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I don't think I don't think this is possible with exchange-traded plain vanilla options. You're going to need someone on an OTC desk to quote you an exotic that locks in your short-dated IV and begins (starts) at a later date which you specify ("option contract dec").

Where's Philo Judaeus when we need him?

The only way to find out is to try your new delta and pricing model in the real world. Maybe start out with some backtesting, simulation or paper trading, and then on some actual trades in some targeted stocks.

Exactly. That's the whole point. Puts cannot have equal payout to calls because the stock can't go below zero. Put prices are capped, while call prices can theoretically go to infinity.

Negative - $11.34 is a 1 SD move at 1,000% ATM IV for the underlying stock or future if the underlying price could go below zero (normal price distribution).

Payouts are NOT equal for both sides for same relative distances (1 SD move). Extreme example: $1 stock, 1000% Implied Vol, 30 DTE $1 ATM Call: $.8483 | .924 delta $1 ATM Put: $.8483 | .0759 delta 1 SD move to upside: $13.34 1 SD move to downside: -$11.34 theoretically, but $0.00 is the lower...

The payouts are asymmetric because you are using a lognormal pricing distribution. They should NOT be relatively equal. The calls have a much wider range of potential values than the puts. The number of possible call prices x probability gives you the approximate expected value for the...

Not defending the BSM. I recognize its many flaws and realize its deltas and greeks are just approximations as well. But if I were to use your deltas in a high vol product or LEAP expiration, my theoretical prices would not match the market's option prices during a move in the underlying...which...

When vol is high the delta 100% reflects the disproportionate expected value of the call vs the same strike put if either one was to expire ITM...that's the whole point. The high IV call delta fully accounts for the much higher potential value of the call over its lifetime. Good luck hedging...

The problem is your assumptions about delta are completely wrong. Delta is NOT just a measure of the probability the option expiring in the money. The delta value is also determined by how much the option will finish ITM if and when it does (conditional probability). So in your extreme example...

Imagine being this guy. You'd have nightmares the rest of your life.

Good thing that thing is not an apex predator. A pack of male lions has no chance against that creature. Sheesh...

I'm not a chart guy, but it looks like it could retrace all the way back down to 1800, where the parabolic rise began. There will be plenty of buyers at 1800, as well as 1700 - the real "line in the sand" level

Let it go -$50k against you before making +$1k. Where do I sign up?

If you're a real trading addict/degenerate you can trade the E-mini S&P 500 ES options and futures from 6pm to 5pm (EST) Sunday thru Friday with only a 15 minute break (4:15pm - 4:30pm)....that's almost 23 straight hours in front of the screen. A number of S&P index MM prop groups trade around...

Good news. Predators will have to find another platform to creep.

Paid to post on ET?? Like the paid models at a topless pool in Vegas...I'm all for it.

Along with the lower commissions and better fills with the larger SPX & NDX, vs. SPY & QQQ, the tax advantages, as guru alludes to, can be significant. Non-equity options (which includes equity index and future options) are subject to the 60/40 rule....where 60% of your net trading profits are...

Crude oil has yet to benefit from any US-Sino tensions. Gold should continue its upward trajectory as China and Russia move away from the USD and dollar-denominated assets.

Depends. If curve is unusually flat I'll quote the fly or condor as a spread to lock in the "cheap" wings. If not, then I'll prefer to leg into it. Sell strangle/straddle on the open or during a temporary surge in IV, and then buy the outer legs/wings later when vol comes off. I'll do the...