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If anyone is able to specifically identify a single instance where an SPX PUT option IV moved in an opposite direction to VIX when not caused by some Odd event or lack of liquidity of that PUT option, I would appreciate you contact me with the details where I can investigate. In the mean-time, I...

Can you please point to a specific example! One point in time where VIX decreased simultaneously with the increase of a specific PUT option IV! I need to observe it! I have access to historic data, so if you can pinpoint the time/date/security/strike I will be able to observe it.

Regarding: "But you can't use VIX for full computation of options prices... it's the other way around... VIX is based on the options prices/IV's." We agree!

I edited my prior response. Can you re-read, and comment?

JackRab: Vix is calculated per the CBOE VIX White paper. There is NO guessing! Not a few expirations, typically 2 and apparently 1 when DTE is exactly 30 (however, doubt that is the case for greater than a 1 minute interval) We are referencing VIX primarily since that data is available and...

Ah! We are in sync! Good to know! (I'm considering just purchasing the data for myself.)

My interest lies primarily with SPX for a number of reasons. Also, I observe IV on SPX options are related, so if VIX increases, all options tend to also increase (there can be momentary lags, and poor liquidity on some of the contracts that can cause some to lag or ignore VIX changes for a...

If you observe the IV surface for CALL's VS PUT's, you will observe that the lowest IV values for Calls are OTM (near a Moneyness value of about -0.2), while the lowest IV values for Puts are ITM (near a Moneyness value of between +0.1 and +0.2). A couple graphs below to add to the confusion...

IMO: (1) Assuming you have the time (dte), underlying price, Interest, and Dividend precisely accounted for: the error in the calculation will be a function of the error in the value of the "volatility" value you use (assuming a BSM like equations) (2) Regarding "LAST", you probably do NOT know...

Regarding "interpolating" the interest rates to precisely match the DTE of the options... Consider this first, which implies it may NOT be the proper thing to do. While this context (CBOE VIX White paper page 5 of 23) is used by CBOE for deriving VIX; my best guess would be to not...

TOS via RTD directly into Excel.

In a prior post here, part of my statement included: " To calculate would be overly complicating it, ..." That was a poor choice of wording. Should be: use the method that provides results most closely matching the actual option pricing. If using available interest rate time increments is best...

IMO: The OP is merely removing error from his calculations (reduction of "Garbage In"). Suggestions to increase error by using improper inputs to BSM or ignore it suggest lack of understanding.

I use "https://www.quandl.com/api/v1/datasets/USTREASURY/BILLRATES.csv?"

When I had similar thoughts as you on this question: Should I interpolate the interest rates published by the FED to precisely fit the days of interest; I considered that it may be better (and possibly even more correct) to pick from what is available, rather than creating an "ideal interest...

I merely lookup the appropriate rate that fits the number of DTE using the Fed Funds rates provided. No calculations, no guessing. To calculate would be overly complicating it, to fail to use the data adds error IMHO. Free downloads are avail from Quandl (and probably others) for historic...

I do not day-trade, nor do I day-trade options. Curious to trading SPY options VS SPX options. One would think SPX options would be preferred to reduce commissions costs. The liquidity of SPY options is much greater than SPX, but is it better than 10X for bid/ask spread? Also curious why...

I use it in my trade tracking currently. See RISK and ROR added to my trade tracking below (which is based on the new equations). probably too much information...

IMHO: Neither question is specific enough for a Boolean response. My thinking, goes something like this...: Even IFF one finds a trading strategy that is profitable and worthwhile for them, there exists a substantial amount of "noise" that could prove detrimental. So, for me, If something is...

No additional comments needed. I just completed coding it.