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If you wish to evaluate on a %-basis then omega = (underlying price / option value) * (option delta) may be helpful: the %-change in the option relative the %-change in the underlying. e.g. omega = 5 means that a 1% underl. change causes a 5% option change.

IMO Black-Scholes will do just fine here, but you'll need to input some volatility. Or, here's a text I copied a while ago: You would like to buy a 1-year call option on a piece of land. Unfortunately, the landowner is unwilling to sell you a call option but is willing to sell the land for...

A cheaper option may be www.stricknet.com Should you run into www.tbsp.com , be warned: their database is incomplete as they remove all options that haven't traded for 30 days, even those with outstanding open interest.

Note that X is used both for 22.5 and 52.5 strike: http://biz.yahoo.com/opt/symbol.html so e.g. SIIEX probably used to be a 22.5 call and is not used for the 52.5 strike, instead a new class SIK was created. Providers show no data for SIIEX so the symbol may just be hanging in the...

t-man, no offense but if you have read and understood Taleb then you know his fund *can-not* collapse :D He also explains why in this interview

Can you arb vol diff's across months? That's new to me, but never mind. I expect splitting the months P/L won't be a problem. I'll find time to work on the code and post the results.

The idea of a true (arithmetic) IV average ( (IV1 + IV2) / 2 ) seems beyond useless to me, honestly even per expiration month. Is that really how the DOS program does this? IMO the only slightly sensible way to "average" IV is a "combined implied". e.g. a 50/70 (IV) strangle. What's the...

Got that, but what is the specific advantage of (equally) spreading risk over different months? I mean, you don't spread risk over different strikes, so why over months? I just don't see that.

An apparently simple idea has me confused. I assume the 34 cents is based on 1:1 ratio. The model turns out then your front/back month P/L ratio is 3:2 ($1 : $0.66). So you adjust contract ratio to 2:3 so your front/back month P/L ratio becomes 1:1 . Is this the idea? I'm genuinely...

Just an example to better understand: say you model having both call and put calendars on: call cal's are Apr/May put cal's are Apr/Jul long or short, ratioed, never mind the position details. Then you'd like to see separate P/L development for - your combined Apr position (Apr...

Div_Arb, I don't think I'll go for OptionVue but still curious: in OV can you model lineair IV: - for each leg separately? - with leg-independent start and end IV's? e.g: leg 1 from 40 to 60 leg 2 from 35 to 45 Hoadley can't do this, not to mention IV jumps.

Still on to-do list, just a matter of time (or lack thereof). My idea was to build on our friend gbos's VBA code (assuming he doesn't mind) and therein program: - set start and end IV - lineair IV in- or decrease, and/or - sudden IV jump or crush (and jump/crush date) for each leg...

If you like Taleb you shouldn't miss Mandelbrot, one of Taleb's favorites: http://www.fooledbyrandomness.com/mandelbrotandhudson.pdf Makes you envision 30 years from now: "Remember the 10's, when most had no clue about how markets work? Aarggh, sweet money to be made back then......."

Hoadley can't do it. In fairness it can do a lot for $70, but not what you're asking for.

Sbelmont, this was the 10th post you tout these sites that answer only the most basic Q's. Not sure what your agenda is but we know'm by now. Thanks.

nravo, there is no easy answer to your Q and BTW your assumption about delta is shaky at best. google this: delta probability "in the money" site:wilmott.com if you really want to know, but be careful what you wish for.....:)

For all practical purposes you'r right. Theoretically though, take Delta. When we have underlying strike days interest option price we agree there is ONE delta that fits the bill here. Consequently we could somehow, somewhere set up search for this delta and iterate toward it...

Ursa, I think it gets even more subtle: strictly speaking there is no "actual" volatility, either you look back (historical, statistical) or you look forward (implied). Even in the advanced GARCH etc. business you need data *series* for volatility. But I do get your point, and realize I'm...

Not a problem. I was building some code when it occurred to me that it's a 2-step process --> first IV --> then Greek. The 2nd step of course is peanuts, the 1st is the time-consumer (when processing bulk). Wayne: it must be possible to aim directly at (to solve for) the greek and skip IV...

In BS, if we know underlying strike days interest option price is there a way to calculate (any of the) Greeks without first iterating to the implied vol and then inputting this IV in the usual greek formulae? In other words, can we sail around explicitely computing IV if we don't...