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Thank you for the clarification. Most of what you say makes perfect sense. I think the delta based skew makes most senses for floating skew commodities such as crude and grains. Not sure if vol or skew is time-to-expiry dependent. Like any other traded instrument, the vol, term structure, and...

So I ran the SK10 calculations for WTI Crude Oil - SK10 = [Vol(ATM) – Vol(ATM – 10%))/sqrt(DTE). I have a real-time data grid that shows me the Normalized 25D RR [IV(25delta) - IV(75delta)] / IV(50delta) live for every automated curve fitting publication. Although I think the SK10 helps...

Thanks. I will go through this thread for a better understanding.

I miscalculated, a strike K that is 10% away from the spot can be significant. But using the same strike across different maturities with the same underlying will give you very different deltas across the term structure. With very a low delta strike closer to expiration, and obviously bigger...

Curious about the SK10 measure for skew which I am not familiar with. Have always used the normalized 25RR for mainly floating skew products. If SK10 = (Vol(ATM) - Vol(ATM-10%))/sqrt(DTE)) is the correct formula, does this mean I am only taking one slightly OTM strike K that is 10% OTM (K/S =...

It's clear that the SKEW index is in general negatively correlated with the VIX index. It doesn't make sense that it is labeled a "fear" indicator when it measures at extremely high levels while the market is most complacent and not worried about a correction (when VIX is sub 15), and has low...

Thanks for responding. So prior to a stock market correction, in a low vol environment (VIX between 10 and 12) would you be better off purchasing an OTM call trading at 8% delta-neutral (fully hedging the delta to lock in the extrinsic value) or purchasing a much steeper same delta OTM put...

I haven't traded stock indexes (SPX, NASDAQ-100, RUT, etc) or stock options in awhile. Can someone give me a quick refresher on how their implied vol curve and shapes (in general) behave? Is the curve or put skew (relative to the calls) likely to steepen (higher slope values between strikes) on...

How do you execute those? Pick the outlier IV bumps and potholes on a 3-D term structure graph and just sell and buy those spots? That's a pretty cool idea.

Thanks for the suggestions. Bloomberg and Orats are two good choices. Will look into both. Can't execute trades on either platform though. I also need something that will give P&L scenarios with max loss/max profits, and a risk and position analyzer for my basket of strategies/underlyings.

Anybody have any suggestions on which data provider to use for options data? Other than the obvious historical OHLC, I would like a service that provides accurate 30-day weighted IVs (preferably utilizing current VIX calculation to individual stocks, indexes, and commodities), and screens out...

Thanks for all your feedback. Let's say I want to start with trying to accurately estimate realized vol in commodity futures, and would like to utilize the yang zhang methodology. Any examples how I could implement this into an excel spreadsheet?

I'm trying to incorporate the daily high and low ranges in addition to the closing prices to get a more accurate idea of 1-week and 1-month realized volatility for an instrument. Any suggestions or links on how I should do this? Using just the closing/settlement prices is simple. but it leaves...

We need a revived bearish sentiment on the economy and stock market in order to revisit the lows. The only way this happens is if the Chinese downturn accelerates and brings the rest of the world down with it.

So is this finally the bottom for crude? Everyone is saying to sell the rallies and that $50 (WTI) is the ceiling going forward. Do we see $40 before we see $50? The general consensus is that $40 is the absolute lowest WTI could go, and the whole world will be buying there. Not sure if the...

After we break 45.60 next stop is 42.50 then 40.00. I'd maybe be a buyer at 40.

Good call. Take half the cash you raised from selling all your over-inflated assets and stick it in a trading account to cover your "haircut" from all the overvalued stocks you shorted. Buy put options, and sell call options to finance them. Load up on VIX calls if it ever gets below 12 again...

Not sure if Hull Trading or Timber Hill (now Interactive Brokers) executed with obvious great success with what I am trying to do, but they both made hundreds of millions trading a massive options book with a "big picture" approach. I used to trade with both entities all the time during my time...

Of course each instrument has its own nuances and market behavior. The goal is for the trading program to discover and recognize each individual commodity or stock options implied volatility tendencies over a long period of time. The more around-the-clock data you can accumulate, the more...