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Time to expiration is simple. It is merely time to expiration (calendar time, not trading time). If you use the proper IV for points into the future BSM is perfect, however, I find it difficult to precisely predict IV changes over time. {AKA: Impossible to precisely predict future implied...

I ignore non-trading hours as the BID/ASK (which is used for pricing) is not valid at those times. The BID and the ASK is used to derive the expected value/price for the options, so when it widens, it is often not symmetrical, which adds error to the estimate for the option price. I do look at...

1) Lower commissions as you are trading 10X the size. (so percentage of trade to commissions is lower) 2) 60/40 Tax treatment for gains 3) No assignment risk (cash settled only) Plus, I have SPX option pricing data (CBOE LiveVol 60-sec quotes from 2004, and subscription) and have good IV...

SPX weeklies: "https://www.cboe.com/tradable_products/sp_500/spx_weekly_options/specifications/" SPX Monthlies: "https://www.cboe.com/tradable_products/sp_500/spx_end_of_month_options/specifications"

My familiarity is with SPX options. -- so if this is a weekly, then it is 4PM Eastern time for options expiring on that date. (I think most equities use similar expiration times for their PM Expiration products) When the options are very near to expiration, it seems prudent to shift ones...

If you desire precision, you should know when your options expire, and understand your sensitivity to time. For HFT, time is likely more fine grained. For me, one minute resolution is adequate for me to relate to as real-time, so I use 60-second resolution. For example SPX options contain both...

I stepped in the additional feature "guru" pointed out (unable to get all legs of the IC on same Expiration if desiring an AM expiry)! -- I did not report that "new feature" to them!

TOS has been made aware of the issue and are pursuing solution! -- Not yet, but expect something shortly.

I see it as well! Seems they have a bug! After seeing your post, I submitted a bug report to TOS. I think their last update included more "undocumented features" ;-( (AKA bugs)

I am not aware of any documentation that covers this. Here is a screen shot that shows where TOS gets the value from:

Yes! A couple points from my perspective, the 30Day IV is calculated per the CBOE VIX White paper method, which for equities is biased to the OTM PUTs, so the value is always elevated beyond the ATM IV of that time frame. Since you are seeking the move in the underlying, use of this will...

I have been using this form for expected move as % of spot: for down move: exp(-ATM_VI*(days/365.25)^.5) ; then exp(ATM_IV*(days/365.25)^.5) for move up. I think many people use the 30day IV (instead of the ATM IV), which may be an adequate method if you just want to get in the ball park and...

No. But thanx for the consideration. I made access to it public (available to those who requested it) for about a year via a Slack BOT until Slack made changes that invalidated one of their API methods. I have enough tasks already and loose enthusiasm when vendors break their previously...

taowave: When did you first discover that? I just uncovered that this week and curious how long it existed. Had I known that existed last year, I would not have expended the effort to code my own.

No. I developed it for personal use.

Should you know your target underlying Price, time, and IV at your target exit, you are welcome to provide the details and I can run thru my simple tool for risk-defined simple options (long call/put, vertical spreads (debit and credit), and symetrical butterflys. The tool parameters shown below:

Need minimum of three values. 1) Date and time to exit. (or tight range) 2) price of underlying at #1 (or range) 3) IV of underlying at #1 (ATM-IV for this is most precise) (or range) With the ranges, if ranges are not tight enough, you will observe dismal results. As stated before, nailing all...

Likely related to lack of liquidity. B/A spread is high VS mark (.15/.475 31% currently). -- Seems to result in more sluggish movement for the option price. -- Just an observation. -- Like slack in your tractor's steering wheel. > 1/4 turn gets problematic to plow straight rows.

My 2 cents: It seems your edge would be the reliability/accuracy of your expected spike in time and quantity! If you have those, you may be able to exploit, but without, IMHO is knowingly drinking the lethal koolaid. Some people do this, and IMHO, they are sometimes lucky. Predicting when a...

Assuming you want to enter position on an elevation in IV (VIX should be adequate), and close position early if you hit some target value to ride volatility swings? -- If done well, may be able to rinse/repeat on about a weekly rate, and if timing a bit off, have to wait longer. -- I did...