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Thank you for this link, it's helpful.

Seeing this thread late, but will add my own info/experience, as I've had intra-day margin deficits several times though luckily have never been auto-liquidated ("ALQ"). (Not vouching for the 100% accuracy of everything below; just sharing my experiences.) They refuse to divulge any substantive...

The old DDE API + Excel gave me a ton of headaches, but I was stuck using it because the RTD API proved completely unusable for other reasons. I was pleasantly surprised to see that IB rolled out a new socket-based DDE API earlier this year (since I'd always been told by IB that DDE was an old...

None of the brokers I've asked appears to allow American customers to buy options that trade on foreign exchanges. E.g. Air Canada (AC) trades in Canada and has an option chain that trades on the Canadian (Montreal) exchange, but as far as I can tell, there's no way for me to trade those...

Thank you, and thank you. Excellent explanations, and I get it (or most of it): what I'm understanding is that, taking two Call options that had just moment prior both had Deltas of 0.50, one with 1 day to expiry, the other 1 year, at the precise moment of a change in the underlying SP (let's...

Thank you everyone for the replies. I appreciated all of them (even though I'm just quote-replying to this one). The one thing I guess I still need a little clarity on is the Q I wrote in my 2nd post immediately after the OP: the principle that Delta represents the approximate change in option...

A related Q, which is really what I'm trying to understand: if Delta = expected change in option price for a given change in the underlying SP, why do 2 options that both have the same Delta (but have different expiration dates, one near, one far out) not exhibit the same change in price when...

One principle I'd like a little help with, particularly re: ATM options. Delta is commonly referenced as an approximation of how much a change in the underlying SP will affect the price of the option. I understand Delta decay -- idea that as Time to Expiration (TTE) approaches 0, Delta of OTM...

OK, yes that was my understanding of the 'implied' in implied volatility > i.e. essentially reversing the BS formula by starting with an option price (be it the Bid, Ask, or Last Trade), and solving for the volatility, which would be the volatility implied by that price. But that's getting at...

Wait, I think I'm getting turned around on something. Isn't the volatility input for BS calculation purposes the volatility of the underlying? (aka HV or something close to it?) My understanding of the "implied" part of I.V. is that it's calculated from an option's observed price (i.e. solving...

Wait, did you mean "HV, not IV"?

Thanks, all for the replies so far. Understood. (If what you're saying is that even without a precise calculation, I'll be better off with a crude manual vol adjustment; e.g. if closing vol was 30% on some relatively stable underlying who announces surprising bad news, manually moving that to...

I asked this Q as a follow-up in a different thread, but thought it might not get seen so wanted to ask it here: how can I calculate how to adjust the Volatility input value (for use in Black-Scholes valuation) in situations where an underlying has gapped up or down in after-hours / premarket...

Yes, we're for the most part describing the same thing. I already have all of the option chains (including the prior day's closing prices) in Excel, and update the underlying price using premarket trading. By "manually", I meant I still had to pull in the data and have Excel run the calcs, I...

Yes, I've basically been doing it myself up until this point; starting with the closing option model prices, and then using a BS valuation with updated underlying price based on the after-the-close/premarket trading. Or sometimes I just do a crude version using the option's closing Delta x...

I'm looking for a source that will help me value options taking into account after-the-close or pre-open trading. For example, say company XYZ reports bad earnings at 8:00am and is down 25% in premarket trading...I want to get a sense of the FMV of my various options positions (given where the...

FWIW I asked IB this and they said they don't match hidden orders up against each other (even when they're both submitted by IB clients and hence could be matched up internally, which would seem like common sense, but who knows). If I'm understanding correctly, both of the things you describe...

Yes - this is the idea that I think I was struggling with..."Hidden" simply feels like a bit of a misnomer when the order type is of the simulated (i.e. held-on-IB-servers-until-marketable) variety...because if I'm correct in what I wrote in my previous post (that if I'm "Hidden" with a Buy 5 x...

1) As to bolded part, in the case of an illiquid option listing, if NBBO is showing only market-maker's $1.00 x $2.00 spread, and I see another trader put in a Limit Bid of, say, 5 x $1.10, wouldn't submitting a Hidden Bid of 5 x $1.15 effectively allow me to sit ahead of him for a Seller...

Well I'm typically SMART-routing my orders so...ah...I'm not exactly sure how that plays into the equation...like are there SOME options exchanges that natively support the Hidden order type and not others? And if so, how would a SMART-routed order deal with that inconsistency? (I mean, I guess...