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I will take a look. I started a td ameritrade account

No, google sheets. However, I implemented a black scholars tool using google apps script, kind of like Visual Basic for excel. However, apps script is just JavaScript. Thanks for the feedback. I will exit some of these trades soon

Yup, that's the graph I was looking for! Thanks. There seems to be meaningful variation in the 10 day IV, within the 10-day life of the option. In my naivete, there sure seems to be a trade there. But I often have trouble unraveling the magnitude of the competing greeks. Sure, the IV on the...

Trade 5: Bear Call credit spread on SPY, 23 DTE. Short vega - expecting IV to calm down after today's spike (VIX to 19), so if SPY rises and vol drops, I will be somewhat protected. If SPY keeps falling & vol rises, I am strongly short delta, so I still win.

Interesting. Here's a plot of ATM IV, for 11, 50, and 100 DTE. You can see the slope of the ATM IV vs DTE increasing and decreasing. It looks like the variations are roughly weekly, but I can't say for sure. Maybe it is as simple as "the curve flattens every Friday" or something like that.

Yeah, I like that dude's stuff. I need to watch (or re-watch) that video.

For the last 20 days I've computed (using sticky delta) a volatility surface -- IV(K-S,DTE) -- for SPY. (20 days is a pathetically small dataset, but I'm a cheap-ass, and haven't bought historical IV data.) For each day's volatility surface, you can subtract the average IV to compute a "skew...

The information here is golden. I really appreciate the expertise dump, which you probably can't get in a book. I know they're paying you all the big bucks to teach the trade to perfect strangers. :rolleyes: Question about signs on theta/gamma. negative theta (bad) / negative gamma (bad) =...

Thanks. I originally had this formula in my Franken-sheet, but the normalized vega values so often seemed to be zero, that I thought I had an error. :rolleyes: If I want to understand the sensitivity of a complex option position to volatility, is this normalized vega "the answer", or is it...

@jamesbp sorry to be dense, but would you mind clarifying this formula for net normalized vega? Say I have: long option 1 with 80 DTE and initial vega of 0.86 short option 2 with 17 DTE and initial vega of 0.40 Is net normalized vega equal to: 0.86 * sqrt(17/80) - 0.40 * sqrt(17/17) = 0.86 *...

So I'm stoked that the smart dudes responded. And I have not (yet) seen the word "dumb" used, so at least there's that. Maybe people are just being nice. :D See below a screenshot of the P&L and net greeks vs DTE for 3 cases: price & IV unchanged, Price up/IV down, and Price down/IV up...

I wouldn't bother trying to decipher the numbers. The point I was trying to make is that the ATM call skew is highly variable with time. Here's a chart that will make the point clearly.

I don't believe I will manage the iron condors or the calendar spread. I will probably close at 10-15 DTE, or if the underlying makes a big move in either direction. I do like to manage diagonals by rolling the short leg, and may do so on this one. But, I'm open to suggestions!

SPY ATM IV curve almost flat. Bet on steepening.

me while trading:

I saw what I think is an opportunity and I made a trade (SPY). (It was a calendar and I know I'm only allowed to trade verticals, but hey...). Maybe this belongs in a trade journal, but I figure that many of you would enjoy telling me how my premise was flawed, and thus benefit the common...

Generally speaking, is there much of a reason to trade vertical debit spreads, other than explicitly betting on an increase in IV?

Haha, guess I'm just motivated to lose money even faster? :rolleyes:

Diagonal call debit spread on SPY

I realize that a diagonal is not a vertical, strictly speaking, but with that one extra knob to turn, they sure are versatile. In your opinion, is a diagonal too much complexity for a beginner?