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Are you talking about futures or futures options?

The proviso was to ratio more short legs than long legs. The assumption being that IV in reporting month implodes matched by a much smaller reduction in back month IV. If the underlying gaps from the event (earnings) this could be problematic for the proposed position :D

Just had a look at RightEdge, looks very promising, but pricey for what it currently offers: Broker execution only through Interactive Brokers. No FIX support. Prefers opentick for realtime data - still a lot of issues with this data provider AFAIK. Definitely one to watch.

QuantDeveloper used to cost $600 a couple of years ago. So, by the time RightEdge has all of the features of QD, it will likely cost the same :D

Here are the current B/As if you want to plug them in [EDIT: Yes, these are all EW options]:

Me thinks that is the problem, hence the immediate $10K loss if one were to open and close the position straight away :eek: T+0 @ ES 1360 If you can load actual current market prices for the legs, things should look better. 2 cents. MoMoney.

You might want to have a look at the following graphs by adjusting some settings: plot lines: +4 @ Day Step step: +2 DELTA (change from P/L OPEN) plot lines: +4 @ Day Step step +2 VEGA (change from DELTA) That will show you what your DELTA and VEGAs will theoretically be today...

This should be good. I've got ring-side seats.

Forgot to mention: skew displacement for different expirations can be done independently. Given there is only one strike in this position, surely the skew displacement functionality is sufficient?

You mean flat skew? Can't do that either. All Strip vols can be shifted up or down but only together. EDIT: Current market skew is used in the model.

Can't model skew on ToS retail platform :D Only on ThinkPipes.

I took the liberty of highlighting the break-even points etc. The green line is expiration risk profile. The white line is today's: So, the end result is: 55% probability of winning something. About 1:10 max risk/reward at current implied volatilities. Understanding the risk in this...

Thanks 5Pillars. I found that blog thanks to the Yahoo! Market Delta group which also has some good content on there.

Yikes! I wasn't attacking you. I won't speak for Rally though LOL. I think it's an interesting position so when you have investigated the numbers, my two questions still stand: 1) Where is the risk hole at front month expiration? 2) What is the risk/reward on the trade at expiration...

I thought I mentioned before but perhaps only in mind mind, that opening a position for a net credit as you like to do, does not guarantee a credit at expiration. Hmm...now that I've put that down in print it seems even more ridiculously obvious than when it was in my head. I mean, it is...

Take a look at the MarketDelta videos. Specifically, this video. It explains it very clearly and in very simple terms for anyone interested: http://www.marketdelta.com/recordings/MD_Simplified.wmv I'll refrain from providing any further explanations of my own as it seems to be a highly...

Yes, IB for prototyping and also once some bugs have been resolved opentick data. If you use IB, you'll need to be aware of the effect that the data bundling has on time and sales and market delta etc.

I started investigating and experimenting some months ago. Since the arrangement between MarketDelta and Linnsoft I have been working very slowly on putting together a custom implementation as I'm not impressed by the monopoly they now hold :mad: I didn't reach a point where I had a...

Well, if they don't work then they might not be juicy enough to eat and thus will most likely not get corporate sponsorship from KFC... ...but thanks for bringing the thread back on topic with the fascinating lessons on evolution and economics.

Please feel free to point out where I need to do my homework. Thanks.