This is a summary of links featured on Quantocracy on Friday, 03/24/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Getting position and accounting data out of IB native python API [Investment Idiocy]This is the final post. Not the final post of the blog; which may be good news or bad. But the final post in my short series on using the new native python API for interactive brokers. Having got some prices and submitted some orders we want to know whether we made any money or not; and what positions we have. Although the code is rather trivial, interpreting the results requires some
Is There a Less Expensive Hedge Than a Protective Put? [Relative Value Arbitrage]The spot VIX index finished last Friday at 11.28, a relatively low number, while the SKEW index was making a new high. The SKEW index is a good proxy for the cost of insurance and right now it appears to be expensive. A high reading of SKEW means investors are buying out of the money puts for protection. CBOE SKEW index as at close of March 17, 2017 With the cost of insurance so high, is there a