Not sure about ActiveX, but I use DDE to feed Excel and it's working perfect, prices are updating instantly...maybe try switching to DDE if you can
Cant you just connect IB TWS to Excel and then analyze the skews directly in Excel?
Fear trumps greed, so a down market tends to be more volatile than an up market.
One of the main reasons I want to look at 3rd order greeks is charm, color and speed. I have personally been burned on the change in gamma as an...
Aww come on, I was just joking around...the only thing I manage so far has been my own money. Maybe some day... Probably half of the reason I'm...
Thanks, I checked out the links from you guys, unfortunately these all link to products that require buying. I was hoping there'd be some free...
Gonna have to bump this
It's not something I am planning on doing anytime soon, I'm just looking into it along with a ton of other potential strategies. Wheter or not it...
Well, those things will always be a factor regardless of strategy used. How much problems they cause in vomma scalping depends on size traded,...
Not following you....the only way you'd end up without a scalp is if IV doesn't move after you put on the vomma position...in which case theta...
Nothing spesific. Just useful to have a known formula to apply when vomma scalping
Alright thanks for all the help guys, things make lot more sense to me now Also, this speak about vega convexity has me thinking. The formula...
1) That makes sense indeed. IV change * vega per option and then sum up, gotcha. Only problem is vega varies, no? So if I have 50 IV and 2 vega...
You're right, it's vega times IV change. So if IV goes up 2 pts accross the portfolio, the value will increase/decrease by 2*portfolio vega. So if...
Vega divided by IV change? Lol I have no idea
The real question now is how can you apply this to P/L change that has already occured? Say you just lost 300 dollars, how can you figure our how...
Okay nice, thanks for the answers guys
Ah okay, so just remodel taking into account a the effect a one pt move up/down in IV will have on the model price?
I notice IB is offering two types of delta. One is called "delta bid" and "delta ask", the other is called "model delta". I'm a bit unsure as to...
So if I have a 1% move for every option across my entire portfolio, the MTM from that move will equal vega of portfolio? Also could you explain...
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