SPX P&L, bid/offer spreads, skewed marks

Discussion in 'Options' started by faust, Mar 21, 2019.

  1. faust

    faust

    am on EST NYC time, am just streaming raw TOS IV data via RTD XL links, here's a comparison of two vol surfaces raw TOS vs parameterized Dumas Whaley model upload_2019-3-21_21-59-14.png
     
    #11     Mar 21, 2019
  2. sle

    sle

    Unless you are making markets (in SPX, of all things), intraday marks in IV should not concern you much. If you are making markets, you should have a much better system in place.
     
    #12     Mar 21, 2019