Search results

Okay... First I had to figure out what language you were speaking... turned out to be Python... then had to dig into Python to decipher math.exp()... I think I got that figured out... then converted the code over to a spreadsheet formula... and came up with...

Thanks for your input, but I'm focused on 0DTE, or 1DTE from prior close. Even though a Saturday calculation would technically be 2DTE, I figured that would throw things off too much due to the weekend. :)

I'll work with that a little later, when I have more time. Thank you!

Thank you!

That's interesting. Can you provide a link where I can do some reading on this? Since my interest is in SPX 0DTE, I'm wondering if there is a *reasonably* reliable way to calculate ER at various points throughout the day of expiration... or whether the closer you get to expiration (the close of...

Yes, my interest is in SPX 0DTE. I used 1DTE for my calculations (from tomorrow's (Sunday's) Globex open). Using delta may be easier, but I would really like to understand the calculation part. Thanks for your input, though.

Using the numbers at Friday's close... for the contract that expires this Monday, 10/17: ATM Straddle Method Using the p/c premium mid-price for the 3585 strike: ((55.50 * 0.84) / 3585) * 3585 = +/- 46.62 ER (from the 3585 strike) = 3538.38 to 3631.62 IV Method Using the p/c average IV...

I resent that! :) lol

I agree with an earlier comment, should be able to pull this off easily using VBA.

So the hidden rows are crunching raw data and placing (in this case) either a number or an "*" in the row/column for that symbol/date... a new column is auto-added to the 16 rows every day... so the spreadsheet will continuously expand to the right...but you are only using a 3 month lookback to...

So every trading day, you add a new column to the right? What about the rows... why do you have 148 rows? And how/where does the "Series" work into the mix? Oh, I see you worked it out. Good! :)

Can you flesh that out a bit?

It would be much easier to understand if you would update your example using correct terminology (columns/rows/series), and then manually work through an example.

FWIW: This guy does a deeper dive into market analysis than most. Maybe there is something in his weekly videos that might give you a feel for when to make your next move. https://www.youtube.com/c/MottCapitalManagementLLC

Okay, thanks. Appreciate your input.

Is this legit and, if so, do any of you know how to calculate it? https://spotgamma.com/the-volatility-flip-indicator/

I thought Option Alpha was a pretty good place for beginners to learn the basics. But yesterday morning, I noticed that Youtube has pulled the plug on Option Alpha's account/channel, as in -- terminated. I bet OA is scrambling to try and get YT to reverse their decision. The OA website is...

I understood less than you, and I enjoyed it, as well. :)

Would you flesh that out a bit?

Yes. I was just joining the party. :)