A quick explainer or a post on interpolating "constant maturity" vols would be very helpful. Also is this information tradable? I mean, as we are interpolating, there is no real 7day straddle out there for us to trade on.
"there is an endless supply of data and information to detail; how do we say “no” and limit this to the specific things that help us each day?"
Agreed there is a lot of noise. There's also a lot of data missing. Liquidation data etc. all of it is a best guess by the data vendor given the exchanges constantly change their data, type of data, and give rough snapshots versus accurate data(i.e. they don't disclose a lot). I find at the moment it is a bit of a holy grail to try and answer relevant questions about spot moves. I like to think of the question "On a given move in spot, how much is highly levered i.e. are we going to see a reversal on quick stops" - keeping tabs on OI change + spot/perp volume comparison is something I'm trying to refine into a daily sheet.
that has been on my to-do list for some time (at least partially -- following volume, OI changes, and basis changes). i like doing the spot move to basis check, too.
A quick explainer or a post on interpolating "constant maturity" vols would be very helpful. Also is this information tradable? I mean, as we are interpolating, there is no real 7day straddle out there for us to trade on.
cool idea. i like it.
"there is an endless supply of data and information to detail; how do we say “no” and limit this to the specific things that help us each day?"
Agreed there is a lot of noise. There's also a lot of data missing. Liquidation data etc. all of it is a best guess by the data vendor given the exchanges constantly change their data, type of data, and give rough snapshots versus accurate data(i.e. they don't disclose a lot). I find at the moment it is a bit of a holy grail to try and answer relevant questions about spot moves. I like to think of the question "On a given move in spot, how much is highly levered i.e. are we going to see a reversal on quick stops" - keeping tabs on OI change + spot/perp volume comparison is something I'm trying to refine into a daily sheet.
i LOVE that
that has been on my to-do list for some time (at least partially -- following volume, OI changes, and basis changes). i like doing the spot move to basis check, too.