Maybe this is a type of stress test that can be done by your analysis but not broker's software: You can randomly generate stock price paths and visualize the PnL changes overtime.
That is true. I could certainly do a Monte Carlo type analysis that I doubt the typical broker software would do
Here's a set of P&L curves for the above mentioned diagonal call spread, along the lines you were thinking. In this case, I vary the strip volatility up (+vol) or down (-vol) by 1%/day. So over the course of 15 days, that's +/- 15%. The green curve just shows the P&L of the -vol case at 16 DTE (day 0). Definitely kind of interesting to look at. I'm pushing the limits of what one can/should do in a spreadsheet.
Hrmm, after reading what you typed above, something clicked in me...You have a bit of OCD in you, don't you? i can finally see it. You hide it well on the phone, but man it is coming out here.
Looks like TastyTrade just went back to fix the problem ... and made it worse ... today's Market Measure on "Expected Move" for SPY with Spot = 420 / IV = 19.3% / DTE = 34 Days The basic approximation formula would suggest that the Expected Move is : Spot 420 x IV 19.3% x Sqrt(34/365) = 24.70 points TastyTrade proprietary formula = 13.60 points