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Shay: I just sent you a zipfile with the data and graphs privately!

Shay: I have been working on something (for a slightly different purpose), but along the way am producing some insightful info with regard to IV and how it behaves. It may prove useful to you in "normalizing" and being able to more easily observe IV with respect to DTE, Moneyness, and time (by...

Duh! You hit the nail on the head! Thnx. Sometimes it is difficult to see the forest for all the trees! ;-) -- Dividend caused the step! -- RE-evaluating my formulas to determine if my handling of dividends is proper. Thnx!

Since there were some comments regarding liquidity that seem to be misplaced, I am posting the picture again (this is 30 min prior to close), with the interesting region circled.

Longthewings: Thnx for your feedback. Unclear if your comments resolve the anomaly (which may be data or my coding error). I just re-plotted using the prices 30Minuites prior to Closing. I am posting the Call graph as well, which does not have this anomaly. The plots contain all available...

panzerman: I agree. Most likely I have an error, or the data source is faulty. Attempting to resolve, but do not have reliable data source to compare.

I have been looking at some equity IV surfaces and encountered this one, that I don't yet understand. This is a representation of the PUT IV taken on 8/14/2015 after market close for SPY. There is a discontinuity between the 4 longer term contracts VS the 4 shorter term contracts. The CALL...

IMO: trading non-liquid instruments can result in non-optimal results!!! There is insufficient data provided to give a more comprehensive response. -- Time left in the contract (entry or exit), reason for making the trade at the specific time. If at expiration, "Curtain 1", else consider...

advice from Gold Five: "Stay on target" ... "Stay on target" ;-)

Some comments: # consecutive winners # consecutive losers max drawdown The idea with the above, is to help determine if current trading results are out of band with the backtest data. (for example: if the strategy over 100 trades had 4 consecutive losers, and your real trade is on the 5th...

botpro: Most ideas on this should prove very interesting, and hopefully usable. The basic "ratcheting" / "unidirectional valve" concepts should be applicable to many trading methods. I found rolling up my long call positions for some trend trading worked very well and applied a similar...

Shay: I like what you are doing! Curious if you have resolved your IV concerns satisfactorily. You mention "instead of me calculate B&S model myself" as though that may be difficult. It is not difficult, and the formulas are available. Since you are "digging deeply", it may interest you to...

Shay: Thanks for the info from TT! It is very nice to find they used EOD data! That implies we "should" be able to have apples to apples comparisons! Also, interesting that when they "re-ran" the test, they got different (less profitable results). The response suggesting that they may or may...

botpro: Shay indicated he has EOD data, which is "kinda what I got from TOS". Most EOD data is "MID", not Traded price, so my results Should not exactly match his. I think Shay, may have similar goal to mine, and that is to use the TastyTrade reports as a "sanity check" for our Back testing...

Shay: Regarding "export" Nope! I have tried, and would love that, but TOS has no mechanism for exporting from ThinkScript, except via their "FloatingPL" mechanism which is problematic (from my limited experience), and not geared to options. If anyone has some insights on how to do this in...

Shay: I just re-ran a Back test using TOS for this. I am including the info below. I get slightly different results, but it is very possible I have errors as well. Retry of 45 DTE SPY Straddle trade test Note: My back testing does not handle overlapping trades (constrained to single...

Shay: It is refreshing to observe someone posting some of their detailed work. I did a similar exercise trying to use TastyTrade report to compare my back testing against. I had similar experience as you. I'll go back and see if I can find my work. One issue I had was "imprecise" information...

trilogic : Nice graphs! I am curious why the (Vol surface graph) IV does not correlate with "moneyness". I expected a strike axis inflection. It seems the Vol Surface is from PUTs only! (just trying to understand what is presented). IMHO: Regarding the Time to Maturity Axis... It seems to...

Shay: Some more ramblings from me here. Regarding question: "but how can i get specific IV for AAPL (or any other product) for example ?" From tos option chain as below for specifics: or from VXAPL for it's "30 day IV -- same derivation as VIX for SPX" Some of the bigger names have a 30 day IV...

Shay: It is still unclear to me, how you will be using the IV Rank, and therefore how specific/general, it should be! IMHO: Many folks that reference or use IV Rank (including the Tastytrade folks), use it as a sloppy and coarse line in the sand, and typically base some variant to a trading...