Are you certain that the IV plot TOS shows is 30-day? I haven't been able to find the documentation.
Nice. But I'm interested in a volatility metric that I can track over time. For example, I can look at it and compare with history to see if the...
Using the expiration with around 30 DTE, I suppose?
Has anyone tried it? Is it even useful? I wanted to plot and visualize the volatility change of single name stocks. ATM IV doesn't take skew into...
Great discussion! Out of curiosity, what's the typical scope of an MM's inventory? A couple of underlyings, or a few tenors/strikes of a single...
Thank you MrMuppet for this concrete example. Maybe I got this wrong, but I thought when the move comes in, the IV for both front and back months...
So the theta and gamma are both doubled comparing the 30D/150D against the 30D/60D calendar. There doesn't seem to be a gain. I thought @MrMuppet...
Shouldn't the theta also go down with gamma as we increase DTE?
Previously there was per-order commission on top of the pre-contract commission. Now the per-order commission is gone.
That probably explains why I'm often charged liquidity-removing fees. But just curious what benefit does IB get by doing this? The fees go to the...
You are very welcome! I'm not even sure if pros use business days, but I've been burnt by the calendar days in TOS. Long Monday, short Friday...
Wikipedia says "market makers often fill retail orders at a better price than the best price available on public exchanges."
How is the IV calculated? Do you use calendar days or business days?
I have a similar observation, too. The additional commission at IB didn't seem to get me better executions than TOS.
Found their page for CBOE fees. But according to that I should pay nothing? (ETF Penny Pilot < 100 contract) But there is also the footnote...
Do you think TOS's execution is better?
What's PFO?
That's interesting. I also have a TDA account, which charges ~$0.65 per contract pretty uniformly. Are they paying the liquidity taking fees for me?
Yes.
I don't think I was taking liquidity, because I placed my order at mid of Bid and Ask and it took minutes for the order to fill.
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