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Interesting pursuit! My back of the napkin observations of a few tickers: Looking at prior 5 year daily data... Symbol avgRV avgIV %timeIV>RV HYG 6.62% 10.13% 89.24% SPY 17.61% 20.7% 73.23% TLT 14.3% 15.5% 67.59% TSLA 60.23% 68.61% 70.37%...

Waiting for new entry? Or Waiting to close the position? Assuming the latter, why not roll out in time enough for a better exit. Regarding the product: VXX fell off the wagon some time back and failed to follow it's algo regarding the relationship of the two Futures products. Unclear if the...

Thnx! Difference seems to be BSM vs Cox-Ross-Rubinstein! They are using a 365 day per year value, so that was a "rabbit hole".

This seems to match that of OP and differs from IB as well. BTW: This Hoadley model seems to agree with "http://www.option-price.com/index.php" with my very limited spot check.

After you provided your inputs to that model, to allow us to observe.... It seems you may be correct! -- It may be only issue with their days per year, but also, due to my limited observation, be related to other precision issue. -- I checked against: "http://www.option-price.com/index.php"...

my 0.0002 cents 1) contraction 2) spike (more contraction days than spike days) 3) spike (duh) For all asset classes -- have no clue, as I am unfamiliar with "all asset classes"

I am no expert, but you have the wind against you on a few fronts here! 1) You are likely using data from more than one source/derivation (delta's VS IV's) {error magnitude is greatly increased due to apples/oranges} 2) You are trying to estimate very short term movement. Very short term IV is...

If you have a good ATM IV value, you can use this for the 1 sigma move down (EMDwnp) and up (EMUpp). # Where V is the ATM IV, you would set NumSTDs to 1, TimeinDays is a real), is likely close enough for very short durations where you can ignore interest rates...

Just noticed you are referencing Monday's expiration! You are also hampered by proper handling of non-trading days which seems to be a sticky wicket! -- I retracted my earlier post of ATM IV which was for different expiration. Monday's expiration data from Friday's close has excessive error...

IMHO: It really depends on what "YOU" are looking for! Most seem very sloppy in vague references to what they want, and then muddy the water more by using crapily constructed metrics. So, expect if you can drill into specifically what it is you are seeking, you can arrive at an appropriate...

FWIW: I had similar thoughts to OP a few months ago, with the inability to place new short positions when I needed a new entry due to Hard To Borrow (HTB) issues from my broker preventing acceptance of my order. Even after enrolling in their Hard to Borrow program. The extra incentive to seek...

For positions you expect to hold short for some time (days/weeks/months), and the underlying has options, consider using synthetic shorts. IE if price is say $50 ish, sell the 50 Call and buy the 50 Put using an expiration longer dated than you expect to hold the position. I do this for NTB and...

Damn, your good!

What number is my 2nd cousin thinking of now? AKA: Insufficient information provided.

I tried a few variations of hedging with mixed results and decided typical hedging was not for me. I find betting against myself (hedging in opposite direction of my trade) confusing and illogical. I now neutralize or partially reverse my position when the "fit hits the shan", and this is a...

IMHO: The extreme lofty premiums of those PUTs makes holding them for long term unattractive. Selling a weekly PUT would have too high a likelihood of being challenged to make a nickel seem that worthwhile. Have you looked into shorter term (under 100 days) call credit spreads for swing...

Are you interested in precision, or just gross approximations? Here is what I currently use: # Compute and return expected moves as well as the % # Thx to Jacob Perlman (from TastyTrade video) #...

Agree that TOS is unreliable after hours! The BID/ASK is not applicable after hours (unrelated to price as no trades can occur), but still being used in TOS computations results in (Garbage in Garbage out) grief to those not aware or remembering this. One would "WISH" these expiry IV numbers...

When I asked TDA a couple years ago, IFF they used the same form as that described in the CBOE VIX White paper (single expiry, not the average), they said they did! However, I think they told a "white lie", as it does not precisely jive, but is likely close enough. -- I used the VIX White paper...

Reading between the lines here, but since I do not know your broker, the rejection reason may also be inaccurate! I think you indicated you only have a cash account, and may not be cleared for trading spreads! So, possible that is "actual rejection reason". Check with your broker to be sure.