Contingent options can reference two underliers like you described, e.g. a NKY call contingent on JPY lower.
I built the options analysis tools at the link below. It does a lot of what you're requesting in the Stress Testing and Scenario Analysis section...
No problem, hope I was helpful. I used mid-market pricing at EOD for all of my calculations so agree that it might be tough to get filled at those...
The standard formula for moneyness is strike price divided by underlying price. His trade was $185 strike puts on a $216 underlier, or roughly...
Sure. I haven't done much research on these other than looking at the put spread screen and pricing / historical success rates in my app. I kept...
My historical data puts the probability of success of this trade 93%, but implied vol on LMT is at a 7-year low. Curious why you're choosing this...
I only have historical implied vol data for MSCI Australia (EWA ETF), but I think it's a good proxy. In August implied vol for highly out of the...
I was talking about the month before / month after, not just AH. 2010, 2011, and 2012 Q3 earnings all reversed >9% pre-earnings moves from the...
I just did a write-up on my blog of what the options market is pricing in for Netflix this week. The bottom line is that expectations for Q3...
Variance swaps.
You can use IB's API to do this. It's not hard to get started with their API provided you have a programming background. If you're looking for...
Agreed somewhat. My experience is that the market often misprices vol (vol premiums, fear, supply/demand, etc.) and that looking at historical...
I'm looking at every possible historical occurrence of three month rolling realized moves on XBI and comparing that to the credit I'd be receiving...
3m biotech straddles (XBI at-the-money) are so expensive that selling them at current pricing would have been profitable 93% of the time going...
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