Yes, strangely calc's posts do remind me of riskarb. I reckon he's been reincarnated But im sure its just someone else
I am Riskarb and Seven of Nine's illegitimate love child. Yes, she was at my Uncle's [daddy-risk's brother] XMAS party in '03... and yes, she's spectacular. That would make me 19 months old. Peace!
Nick, A simplistic answer: think vertical strips. Each strip representing the volatility of an option series (single strike with a same expiration) For example, on your ToS platform, when you look at volatility analysis, you have option series plotted along the x axis e.g. 1280,1285,1290,1295 etc. and the volatility plotted on the y axis e.g. 6%, 6.3%, 6.4% etc. Imagine physically cutting the graph into vertical strips, one for each option series: that is what "strip vol" is referring to. MoMoney.
I was going to say Calculon can't be Riskarb as there is a conspicuous lack of brackets[] littered in his/her posts as was Riskarb's trademark. However, he may have given himself away in the last post...
OC , I finished back testing (Fly) for last 2 1/2 years. Let me know if you/anyone want to see results , I will post the file.