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But you must be mistaken. Since 1999 on average once out of every four *DAYS* QQQQ pulls back >1% (compared to previous close), so you’d be ready to buy on average every four days and hold for seven? If you will, link to the Yahoo thread.

I wasn’t addressing anyone in particular, just always notice the bookworms piling up when “gamma” is mentioned. No offense please. So let me crunch some numbers, meanwhile does this chart really look random Brownian to you?

Aah, I didn’t know this was you. Circ. = 4 * side

Nice analysis. You noticed there is 14,607 OI on Feb 30 calls as well right? When were these initiated? I will do some number crunching this weekend. BTW, who still doubts expiration pinning? PS don’t bet on the “board experts”, they’re busy calculating greeks :)

For the IV, divide the number of days to go by the strike price, then take the root. Keep us posted about your site!

It must be the grace of online anonymity that allows such honest, unrestrained ignorance. It’s a pity the “people who claim…..“ line just stopped the tears from filling my eyes......

actually they use Binomial (100 step) for Am, BS for Eu

i_repeat_ _ _why_need_this_ _ _over_ _

Thanks for your reply. Yes it’s happened, as described in the example, but also with execution ending up at AMEX, which turns out better because AMEX charges no taker fee, in case of QQQQ that is, other ETF’s are charged 15¢ both make and take, and that's just AMEX, it’s a free for all...

Absolutely. Problem is that I start off as a maker (at BOX in my example) and end up as a taker (at PSE), turning a rebate into a fee. To me it seems an (unintended?) side effect of SmartRouting in combination with make-or-take. Unless I still misinterpret the sequence of events.... Hey hot...

At IB option exchange fees are charged separately from IB commissions (unbundled pricing), and for Penny Pilot Issues both BOX and PSE charge substantial fees (45¢ resp. 50¢ p.contract) for marketable orders (those that remove liquidity) while giving a 25¢ rebate for non-marketable orders...

Well, I was referring specifically to IV calc's of which (almost) all versions are iterative (loops). Calculate enough contract IV’s simultaneously and even the souped up new stuff will start hick:eek:up:eek:ing:eek: In any case nothing beats a clean feed.

Glad I could help. BTW I have found the IB numbers very reliable. I have used them for a while now in Excel (through DDE) where they even have IV and Delta separate on bid and ask. As I understand these calculations are performed at the IB plant and IV numbers flow into your PC just like...

You can choose to view volatilities in either daily or annual percentage terms. On the Configure menu, select Misc and then select Volatility Units. Choose Daily or Yearly. Apparently you are set to daily. Switch to annual for the approximate 47% : 3.11 * sqrt(252) ~ 47

Imp Vol (%) is the simple IV of the options that you're looking at, you know what that is and what you want it for :)

I wouldn't trust anyone who can't even format a simple message reply.

I understand your reasoning but aren’t you splitting hairs, especially with penny spreads? Meaning the difference in bid/ask delta showing up past the 3rd decimal? Is it worth the additional processor load (custom iterative IV calc) and consequent execution delay?

Opt implied Vol is a 30 day estimate indeed (which I’ve never used). However Imp Vol (%) is a per-contract IV calc based on current bid/ask average. I have it displayed right now in OptionTrader as well as on a regular trading page. Are you logged in demo?

In OptionTrader Configure -> Option Chains. If Imp. Vol is not mentioned in Available Columns then click Show Disabled.

He ran through a hundred and thirty million dollars -- his cash reserves, his savings, his other stocks -- …. He had to mortgage his house. He had to borrow money from his children. He had to call Sotheby's and sell his prized silver collection -- ….. and on and on. A 5-year old article...