Could you please explain the benefit of this intuition compared to, say, viewing it as a combination of bull and bear vertical spreads?
I don't have systematic trades for calendars you mentioned. I mostly look at shorter-term calendars with weeklies and monthlies. No, I don't run a...
I think summing the deltas or thetas of individual options is correct because each option is dependent on the same underlying price and same time....
Thank you for so many great thoughts. I really appreciate them. My confusion is that, when calculating vega, there has to be a single vol as the...
I see. Thanks. Could you still name some services as examples? I'm unlikely to subscribe but I'm curious to learn what they may look like.
Sounds like a lot pieces to put together. I assume this is not freely available. Do you know if there is any reasonably priced platform that...
Thanks, I will check that book for details. I'm also curious what would be a not-so-dirty calc?
Does it mean if I change the 30-day vol by x%, then I should change the 60-day vol by x% / sqrt(2)? Of course given that there is no foreseeable...
In a calendar spread, the vols of front month and back month change differently. Tools like TOS show a Vega figure for a calendar spread. Does...
I see. How do you model the residual vol change in addition to sticky Delta? I find it very challenging because given the same underlying...
I see. The 300/330 1x3 call spread will gain more in sticky Delta than in sticky strike as the underlying goes up to 300. So skew Delta is an...
Yes. I searched in Derman's paper for "skew Delta" but couldn't find a match. Does it mean one of these?
What is skew Delta? Can't seem to find the definition online.
AFAIK, CBOE's data has labels for non-standard options which can be used to easily filter those out. From their FAQ: What does it mean if the...
I think we are currently in a term structure contango: short-term IV is lower than long-term IV. But if a longer-term (such as 30-day) IV is used...
Interesting. Is there any publication from TD that describes this? Or did you get the information from their customer service?
Did you mean 30D IV?
I should have been more clear that I'd like to estimate the 1SD underlying move at a future time T from now, not just calculate the historical 1SD...
I'm wondering how people here calculate the one standard deviation move of the underlying, I've not found a formal definition of it and there...
I wish I could set a limit price on the total extrinsic value...
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