Intraday pricing model

Discussion in 'Options' started by LM3886, Jul 22, 2021.

  1. Time to expiration is simple. It is merely time to expiration (calendar time, not trading time). If you use the proper IV for points into the future BSM is perfect, however, I find it difficult to precisely predict IV changes over time. {AKA: Impossible to precisely predict future implied volatility}
    I find it interesting that Monday SPX expirations seem consistently lower in IV than other expirations. -- don't think that information has much value, however.
     
    #21     Jul 23, 2021
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