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Why are the December 2015 SPY & OEX options using the Saturday expiration date instead of Friday? (There may be others) Note: that SPY OPRA code is ".SPY151219....", I expected ".SPY121218...". Thanks if you can point me to info supporting an explanation. Regards,

Iwilldoit : Not intending to disrespect or flame, but: From the only info I can see, this seems to be a "catch this f@#t and paint it green" request! I do not have available Historic minute data in a format that can be used to compare your private file to! <-- this seems to be a prerequisite...

Ah! Now I understand! My response only addressed the Expiration Date of the option (in the OPRA code), not when it is "settled", which may be AM (for some monthlies such as RUT and SPX) or PM for most others. --- It seems that the older reference to "Saturday after 3rd Friday" expired on...

TheTradeXchange: It is unclear why you would make that comment. Typically weeklies are available and traded for up to about 45 days (the coming Friday, the next Friday, etc for about 45 days). (I think you are correct on the day that "new" weeklies are introduced, but those would typically be...

Regular (Monthly). [KEY: The 3rd Friday of the Month]

cdcaveman : What tool/vendor do you use to produce those charts?

My 2 cents: Short answer: No (IMHO)! As TD80 well stated, there is the market and then there is the model (I took the liberty of reversing the terms). Coming from an engineering background, I use the option pricing model as a way to try to understand the option pricing. With the B&S model...

Iwilldoit : 1) Is the data you wish to verify Intra-day, or daily prices? 2) Is the data for the futures, options, or both? 3) I do not know what you mean by "17h15". (I don't trade /ES, so pardon if this is silly question) Can you clarify? I may be able to help, if the data is /ES daily...

A narrow viewpoint: Looking at the IV percentile to gauge the option premium "relative volatility", is useful when deciding to enter specific trades, such as Iron Condors. Say, if 52 week IV percentile < 20% (pick your own comfortable number) , don't enter, as the credit will be low relative...

panzerman: The approach I am taking filters out the "distortions" you mention. This "filtering" is a goal, and a primary reason for the exercise. An anomaly in a "true Implied Volatility Surface" at a point in time (a bump at a DTE point, for example), will not exist in my derived IV values...

cdcaveman: Your posts imply you are not reading/understanding my responses. This is not productive for either of us or others here. for example see below from my last response to you: "In my prior post, I inserted "<-- I expect you agree with this" in two places. Can you confirm that you...

cdcaveman: Darn! Apparently my thoughts are not propagating thru the words. NO! 1) "You plug in the market price backwards into the equation to spit out implieds... " <-- Given access to the data, this can be used to determine what the actual "IV" is for each option. This method is being...

cdcaveman : Ouch! I will attempt to restate my objective differently. With an option pricing model, such as Black&Sholes (ignoring dividends for now), It is possible to fairly accurately determine the price of a specific option contract, given you have some information that is readily...

This thread appears to have jumped the tracks! Thanks anyway for the responses.

Doesn't Ninjatrader have reliable data for back testing? -- I don't use NinjaTrader, so don't really know. But the effort you are about to embark on (Manual back testing in EXCEL) sounds painful and labor (and fat-finger) intensive. TOS has fairly reliable data, but is not really meant for...

panzerman : Thanks! That paper is new to me. I appreciate the info!

cdcaveman: Not quite! I am pealing this puzzle one layer at a time. I have the OTM PUTs fairly well nailed so far, and have a simple algorithm to extend it to cover the ITM PUTs, but am less pleased with the reliability of this portion across time-frames and instruments. debitspread: Index...

2rosy: No! For example, have you (or anyone out there) derived/approximated the IV Surface for SPX options, when the only option related data available is the VIX? The VIX value will be a point on that surface. (for SPX and RUT, that point is near the PUT strike with a Delta of about -0.32)

I am working on derivation of the Implied Volatility surface from the 30DTE IV. For example, for SPX, this would be from the VIX. Curious if anyone else has marched down this path before and desire to share info. I am making good progress, but progress is slow. Initially, considering only...

IMHO, this is viable if no bad news with one of the positions occurs. Should Bad news occur, you will likely attempt to be calm and hold to your guns, and be willing to be PUT the stock at the contracted price. Last year, I wrote OCT PUTs on LNCO at the $28 strike, with the IV around 20%, with...