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I always aim for .02-.04 delta, sometimes I'll go up to .05.
Cocoa (actual fill from last week) is below, followed by Sugar (analysis as of this AM). Sugar is a lot less appealing right now, although I have a couple of unfilled orders in.
Hi all,
Does anyone know decently priced sites where you can purchase historical data on futures options? I know the CME sells raw data, but it's very expensive. I've found other places (including IVolatility) that sell it at a much more competitive price. But options data on futures is harder to come by-- definitely compared to equity options.
Historical Futures Price Data or Historical Futures Option Data?
For Futures price data you can get historical data for front and back months as well as contract months from Quandl. They are free and it integrates through a number of API's.
They do not have futures option data...but from my conversations with them this is in the pipeline.
Hi BlueRoo
Yup, I meant options data. I've talked to the folks at Quandl before, and they've been very helpful. Their development packages are fantastic! When I spoke to them about futures options data, they were considering offering it with a small fee due to the cost obtaining the data. I'm guessing it might be a little while before they get it up and running.
Are there any other sites out there that offer such data for a decent (cheap) price? IVolatility is reasonable but I'm wondering if there are others out there.
Hi KD, are you sure you are right on your CC trade here expiring 7 Feb I have the 3000c 50/56 bid ask, your figures from yesterday show price at 5, did you mean the ones exp 5th Dec?