Opened Nov 141/146/151 SPY IB for 3.22 credit. Total risk is 5-3.22=1.78 per spread. Let's see how it flies
Is there an indicator set up like Bollinger bands but instead of standard dev its derived from implied vols...
For this trade? No. It is initiated on Wed of the OpEx week using the next month options. The wings are 4-5 wide and the mid point is next strike above current SPY price.
Hoping to catch some neutrality into apex. I get it... not for that trade.. just generally... there's a lot to calculate in fighting implied vols into a indictor that wraps a moving average... cause you would have to derive your implieds from front month or some month and deal with the change in skew all the time or something... maybe just use front month atms.. idk
Jeff Augen uses price movements expressed in standard deviations. That allows to see how frequently a given stock spikes one way or another and how big these spikes are in relation the the stock price.
yeah... mandelbrot did as well to express how irrelevant pricing risk in anything related to a normal distro.. i'm sure Mandelbrot did before jeff... sliding window to come up with standard devs.. Mis behavoir of markets.. good book
well in Augens book excel for options traders.. he spells it out explicitly how to program it into excel..