Cool. You see any good 3-D vol surface plotting code out there? I was messing around with this (from here) for a while. But, I'm always on the look out for something interesting and libre to toy with.
Thank you for clarifying. I will look at that. The issue I have with that is that I don't think that the TOS analyze tab/model sufficiently incorporates vomma (volga). I don't have access to 2nd order greeks which would be very useful. I can intuit the positive effects of vomma having observed my book marking better than "expected" on the few trips VIX has taken around and above 30 since inception.
Yeah, I know what you mean... it's the stitching together of the data w/ the pixels that's the real P.I.T.A. Omg, look at that... and with enough time to edit my post Ask and ye shall receive! Now I wonder how well this one has aged; time for some fun and games.
Nice strategy tman. I will create a backtest for it so see its results from 2018 till now (SPX) Moment of start is of course very important. If you had started in feb 2020 you had a tough time.
I will start by selling 3 delta 2.5 and buying back 5 for less then credit received. If bought back, i will sell 3 again on 2.5 delta closes to 120 dte. Etc..
Exactly! Very path dependent. I was more lucky than smart but intend on monetizing into a larger structure. I've been trading long enough to know it's all about learning all the different ways to lose money. But this looks promising.
You can also sell front puts e.g 30DTE against the long puts (converting them to calendars) when vola is high. Chances that 30DTE puts with 30% distance become ITM are very small. With the credit received you can buy more calendars to expand the long vega.