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Thanks atticus. Really appreciate this. It will take me some time to decode (a small piece of) this info. So you use the flies to estimate skew and kurtosis and calendars for the term structure? Just fwiw I am experimenting with "model free" IV, skew and kurtosis, I got the Excel functions...

My non expert view on this is that the value of the option should be model indepedent. If you consider all the possible paths that the stock can take during the option lifetime, on expiry their value will be either 0 or a positive quantity. If you take the average payoff for all these paths then...

The volatility is zero on expiration and the value of the option is either 0 or S-K (for a call). But this doesn't say anything about the volatility right before expiration.

Could you give us an idea how much of these predictions are based on experience/skills and how much (if any) in some kind of model even if it is not strictly quantitative (for example if you use an estimate for how fast the vol mean reverts, how it correlates with price change etc or to be more...

I've seen the paper - looking forward to your article too. Do you think it still works for VIX? I am currently trying to test the idea on VSTOXX. Well, if I get enough historical data first

The equation is not the most general form but I used it just to show how P/L depends on gamma. Maybe it's better to think about dt as a very small amount of time where gamma is (almost) stable. So it doesn't necessarily mean that you scalp on fixed times. For example you might do the first hedge...

P/L is the expected profit over a time period dt, when you delta hedge with the implied volatility (i.e. you calculate your delta value by using the implied vol value). Spot^2 refers to the square of the spot price The difference in the parentheses is between the square of realised volatility...

If you move away from the ATM point the gamma will suffer. Check Hoadley and compare the gamma curve for the spread you suggest to the gamma of a ATM long straddle for example. The P&L equation (when you hdge with implied vol) has the form of: P&L= 0.5*(real variance - implied...

(Also someone correct me if I'm off) That would be true for a vanilla option in the ideal situation that i. you predicted correctly the volatility when you bought the option ii. you kept the option until expiry iii. you were delta hedging continuously at the vol value you had predicted and...

How would you do this in practice? Long a daily option / short the weekly? Shouldn't it be the other way round (short daily) in that case?

Not speaking German but they look like two different options with different expiry dates. (17/12 the german vs 21/12 the american) There's still big price difference but this might be simply different multipliers eg 100x vs 10x plus the currency difference

Maybe you need to control for the market volatility, say the VIX level. So the difference is mostly because of the lower VIX rather than the GOOG earnings valuation being lower. Too late now, hopefully you bought that straddle :D

Well let's say I am not that good with programming and I don't want to spend 250/mo unless I have a good reason :( Another one worth checking out is the RT scanner from ivolatility.com This is $60 a month but they offer 2 weeks for free. However it is on 20 mins delayed data feed

I should have made it clear in my post that I haven't used optionstar, just suggested OP to have a look. I had a closer look (hopefully I didn't catch a nasty virus) and it seems that its scanning application is very limited. I was looking for a scanner that can use the IB datafeed and scan...

It's still there and also more intense in the euro-VSTOXX futures. Is it because of Christmas or is it model dependent? (or something else) Would you think it's enough to trade it, if hypothetically you only rely on the spread for a trading signal

Hoadley doesn't provide the scanning function that the OP is looking for but it is very powerful with a lot of other functionality for the asking price. Except for the built-in applications there is a wide library of Excel functions available. For example I am not great with statistics but I...

I am using Hoadley but specifically for what you are looking I think you should look at optionstar. It can use the IB datafeed and scan, analyse calendars (Hoadley is not the best for calendars) etc.

Sorry for repeating myself but again the book I mentioned has a detailed discussion on this. btw I'm not affiliated with the author or the publisher and there might be other books/sources that are better. One thing to try is an XL sheet of a simulation of a lognormal random walk where you can...

Really sorry to hear that falcon. Wishing all the best for you. I hope, if I ever be 75, to be as young in the spirit as you.

Let me say first that I strongly suggest you to get a copy of "Volatility trading" by E. Sinclair where you can find answers for all these questions. However it is essential to spend a lot of time to get a good undesrstanding of the different forms of volatility. I'm probably in the same...