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Curious if there is a point to this post? If your intention is to understand how VIX is computed, why not observe the white paper that defines it. "https://cdn.cboe.com/resources/futures/vixwhite.pdf" Your formula missed two attributes of the actual form: 1) the algo for discarding zero BIDs...

If you gain trust in the IV provided by the broker, you may be able to gain some insight by looking the the skews. Here is the current skews for the 18DEC from TOS for reference. -- I am not suggesting this has much value, but it may provide another perspective. With time, you may find some...

Is this a hypothetical question; since the option B/A when the option market is closed has little if any reflection of the actual market? (the IV is likely derived from price inferred of the B/A). Perhaps if these was taken during trading hours, you may get meaningful responses. -- Observing...

Metrics can aid in comparing strategies and modifications to strategies. For some of us, we prefer to understand why something is working as well as why something is not working so we can make better decisions. Each person's preference may vary wildly on what constitutes adequate for them. My...

May be beneficial to think a bit more of the metrics that are helpful and well understood in quantifying strategies. This can aid in reduction of noise (nonsense) in your quest for improved strategies. You may find you prefer a number of metrics to properly quantify a strategy. I like Profit...

You can do whatever you want to do! However, different strikes and different expiry's are NOT the definition of a Straddle!

IMHO: Identify your edges, then determine how to best exploit them. As simple as practical but no simpler!

What is your data source? Please post what you are referencing. IFF your source is indicating different IIV for ATM between PUTs and CALLs for SPX, this may be the source of confusion!

Curious why you wish to neutralize vega if you are trading VIX options? Isn't your trade designed to profit on volatility changes in your direction? When trading volatility, I typically try to maximize vega on entry while effectively shorting volatility.

Me thinks the statement was a poor attempt to generalize. IFF one considers "S&P500" as "the free lunch of diversification", then his comment would seem slightly more palatable. I find no value in the referenced statement, but did not read the entire article.

IMHO: For any strategy: it is wise to understand why it works when it is successful as well as understand why it does not work when it fails.

Campaign calendars typically imply reusing the long dated term 2 or more times, hence a campaign. (can allow you to roll the short term a couple times or so during the trade as that leg approaches expiration).

Problem solved: "https://www.indra.com/cgi-bin/spikes-8-ball"

"https://datashop.cboe.com/options-data"

I don't see a timeframe, so will plug in 90 Days and expect ATM IV on target date to reflect that of the same term options today. Here are the top Call candidates sorted by Return on Risk if your price and the 90 day time actually occurs. Some options may be excluded from this list due to...

Missing time horizon for the target exit! (Needed for time projection and for insuring proper Expiration is used for the options) -- Provide the Security as a "hypothetical" example! Some $200 priced choices: MSFT, VRSN, WDAY, V, ...

I don't think you understood what I meant. There is no correlation to what I posted to "actively trading"! For example, if your reliable projections indicate a specific debit spread will be an ideal trade candidate, then you could purchase that spread, then place a GTC limit order for your...

The three variables that must be known for precision are Time, Price, and IV! Typically each of these will have some uncertainty (as are your plotted examples above for price). However if your projections for time are to the instant (to the second) AND all occur precisely at Expiry, then you do...

You may want to "re-think" your objective, to insure you are not "getting the cart before the horse"! 1st Hurdle: Are your projections accurate? Have they been actionable? And if so, any reason to think they will not remain actionable? 2nd Hurdle: If and only iff you pass 1st Hurdle, then you...

If you are desiring to capture the Closing price of the first bar (far left) of your chart, you can reference First(close)! Or you could do something like def FirstClose=if(barnumber() == 1) then close else FirstClose[1];