pitchfork IBKR RTD excel sheets

Discussion in 'Options' started by carteblanche, Jan 4, 2023.

  1. Has anyone got a spreadsheet applicable for IB to calculate flys and this pitchfrok pricing.

    Thanks
     
  2. poopy

    poopy

    Stick to your knitting.
     
  3. Faaaark owf caarnt
     
  4. newwurldmn

    newwurldmn

    OP, whose asking a question about pitchforks, is telling the guy who created the concept of using a pitchfork to fuck off.
     
    nbbo and poopy like this.
  5. poopy

    poopy

    It's not normalizable so I went with an integer skew figure. The skew figure is normed and hitting a number results in a PF that is locally+ (strike touch) and it's much cleaner to run in excel, It also expresses an arb on a skew lock under static vol, but with a credit left tail that benefits from vol-corr as it's long vega.

    So if your model hits the figure both are profitable on a fixed curve, but the SL is long v so it will arb into the "risk."

    Prob is that you're a t*at so no soup for you!
     
    qwerty11 likes this.
  6. Poopy

    You are hard on hearing.
    Stick you pitch fork where appropriate.
     
  7. poopy

    poopy

    Aww, sweetheart.