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Sorry, I don't recall if they disclosed the minimum account size. The account I applied it to was larger than that, so 100k "may" be the lower limit.

Correct! I did enroll! Was easy and fairly quick.

FWIW: I had similar, but much less drastic experience with the low HTB fees at TDA. I think they may have been something like 2% or less when I began using them which looked very good to me, and one day observed 13% with like a 4% increase since prior day (I had ceased monitoring the daily...

Scary that the fee was not discovered till closing the trade. I have TDA, not Schwab, and they disclose the HTB fees charged each day. I don't trade GME, but the products I short have rates that change each day. To control my position cost, I have switched to using synthetic shorts (using...

When examining, do not forget that the price of the option is also function if the IV of the option (the two are not really separable). There is NO magic. IMHO: It was helpful to me to consider BSM as a good way to express a single point, with zero unknows. If you provide the correct inputs...

This may be TMI, but perhaps it may help. I looked at recent SPX data with different IV to provide view of delta with respect to Moneyness. Zipped HTML file with 2 scatter plots. Hover mouse over areas of interest for detail. -- OTM% should not be mistaken for delta.

I have not seen that book. The distance of a strike from Spot price for a specific delta is also impacted by skew.

I misread and incorrectly picked the -0.05 delta. apparently the -0.005 delta was intended as newwurldm points out.

Knee jerk response: Since book was 2013, I look at June 4 2012 closing prices as a ball-park. Using TOS thinkback: 1278.18 (Spot)/960 == 1.33 ish. I have not looked further, just noting what I see.

My bad!

Some thoughts: None ideal. With TOS, you can place a GTC contingent order to enter a trade (say purchase 17 25 strike Aug Calls) IFF UVXY price > (computed moving threshold), to capture the beginning of a vol spike event. -- This is an approach to placing a Just In Time hedging trade. I did...

Very Interesting topic! We need a process for qualifying what data is expected to be useful going forward, and fit from that, and identify what data may be unproductive and refrain from using that. -- not an easy task

I like that you are shorting UVXY (has been a favorite of mine for a while), but sizing with Kelly criteria should relate to your specific trading strategy IFF if you have enough history and variance confidence to expect that to play forward. For example, I had a trade using UVXY that I used...

The plot was the Extrinsic value at the time I produced that plot. IV skew IS included, as this was real-time data, not some "model"!. Don't take my word for it, plot it yourself!

Why not just observe? Here is Extrinsic value of SPX PUTs for the 17JUN expiry for reference.

They are not independent, but the normal usage ASS-U-MEs all other factors remain the same! So delta will be very close IFF volatility remains constant. Vega will be fairly accurate IFF underlying price does not change. -- Most people prefer to ignore the "IFF" part!

A quick check indicates the lowest ASK found using 1-min bars of .31. But some trade(s) did occur at .30. See TOS Chart below:

Did you also backtest the actual trading interval to insure the backtest of the actual trading interval were identical (or believable)? If they do not match, your backtest is flawed.

FWIW: A new product began trading recently (UVIX & SVIX), which mimics the behavior of UVXY and SVXY respectively prior to their castration in early 2018! -- Liquidity in their options is currently poor, but likely to improve with time.