When I said "visualize", I didn't just mean the payoff. I am also interested in visualizing the greeks & IV across strikes and over time. As well as the net greeks & IV for a multi-option position. I'm just a putz trying to wrap my head around this stuff before I really commit, but I find myself stuck, because options information is highly multi-dimensional, and there's no googlefinance() function for options! Which ORATS subscription do you think would be most appropriate?
There must be some reason a smart guy like you trades thru Robin Hood,but if you went over to TOS,Tradier,IB you wouldnt be having this issue.... If you are hell bent on staying there,spend 15 bucks per month on OptionStrat..
Yeah, definitely not wedded to RH (or Merrill Edge); it's just where i started. Inertia and pain of changing is the only thing keeping me at RH. I suppose I could spring some cash free and just start an account at a different broker without moving the RH money over there.
So I took @destriero 's advice and looked at Derman's sticky delta/sticky strike work (e.g. https://www.math.columbia.edu/~smirnov/Derman.pdf) to model how IV changes when the underlying price changes. Interesting. If I understand it correctly, sticky delta assumes that IV remains linear with "moneyness" (K/S) as S evolves in time: IV = m*(K/S) + b That seems to be true on the SPY, for +/- 3% of the index price: The slope (m) and intercept (b) of the line changes with DTE. I plotted the m and b for several DTE and noted a weak logarithmic decay, though linear is a good fit. The trendlines show the particular equations. So anyway, I would then model IV vs moneyness (K/S) and DTE as follows: IV = m*(K/S) + b IV = [A*ln(DTE)+B]*(K/S) + C*ln(DTE) + D In this particular case, A=0.295, B=-2.28, C=-0.285, and D=2.43 I can then model out IV as I change the index price, S. In this case, S rises $0.50/day over 105 days. If S falls $0.50/day, the IV looks like this: Nice and simple. Now please tell me how I am smoking crack. And when such a model would break. Thank you.
You are operating above my weekend paygrade,but Ill go out on a limb and bet you are using a pipe On another note why the FOOK is a guy as bright as you trading thru Robin Hood??? (see above??)
This MWM is actively seeking a SAB (single awesome brokerage): https://www.elitetrader.com/et/threads/best-broker-for-options-trading.361922/ I tell you what...having dinked around with pattern-based trading and options for about 3 years now, I don't feel very smart at all. I have devolved to trading a portfolio of Poor Man's Covered Call, trying to simulate and beat "the index", or match it with lower volatility. Pretty mundane strategy and it's not at all clear if I am achieving my relatively pedestrian goal. All told, this has been a very humbling experience. Too bad I'm obsessed with this stuff...