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One method to normalize metrics for returns is to use return on risk capital. A method of quantifying risk is 2X the shorted price, another is to use risk associated with at 2 STD Dev move. In your example the two would be close: risk is (20 (2X short price) - capital from the short)=10 which...

As Mrs. Madge use to tell us (quarreling kids) in Sunday school {back in the 60's}. "Y'all don't kiss now!"

SPX is AM expiration while SPXW is PM expiration.

Assuming "(lets say 1,4 max)" is 1.4, then Buy 70 delta ITM Call and finance by selling -70 delta ITM Put for leverage of 1.4, but pick an expiration providing you adequate time.

It seems the issue is you are using BID and ASK after the market closed, so they are not relevant after market has closed (need to be captured at the close while they are still valid). -- I use simple process for interest rates adjusted to the term duration from the daily values from ivolatility...

Can you provide the time of that sample? Something seems off with your data! The time to expiration (and value of spot) seems to infer price from close yesterday, but the price of the PUT and CALL don't agree, so unsure what the reference point in time really was! -- Below I post what I find...

There are likely good reasons the spread is wide! I see no value here even if you could get the ASK!

If you post the specific option, you may get more practical responses.

I am unfamiliar with AEX, but guessing it behaves similar to SPX. IFF you are interested in trading Vertical spreads ..., then that zipped html post earlier shows similar interval on SPX (which moved about the same % as your reference for that time interval) to get feel for best widths for...

Thnx! May take me some time to process adequately. Am close to agreeing with vol being of secondary importance for SPX.

Without specifics from OP, I look at entry last Monday at 11AM Eastern (as OP states Monday AM bullish entry) and I chose 1600 Eastern Friday as a close and examine Verticals where one strike is ATM and other is OTM for all possible strikes to observe where the fodder would have splattered. See...

If one only knows direction and timeframe, but not magnitude of a move, it is not clear to me how I could create alternative credit/debit spreads with same performance characteristics. Am I mistaken? Knowing only direction and timeframe, I would likely place one leg ATM, hence my "Knee-jerk...

Knee-jerk response -- {without much thought}: Seems you are trading SPX. The most obvious choice, seems to be simple Vertical spreads. Debit spreads if your directional change trumps adverse VIX changes, but expirations need to be short enough (but not shorter) to capture your move. Credit...

Take with grain of salt, as I am not proficient with time spreads yet. You chose the strike associated with where you think the underlying will move to by the time you plan to close the trade. The choice of PUTs vs CALLs "should" not matter unless you develop a preference. -- Most of us...

Looks like he has now blocked me as well! The quality of the posts I see on ET should now improve! -- Win/Win

wrong & wrong, but you may believe what ever you wish.

Beware you are considering 210 days, yet you are ASS-U-MEing 0% interest injecting significant error into your numbers, especially as interest rates are being jacked up fairly significantly and often lately. An additional simplification would be to use same strike for call & put to nullify any...

Ah! you are paying attention! Good eye. YES! See partial response below from my script info. # #hint:<b>Realized Future Volatility VS Implied Volatility:</b>\n Shift Anualized Historical Volatility to produce Realized Future Anualized Volatility for period X Bars corresponding to IV...