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I don't think they disclose that info, and likely desire to avoid any contractual commitment to provide it. I have noticed over the last few years, that the information they provide is not constant, but for some unknown reason, lately it seems reliable. I hope it will continue to be reliable...

What is your source of this information? Can you elaborate? -- I'm as curious over how you obtained this info as I am the info itself.

A couple things to consider: 1) What are you looking for? 2) What are you displaying in TOS? I suspect, closer examination will show that (1) is NOT equal (2). Your TOS "Risk Profile" is merely showing results of expected PnL with a number of assumptions on a specific date. Any time one...

The single expiration handling for Max Risk is simple, merely pick worst case of the Expiration Risk!

Since my current trades are lumped into specific expirations (don't have any single strategies spanning multiple expirations) {no time spreads} I can merely use the expiration to determine max risk, and total all strategies for a conservative MAX risk. This allow me to use the MACK truck...

Since you are short one expiration and long 3 of another expiration, it is unclear to me what kind of trade this is. Is this construction one of your typical trades? -- It is greek to me. Understanding the trade may help to properly quantify the risk. IE, if this was more of a calendar or...

Robert: The "link" is via RTD. Example formula in Excel is: =RTD("tos.rtd",,"BID",".SPXW161227P2550")

To my knowledge, TOS is only broker that supports RTD. And is only broker supporting historic data via RTD. You can purchase data from Livevol (and perhaps others), that may result in less work.

With TOS, you can RTD to Excel, and can manually set date/time to access historical data. (Excel is there only to allow automation of the data you access)

RGLD: Do you have TOS and Excel?

I may have misunderstood your question. -- I Thought it was related to the expiration date! Personally, when I consider MAX Risk, I do the evaluation based on the specific position/trade, not really a portfolio Max Risk. (I use a sloppy estimation of portfolio risk as sum of all position...

RGLD: I don't trade nor do I like Calendars! To me personally their behavior is odd. The basic idea behind calendars is related to the time-decay of premiums. The time decay (assuming price is not changing) accelerates as you approach Expiration. Therefore the Front month should erode faster...

Regarding ".. the strategy that I think ..." For what its worth, when I began option trading (about 2 years into it more in-depth efforts), I attempted the opposite; that is to determine areas that seemed Less likely a personal fit (trying to narrow my focus), and determined that Butterflies...

Look at the Date on your expiration plot! It is 01/21/2017 <-- The TOS default is expiration of shortest term option. One way to observe the RISK at expiration of the April option is to set the date to 04/21/2017.

Another question: What accuracy do you require for the spot price of the Underlying coinciding with the Option feed? Since you state you pull down the entire option chain each time, you should be able (with adequate processing and robust algo) to derive very reasonable underlying price...

Ah! You will need slightly different formulas, depending on Dividends (discrete or continuous), and the amount of the dividends. The formula above produces a value which can be put back into the B&S formula in place of underlying price, for continuous dividends, such as SPX, without having to...

frostengine: Some of us are curious of the basis of your question! -- Attempting to verify someone's claims, perhaps?

You can reverse the BSM model for the price, or you may be able to do this easier: Exp(-RT) * X + (C-P) Assuming you have good Interest rate data (such as LIBOR) for R. C & P are the Call and Put prices (Mid prices may be adequate), and X= Strike, while T is time to expiration. NOTE: This...

What is your point?

Agree with Bob for shorter durations. Most of my current option trades are closed by 15 DTE (starting 70-80DTE), so I am currently using integer values, but plan to migrate to fractional values as I improve my accuracy in other areas as the effort is justified. I have been using Calendar days...