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I would advise you stay away from both endeavors, they're not for you.

The only reason to pay theta is to have the opportunity to trade long gamma. If you own a straddle and vol rises and/or the underlying rises/falls you have the pleasure buying low/selling high to lock in profits. If you forego this opportunity, you are paying rent for nothing.

Bet-sizes are most often viewed as a percentage of acct net liq, eg my acct is $100k, so I want to put 5% into a trade ($5k). Most traders/gamblers use the kelly criterion to size their bets (size increases with edge). Read books by pro blackjack players, gamblers are often more disciplined...

Yes, Cave, I realize that. My point is that there are many other ways to derive the vol surface than whatever it is that he is asking re:Vix. I don't see the point of this exercise.

You cannot apply the exact same conditions to every trade, or stock you buy. You are already trading direction by owning the shares. Investors often supplement their equity portfolios with options, typically to hedge against a crash, or to amplify returns. In the above strategy, you lose if...

OP, You only have access to VIX option data? Are you attempting this just as an exercise, or do you hope to implement this in practice? There are more straightforward ways to parametrize the vol curve. I would spend your energy on one of those.

VIX is derived from the implied vol of SPX options. I don't see the purpose of backing out SPX vols from the VIX.

If you want, I can tell you to sell 5 delta options in SPX, and I'll only charge you $3.50

Tuesday at 12:37 pm, but not a moment before/after

Options are priced in volatility, ie the markets implied range of the underlying. The results of an earnings report is unknown to the market, therefore there is more uncertainty of the future range of the stock. Once the earnings are out, there is less uncertainty, so vol (price) goes down.

What about earnings?

You can back out the risk-neutral probability density from BSM. It is scaled by vol*sqrt(t), which addresses your duration issue. RND = exp(-r*t)*Nd(d2) / (k*vol*sqrt(t))

Selling, or buying, vol into earnings reports is a binary bet. Many people do it because they like to gamble. Sure, there is plenty of research out there, but the fact is that all available information is incorporated into market prices. Most studies that I have seen that show a favorable...

Are you saying that you buying (to close) the 200 call, while holding the long 100 call? If so, you are not establishing a new long position with the higher call. By closing the short leg you are increasing your risk to the downside. Keep in mind, it is not possible to adjust a losing...

You can use BSM to derive vega for a given delta (Nd1); stock price*nd1*sqrt(T)

It looks pretty close to neutral to me.

Google "Implied Volatility"

Wait for the split...you may reconsider your thesis.

Why do you want to trade this?

Cost-of-carry in the options-pricing world generally refers to the risk-free-rate, and dividend yield; inputs into the forward multiplier (e^rt). Depending on the futures contract you intend to model, there may be other financing costs to consider. It's probably not too difficult to find these...