Dude, you are not playing the vol skew, you are playing the forward volatility. You should at least know the difference if you are calling yourself a vol trader. This said, there are forward skew strategies, but they are very, very vega intensive and are mostly for MMs who can hedge their vega buckets by siding the quotes. I can go into details, but not now. In addition, while I don't trade equity options, I can not imagine that there would by any "fake IV numbers" quoted given the number of MMs compeeting in that space.
Sle , I read your other posts and I respect your opinion. But my reply to the thread starter wasn't about some specific strategy, it was about some questionable methods of IV calculations. Here are some other facts that will affect different types of Vols calcs : 1. "Fake" IV in the week of exp ( just watch IV numbers displayed by IB couple of days before exp , they are growing by hours !) 2. Miss of stock split(will affect HV that derives from stock history) 3. Adjustment to big, one time dividend, is missing (hence , HV is incorrect) 4. Strike not exists for low nominal stocks ( there is no 2.5 put for 3$ stock) 5. Footnote is not attached to the stock that was recently been bought out (cash) 6. Simple calculations of HV , instead of exponential and smooth 7. I can go on here for ever The above issues will affect the screening fields such as Calendar Skew( or whatever its called) , IV changes from day to day , HV/IV ratios and many others. The retail option trades can not afford and donât have an access to applications used by pros/MM. Most likely they will subscribe to 40$-200$ month analytical software provider and I am not sure if this provider properly addressed all the issues that I describe. If you (Sle) have an access to in-house application or one of the big three like Bloomberg, Reuters or Thompson Financial, then good for you. But many on this board donât. And if you think that big three are bullet proof when its comes to data and culcs , I have a news for you and I should know better , I used to work for one of them. I will not go into strategy and results debate again , looks like it will trigger angry replies from pros/MM again. It is what it is. Good luck.
I don't know what the fuss is about. The poster only wants to know how to calc IV realtime ! All you need is a means of bringing a live price(s) into an Excel spreadsheet, and the rest is a piece of cake - calculate IV on the bid / mid / ask price, adjust for divs / splits / illiquidity - delta, gamma, vega till you're hearts content ! There are many dificult questions posted up on these boards, but this ain't one of them !
Totally agree with you profitaker! But as in most threads on ET the topic changes in to a completely different discussion
My assumptions are that you read "Advanced Options Made Easy" the other day and now think you can trade the skew. Just guessing here. nitro
What happens is that someone trying to understand a concept posts an honest question and sometimes not so honest - sometimes what happens is that some guru or a team of them start a thread to make themselves look like gurus and try to suck in unsuspecting newbies into their chatrooms etc by appearing to know what they are talking about. Anyway, then the multitude of gurus jump in trying to teach the guy something and you can always tell who started trading yesterday and who actually either makes a living doing this now or did at one time. nitro
You can open an account with TOS at http://www.thinkorswim.com and most of this stuff is graphed for you. Then if you like the software, open an account with them for like $2500 and the software is free. nitro