A narrow viewpoint: Looking at the IV percentile to gauge the option premium "relative volatility", is useful when deciding to enter specific...
panzerman: The approach I am taking filters out the "distortions" you mention. This "filtering" is a goal, and a primary reason for the...
cdcaveman: Your posts imply you are not reading/understanding my responses. This is not productive for either of us or others here. for example...
cdcaveman: Darn! Apparently my thoughts are not propagating thru the words. NO! 1) "You plug in the market price backwards into the equation...
cdcaveman : Ouch! I will attempt to restate my objective differently. With an option pricing model, such as Black&Sholes (ignoring dividends...
This thread appears to have jumped the tracks! Thanks anyway for the responses.
Doesn't Ninjatrader have reliable data for back testing? -- I don't use NinjaTrader, so don't really know. But the effort you are about to...
panzerman : Thanks! That paper is new to me. I appreciate the info!
cdcaveman: Not quite! I am pealing this puzzle one layer at a time. I have the OTM PUTs fairly well nailed so far, and have a simple algorithm...
2rosy: No! For example, have you (or anyone out there) derived/approximated the IV Surface for SPX options, when the only option related data...
I am working on derivation of the Implied Volatility surface from the 30DTE IV. For example, for SPX, this would be from the VIX. Curious if...
IMHO, this is viable if no bad news with one of the positions occurs. Should Bad news occur, you will likely attempt to be calm and hold to your...
cdcaveman: Well, it kinda made sense if you don't think about it! ;-) I'm no expert, but that seemed like a good example of the "dopeler...
You are most welcome. My experience is somewhat limited, so double check anything I say with what you know to get a reference. I am still...
Can someone shed insight on the differences in the IV graph for the PUTs VS the CALLs shown below? This is the Implied Volatility for SPY for the...
I really like that 3-d graph, as it conveys a lot of information. Typically, this "future ripple" in that graph is due to an upcoming event, such...
Here is a simple graph for SPY IV VS Days to Option Expiration that may provide some insight. (current data) Note that the X-axis is log scale to...
I feel like an idiot! Thank you very much! Of course!
One consideration could be to attempt a reasonable "compromise", and limit the depth of your ITM strike to a delta of in the -70 range (instead of...
Can anyone explain why SPY ITM PUTs with greater than about 25 DTE have so much Extrinsic value? Below is a view of the September monthly, then...
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