm leaning short into this powerful market. (On the experiment that is...overall my portfolio is very much net-long.) Instead I'll write about my programming progress.

It is surprising how difficult it is to simply move a little data from one MySQL server to another. The standard tool mysql provides for some reason just didn't work for me. I have 2 windows GUI tools...MySQLFront and Navicat. They are both patheticly slow. Obviously neither is intended for large databases. I wanted to move all of my existing equity data off of my main computer to a separate Database server I set up. Then, my plan was to re-import my option data from stricknet on that server. Transfering the equity data using Navicat took 3 or 4 days. (To re-download all of that data from finance.yahoo.com wouldn't have taken much longer than that.) Then I began the options data import. This took about 48 hours.

There is a silver lining though to this long and tedious data import. During the time that my data was importing (especially over the 4th of July weekend.) I started working on my real-time options analysis tools again, and I made excellent progress in a short amount of time. What the program does, is for an entire put options chain, it computes the implied volatility for each contract plus the cumulative weighted volatility for the chain, and then computes all of the "greeks", plus the expected return, probablility of profit, and the probability of the strike never getting touched, all in real-time, for an entire options chain, and then I can sort the chain by any of those statistics. I can also plug in my own volatility estimates for comparison purposes.

The program is about 90% done. Unfortunately I won't get a chance to finish it up for at least a week. In the future, I plan on adding a custom tab page each common options strategy Right now I only have a page for selling naked puts, since this is the strategy I use most often. I also want to add a tab page for analyzing the volatility skew in real-time. So far, I'm very proud of how the program has turned out. I hope to be able to post screenshots of all of the options analysis software I've written soon after I get back from my business trip.

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