Registered: Mar 2012
08-06-12 04:54 PM
Quote from EliteThink:
Historical options data is expensive. extrapolation is a viable way to go.
Also remember the vix moves up in a fairly linear way, then when panic sets, it goes parabolic as people are willing to pay whatever it takes for a put. Spreads become massive, as well, as you know.
I know all that and that's why I am looking for a specific real-world example.
VIX is a good general gauge but it is calculated based on the series of options and won't tell me the IV of 135 vs 130 option.
I plugged different IV numbers in a "what if" simulator and 1-2% difference in IV per leg of a 4-legged position was the difference of a big loss and a modest profit.