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I agree with Martinghoul. The derivations are numerous. You are not seeking the "correct answer", but their specific derivation. It also seems each provider's derivation is unique. Regarding interest rates: I had been using the FED rates for my calculations, and recently switched to LIBOR...

sle: the livevol 1min data for SPX only is about $1K + a small yearly fee to get overnite updates. (Raw data, no greeks); I agree on doing the calcs & Greeks myself. Less fine granularity drops the price.

I am also considering purchasing historic data, but have a ton of work to complete before I'm ready for it. -- The devil IS in the details!

Diamond: I thought ONE only went back to something like 2010! (I may be mistaken). Note: there were no weeklies back then, those began to dribble out much later (check CBOE for when each were introduced). To test thru 2008 crisis "properly", may imply you need LiveVol's data (which I think is...

clarodina: This is the standard RTT trade, referenced on CapitalDiscussions. I coded this in Perl and use Gnuplot for the graph. Gnuplot has 3-D capability, unlike Excel, and is free.

clarodina: That is the expiration graph. The peak is at the short strike of the Butterfly. The short strike is your liability on the butters, and when short strike at expiration is spot on with the underlying price, you have no liability and you cash your lotto ticket! Note: probability of...

Gambit: Thanks for those links!

When I look at that stuff, my eyes glaze over then I nod off! Above my pay-grade as well. However, it seems some of us lay-people may fairly safely trade volatility by just looking in the rear-view mirror after big events! (regression to the mean, works better when you trail an extreme). --...

If they are the identical product: YES, else NO. (check the OPRA code if on TOS) References below specific to "S&P500 Index" When you say "monthly", it is not clear if you mean standard monthlies, and for what product. For example, monthlies for S&P500 Index can be AM settled, or PM settled...

Here is a 3-D P&L graph of a BWB on the Jan 31st SPX weekly.

If you think about it, the graph of the T+n Y-axis is the P&L, which is merely the summation effect of the option(s) estimated prices at that time. If one uses B&S model, then most information to derive that option price is known, except for the volatility input (which is typically supplied by...

Typically, the T+n has many assumptions, the most important (IMO) is the value to "assume" for the IV 21 days from now (for the T+21 case). The standard practice is to then use an option pricing model, such as BSM, and plug in the parameters (Interest, yield, IV, Time to expiration (This is set...

RGLD: I'm guessing you are observing options on non-liquid products, or observing after market bid/asked prices. A while back, I was trading long CALL options on TUR (ETF), and seemed at the time to be "liquid enough", then one day saw the BID prices during the day drop to more than $2 under...

IMO: No! You may receive the BID if you place a Market order. Also, since you may not be able to guarantee that observed BID will persist until your Market order is executed, the BID can change! (A large sale, can exhaust the observed BIDs, resulting in your fill becoming lower).

Been there done that... Though I placed trade X. When I actually placed trade Y. TDA/TOS does not "slap you hand" for improper orders as much as you may think or wish! (They have some "undocumented features" that can create some trades that are quite surprising ;-) )

I suspect Robert is correct! You should have at a minimum: For margin, and option trading. (Above from one of my TDA accounts)

One standard option contract has a multiplier of 100 for the underlying. Seems you are confused on what an option is. See comment from water7. The commission you state is not bad at TOS if you are doing that size of SPX contracts! However, I suspect you are NOT doing that size and are off by...

OK. I sent the reports small enough to upload here!

Google "stock split" for details. If "reverse split" change is different.

Sig: This topic is beginning to get traction. Some people are digging into this subject. I am still studying it and have no "take-aways" yet. Apparently the behavior of the steepness with respect to volatility has changed in the last few years. I have heard of theories that seem logical...