Search results

The reason behind your post remains unclear. I use PUT CALL parity for index options to improve precision of IV (and subsequently greeks). The actual values for "stocks" and "bonds" in your formula do have some moving parts. If you are targeting expiration's of 6 months or less, then...

Have you looked into trading > 7DTE, allowing more 30delta Reading between the lines, you enter trades with <= 7DTE? --can you not alter your qty mix to effectively achieve your desired Delta? Your response implies you have identical issue with SPY on your requirement for "pricing", correct...

Have you considered SPX? & if so, what is issue with "pricing"?

IMO: Using "last" on thinly traded options seems a bad idea, as it could be your own entry, and/or be days old. For liquid options, the MID is recommended, but for thinly traded, you may wish to consider a price that you expect to be able to get filled if you want a pessimistic value. --...

Glossary please for "IOW" and "AIV"? IOW: "In Other Words"? AIV: ATM IV?

Didn't ProShares already rape holders of SVXY and UVXY? 1X & -2X CHANGED to 0.5X & -1.5X respectively without warning! While the leverage was nice, it was not reliable! Barclays, with VXX, has been trustworthy! Pardon for the sour apples.

I don't trade SPY, but do trade SPX. The IC's I examined have negative expectancy, so I don't trade them. Curious, why you are not trading SPX instead of SPY, if you typically have 10-15 contracts! -- will save on commissions and have better tax impact.

Consider side-stepping the issue by trading cash settled products, such as SPX and XSP (if/when it's liquidity is adequate) {Instead of SPY}

Holidays occurring on the 3rd Friday of the month are rare, but do occur: (none on next year's horizon, though) Below is last occurrence, which may be a curiosity if you do backtesting.

If your intention is to be comprehensive for SPX options, don't forget the EOM's (Last trading day of each month) as well as the shifted expiry's due to holidays.

Correct. While they both expire tomorrow, the Monthlies are AM expiration, while the Weeklies are PM expiration. You will not be able to trade the expiring monthlies after the close today! In TOS, also note the value in parenthesis (0) VS (1), which reflects the Days remaining! Also note the...

about 6.5 hrs (but more like 24 hrs) difference. You are aware the "traditional" monthlies cease trading today, correct?

Agree that TOS is a very "busy" tool, and can be overwhelming. A nice feature is you can "test" with the TOS "PaperMoney" (simulated trading) interface, to work out details such as these more complex conditional orders before using in the actual trading platform! {ie... Test out/validate the...

Yes! however, it will be a limit order, so is possible the market can run away from you. I have used it successfully for SPX verticals with a 25 cent offset from the Mark (trigger based on SPX spot price), and have not been bit yet (but "knock on wood")

While what you state may be adequate for your trades, some of us are uncomfortable with market orders on options. Have you considered using limit price offset from the MARK which is present at the instant your underlying trade signal occurs? (the offset is how much you are willing to "cave"...

I see the issues as well, but do cleaning that has been acceptable workarround for these specific cases for me! (you are NOT alone!)

From your statements, it seems the TDA API would be your IDEAL solution! Time to extract SPX chains about 1 to 4 seconds (you should verify the response time yourself-as my memory may not be correct) I am "guessing" you do not have access to the TDA API, or you would already be using it. --...

"...entire option chains for perhaps 100 underlying" is still a good bit of data, and I expect if you really mean "real-time", you will find it impossible to accomplish 100 underlyings at a specific timestamp! TDA's API may provide what you need, but you will need to sequence thru the...

If you have TOS, just use the stock scan with exp min set to your target DTE spec.

Is this from CBOE LiveVol or some other vendor? -- I think LiveVol may be the most reliable source! Also, can you identify the quote (time/date and option with the missing ASK value? -- I will compare to mine! Also, note that if you are using a quote after the option has expired, you MAY...