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You expect to locate a STATIC list of OPRA codes that will remain valid across multiple underlyings? I want some of what you are smoking!

Why don't you perform the same operation you would do with live data? Check what is avail, then use from what you find. Strikes tend to follow specific algorithms depending on underlying, time to expiry, and whether it is monthly, weekly, etc. Look at the data, then derive your algorithm. For...

Are you looking for impact at T+0, or Expiration, or something else? -- Seems you mean Expiration. (Are all strikes at same Expiration?)

If you need precision with your Delta value (want it accurate), you need to insure your choice for "vol" is correct (or as precise as you require).

JNJ was not a fair pick! Kinda like receiving a balanced view of Hillary from Fox news, or a balanced view of the Donald from Anderson Cooper. (I agree with your end game, but you threw tainted tomatoes) JNJ dropped due to Pfizer announcing a competing product (Remicade) to market in Nov. oh...

me thinks two lines of thought that should perhaps be independent: 1) Selling near bottom of a correction/pullback. Been there, done that, " and I don't feel much like a man, Gus." from Gone Fishing 2) Assuming one "buys and holds" to avoid #1, then what to do with the dry powder to offset a...

IMO: Has the appeal of a sharp stick in the eye for me! (not my holy grail) ;-) A bearish trade (Call Write) on a Bullish position, seems a bit schizoid. If one was good at swing trading and pick the sale of the Call near resistance, it would seem fairly ideal, however I don't have the...

I don't understand your statement. IV is the "unknown" variable to the BS Model. We can know all other inputs with varying amounts of precision. Typically, IV is solved by differing methods (kinda depends on the accuracy required for whatever the user is trying to accomplish). Some people...

BTW: The accuracy of the greeks, theta, vega, .... is related to the accuracy of the IV used. A little error can go a very long way! ;-)

First, you should try an apples to apples comparison: There are NO 30DTE options on MSFT today. There is a 28DTE and a 35DTE. Pick one, and change the calculator inputs to match. Also, you need to supply the correct Volatility to the calculator, so just plug in the one from TOS if you don't...

The BSM model for CALL is different than the BSM model for PUT. Here is a Perl snip for differences: if ($call_flag ) { $price = sprintf("%.4f",$S * exp(-$q * $T) * &CND($d1) - $X * exp( -$r * $T ) * &CND($d2)); } else { # ($call_flag iz zero for put) $price = sprintf("%.4f",$X * exp( -$r *...

I agree with Bob: If your intention was to put on a specific trade, then put on that specific trade! You made an error, merely correct your error! Your comments on what happened after the order, implies you may be rewarded if you correct your error now!

Algorithm "smells-like"; @EOD: IF (/VX -VIX) crosses below zero THEN Sell VXX and BUY XIV; IF (/VX - VIX) crosses above zero THEN Sell XIV and BUY VXX; resulting in about 20 trades/year. But very profitable.

ERRATA with your info on "gamma": Replace word "gamma" with "theta".

Algo52: Looking at your statement, I observe this: >>I want to do this as simply and cheaply as possible. So in my mind I was thinking that I'd want no payout until I reached my loss threshold. In any decline past my loss threshold the option payout would offset the loss to my XIV and short VXX...

For me personally, I enter and manage trades based on Max Risk, however I don't think most people do that! -- reading about LTCM biased my habits (leverage only what you can afford with cash to back it up) This does limit my return prospects, however! I think different brokers compute margin...

Can your quest be simplified to Max Risk, which is constant for a static position, rather than Max Margin which may be dynamic? For your credit spreads, your Max Risk is Strike separation * size minus credit received. This remains constant until as long as your position is unchanged. Max...

Just thinking out loud... If you are able to quantify a fairly precise point, at which you want the protection to begin to kick in; And determine the amount of constant drag you can afford to provide it --- using cdcaveman's response, you should be able to construct something. -- He probably...

Algo 52: Some thoughts, without providing the specific answer your question (which options to limit loss). Curious why you chose XIV over SVXY which is basically a 2X of XIV (2x leverage, since your leveraging already). SVXY, unlike XIV, also trades options (however, not as liquid as we would...

My suspicion is that Jack is looking at a more macro time frame and extending his knowledge of slower moving events to intra-day movement without re-thinking the micro dynamics of what we are addressing. <-- not stated well; Without hard evidence; and coupling with other loss of precision in...