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nxt7: My ramblings: take with a grain of salt. I would advise caution in seeking answers to non-specific questions such as this, especially on this forum. IMHO: The more I learn, the more I realize I did not know. Once I learn and understand enough to ask the correct question, it typically is...

IMO: If the commissions consume 10% or more of the profits, you may need a different strategy. Assuming you have already reduced your commissions cost to an acceptable level. (For small sized trades, you may want to insure you do not have Ticket Charges, and only per option charges of $1 or...

IMHO: I don't understand why you would think Long Straddles would be profitable an any volatility environment. -- If you flip your back test to short straddles, I think you will observe a slight profitable edge (given adequate sample size).

Well ... When you put it that way ... ;-) Unfortunately: I looked at: Black–Scholes formula[edit] A European call valued using the Black–Scholes pricing equation for varying asset price S and time-to-expiry T. In this particular example, the strike price is set to unity. The Black–Scholes...

A penny for your thoughts and accumulated wisdom with regard to "albeit with a little bit of care..."?

Robert: I think I already have my answer. I am seeking to improve the accuracy of my derivation of IV for SPX options. Since the CBOE clearly uses forward pricing, instead of spot prices for SPX in their derivation of VIX (which I have replicated to insure I understand), I think I am on the...

Nothing so complex! Merely considering most ideal values (forward price corresponding to the option contract expiration primarily) appropriate for use in the B&S model, when solving for IV (ie, solve for which IV input results in observed price). I "THINK" this approach is in agreement with...

Consider the case of using Black&Scholes model for extracting the individual strike/expiration IV for known Option prices. (Solve for IV) 1) Assume we are solving for IV, which is the big unknown. 2) Since we are solving for each Expiration, would it not be logical, and possibly more...

IMO: I prefer to examine if some trading strategy could have been successful in the past before wasting time (and/or money) with it in forward testing. -- Backtesting provides rapid feedback, however, for forward testing you must wait!

yakyakgoose : I have similar experiences. By investigation of a result or observation that is unexpected, I often gain understanding that may not have been possible otherwise. (I may have never pursued the correct question, due to my incomplete or inaccurate concept.) This is not limited to...

I am very curious why the SPX PUT Implied Volatility "appears" to ignore SPY Dividends! -- rmorse made comment that TOS does not include dividends in their calculations for SPX options. My observations seem to CONFIRM that statement. However, can anyone shed insight on why SPX PUT options...

See my current setting below for reference:

Which algorithm did you select in TOS for use in your Greeks? -- Individual IV, Volatility smile approximation, or fixed per dte? -- Compare settings which what IB uses (I do not use IB, so don't know their platform) <-- This is a guess at what may be happening.

blueplayer: I understand. That is why I am looking at traded prices during the last 5 minutes of trading (prior to 4:00PM Eastern) for resolving the basis for the anomalies observed. -- my apologies for misprinting your handle as "blueray" previously in this thread. --- BTW: It is beginning...

Thanks to all for your comments and feedback. There is a lot of information posted that is in conflict to what I currently believe to be fact (Hopefully I am wrong -- resulting in resolution, once I resolve). Three ideas that could potentially relate to the specific anomalies I am...

rmorse: I am unable to find support for your statement. It could be true, but as a test, I looked at the following as a near ATM monthly SPX option was expiring, to correlate what the options were referenced to. I observed the price of SPX on TOS, and the price of ESU5 on TOS. All prices...

Hm!!! Can you enlighten me regarding SPX options referencing ES future VS SPX? -- I recall you mentioning this before to someone, which went over my head! I think I need to understand this now! (I have been referencing the price of SPX for my SPX and SPXW options!)

I will attempt to explain. Typically, when you look for information on implied volatility surface you find reference to OTM and ATM options only, and this generally includes PUTs and CALLs, which when combined appear fairly simple and intuitive. However, if you instead observe all PUTs as a...

I am seeking a better understanding of why SPX PUT IV surface seems logical with respect to moneyness and DTE, but SPX CALL IV seems very odd! (brothers from a different mother or something) If you are aware of some reading materials or white papers covering this anomaly, I'd like to hear. --...

Shay: I am a bit confused why you are focusing on the price of the option, instead of the IV of the option. If you focus on the IV, that is the "only unknown variable". The price contains strike, underlying price, DTE, interest rates, dividends, whether PUT or CALL, which are ALL known. I...