I'm on IB's tiered commission structure, but the per-contract commission is no where close to $0.65. Often times, I got charged almost twice of...
I think this will show a different order of the positions. I have not been able to merge positions that were entered separately. If anyone has a...
Aren't these long puts going to lose much of their time value as underlying goes up? How does it compare to buying risk reversals in this case?
Maybe this is a type of stress test that can be done by your analysis but not broker's software: You can randomly generate stock price paths and...
Thank you, OP, for coming up with this analysis. I'm wondering what's the advantage of your type of analysis comparing to the risk profiles...
I understand that this is due to sticky delta, but do you have a condition for this to happen in general? Low IV levels? I often observe OTM vols...
Seems I'd better not look at that number. Thanks folks!
I suppose it can give user an overview of term structure with all tabs closed. What is that number for IB? Seems close to ATM IV?
Interesting. Would the CBOE VIX white paper method generate a value less than the IV at any strike? That's what I observed in the screenshot: IV...
TOS shows an IV value for each option, and also an IV value for each expiration. But I'm having trouble understanding what the IV for an...
I didn't mean to use quotes during non-trading hours, but whether to take non-trading hours into decay. For example, if an SPX option is trading...
Thanks. Is bid/ask spread an issue? I see larger bid/ask spreads in SPX options than SPY. For your IV derivation, do you evaluate trading and...
I see. I actually think it may make sense to consider trading and non-trading hours similarly as the opening gap can often be larger than the...
Thanks. I had a mistake in the earlier quotes; They should be almost zero. But regardless of the cutoff time, I'm wondering why non-trading time...
Just curious what's the advantage of trading SPX options vs SPY options?
Sorry I made a mistake in looking at the wrong data. Actually the closing price for that option is 0.00 bid and 0.01 ask. I'll just try using 4pm...
I agree that there is not much we can do after Friday close, and I'm not looking for strategies after close. My main concern is the selection of...
I'm fine with one minute resolution, although the software probably can handle much smaller granularity. How ever, it still depends on the...
I don't think that is the case, at least in the example of the AAPL options that expired last Friday: AAPL closed at 146.38, while the 146 put...
I've been using options pricing models where days to expiration are integers. But I found it to be not accurate enough to compute IV especially...
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