IMHO: It is good to pose that question. Next, will be good to understand that "why would I bother" may require a bit more thought. Re-read...
That is nearly 47 days to expiration, and on the back month, not the front month, so a lot of time value remaining. Here is what I observe at the...
Details please: 1) Which expiration? (need time reference) 2) VIX231115C40 appears to have a delta around 0.017 currently, so unclear what you...
While not an equity, but also not an ETF or ETN .... VIX options seem to be a great alternative to things like UVXY, UVIX, SVIX, etc. Not only...
Re: " Is volatility skew proportional to the ATM volatility of the underlying" No!
I do not trade 0DTE, so there may be some odd attributes. I would expect a single order, as it will be less error prone for you to...
Answer: It depends. What is the product? What is the liquidity of your positions. (each leg)? What does your broker allow in the way of orders?...
IMHO: {this is NOT my interest area, so take with grain of salt} A logical question. But like shoe sizes, one size fits few or none! May be...
Pardon the sarcasm ... trading has many variables... I have found that attempting to "generalize" too early has bad consequences. IFF you find...
I suspect you will find trading options on a security without options will be problematic!
ELOX has NO options! -- Need a trade on instrument with options! -> Can you post one of your most recent trades (entry/exit/instrument/price...
Can you post one of your most recent trades (entry/exit/instrument/price points/timestamps) {on an instrument with options} -- may allow a closer...
IMHO: Assuming, you wish to employ same trade strategy, but just use options instead of the underlying... The slippage with options will be...
Selecting "ignore" (for OP) improves stress level for this thread.
Then how do you derive "r"? IFF you attempt to derive it from using shorter term F(t) (with the term in question), you must isolate interest from...
FWIW: Another approach could be to extract the proper interest rate using box spreads on the targeted option chains. This would tie the interest...
You should use same tenor for interest rate as for your option. For most products, and under 2 year terms, LIBOR rates to closest term and...
Agree! Note that CBOE new 1DTE SPX IV...
FWIW: I have not observed any broker properly providing IV for tenor comparisons that are useful across business vs calendar days, so Power...
The IV reported on SPX tenors is an annualized value based on calendar time. The Monday tenors are lower than the neighboring tenors (fairly...
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