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That's a licence to print ! How ???

Why ?

I don't know what the fuss is about. The poster only wants to know how to calc IV realtime ! All you need is a means of bringing a live price(s) into an Excel spreadsheet, and the rest is a piece of cake - calculate IV on the bid / mid / ask price, adjust for divs / splits / illiquidity -...

DDE definition; http://www.webopedia.com/TERM/D/DDE.html There are numerous providers of DDE. Once you have the live price in Excel you calculate the IV using your model formule, and graph it. That then gives you a real-time IV smile. Only (slight) drawback is that because IV can only be...

I use a DDE feed into Excel. What do you want to know ?

There is money to be made trading options, but you do have to work very hard at it. Maybe that's why 90% fail - they simply give up when they realise there is no "easy" money ? And the next one please....

Many thanks. I'm going to re-read it another 20 times.

Just had a little play - that looks very good !

Equity index options (FTSE100). Prop trading and here is exactly what I'm after..... When I enter a new spot price into the BS model, it will generate a new option price. However, the assumption is a flat vol surface which isn't correct. What I'd really like, is the BS model to calculate an...

Sure, appreciate that, just trying to come up with best practice. No stones left unturned, and all that.

Thanks. Do you use some sort of formula to re-calculate option value using the new IV, or do you input it manually into the model ?

25d ?

Sure, but I think I could change the "strike" input of the Corrado-Su model to that of the underlying (fed from a dde link), so that the vol smile would actually move in line with underlying movement, rather than stick. Don't know, early days yet. How do you account for it ?

That looks really useful, thanks. Welding it into the BS model though might prove quite challenging - I can see lots of circular references cropping up. Unless of course, you've prepared one earlier ? Yes, it's precisely the convexity I'm having trouble with. Think that model from gbos just...

Where the volatility smile for any particular option month is known, how, or using what formula, is the option price change <i>solely</i> attributable to Vol smile (skew risk) calculated ? I know you could manually enter the changing IV into the BS model, but is there a less tedious way of...

Yes, I know it is. I think most of us here know it is. I understood your argument (+ 1 or 2 other posters) to be the contrary.... namely that one can change a negative expectancy (or zero expectancy) into a positive expectancy by adding neg (or zero exp) exp trades - can't be done, period...

Much appreciated. And in particular...... The expectancy is longer zero - it's just gone positive ! Agreed, but not as a result of your actions ! It went from negative to positive because you were dealt a "6", not because you bought a second bet.

Maybe, but this expectancy debate is in the context of markets being random, future prices that cannot be predicted, and options being priced on that basis. At least that's my angle for argument. Any "system" that the trader may use to enter or exit trades is subjective (just like TA), and...

If you can explain how that can be done PRIOR to a favourable move in the underlying I'll eat my hat (literally in front of you) ! D-V, this is and has been the crux of the argument. We all know how do do it, and everyone agrees it can be done AFTER a favourable move in the underlying, but...

I've never worked there, so I'll assume you're right. I just find the psychology strange - On the contrary, I would have thought the guy that is making the big bucks would find it quite difficult to be "angry and rude". Whereas the guy that's a complete waste of space and his middle name is...