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Atikon: program is Perl code I wrote, which drives gnuplot (a free tool) for the ploting. If you have gnuplot installed, I can provide the plots if you like. Allows you to rotate the 3-D view, which can be nice.

It may be easier to observe if you just look at the Delta of some Verticals: Note the difference in the absolute value of the Call Verticals VS the PUT Verticals. The difference is small, but persists for the strikes you will have in your Iron Fly. My plot was intended to help illustrate why...

FYI: (prior topic reference) Previously I posted about why the ATM Iron Fly had negative delta. Here is a plot of IV curves (smiles) for SPX from 14 - 90 Days to Expiration for reference. The red circled region is where most trading occurs. The heavy black horizontal dots are ATM. Note...

@ OP . Did you get adequate answer to your quest? If you were perplexed as to "WHY", a look at where the position is placed along the volatility curve (skew) and the shape of that curve should provide insight. Most trades are placed on the left side of the "smile", where the call side iv is...

If you think about the controlling inputs to my tool: Primary is: Time (can be in # days), expected underlying price at end of that time (given as a +/- % from current), and expected volatility at end of that time (given as a +/- % from current Vol surface for that time reference). I merely...

I am merely suggesting that a more mechanical view may be helpful. For example, if you have a VXX directional trade that you wish to take and expect VXX to drop 15% in 10 calendar days and you also expect volatility to remain as implied by the current vol surface, you may be able to consider...

I prefer to chose a trade that will provide best return on risk. One needs to have good estimates for underlying price as well as IV for the period you plan to be exposed to the trade. Both price and volatility, as well as time should be examined closely. Volatility expectations for a future...

It depends on what you are trading... Index options, such as SPX & RUT are European style settlement (no early exercise).

If you have TOS, you could use an order like this, and place this conditional order in advance. The determination of the MARK will occur at time condition (time : 06:31 shown here) is triggered.

Would something like the following work for your order? Pre-determine time you wish to make the trade to after market is open. The reason to wait is to insure BID / ASK begins to settle in to normal trading ranges (to avoid the market opening trades). Set your limit price as an offset from the...

Ah! I am beginning to understand your query now! VIX is a "close enough for government work" type of approximation for that, but if you want a less tainted metric, use the ATM IV instead. I would not be surprised if Sosnoff may make similar statements, but if you watch him very much, you...

F is precisely defined, and is non-ambiguous: Note this even shows the differing interest rates for each term. May be good to look closely at this to insure you understand what they do for the VIX calc. VIX calculation is not assuming anything related to a distribution... look again at the...

Your objective is not clear! Your original post expressed clarity on the CBOE VIX white paper reference to F, but your last post relates to the 6APR term. Seems you are mixing apples and oranges inappropriately. Your first post seems to suggest you have a flaw in your reasoning... you seem to...

For a while (a few months) a year or so back, I was independently calculating the VIX values from SPX options by following the algo in their white paper. This can produce values that are very "close" to the published VIX numbers, but to get exact match one would need to replicate the data...

Seems you are "touching your toe" to the waters of options without first comprehending them. In the future, if you would provide sufficient detail, others would not have to expend effort reverse-engineering what your question should have been! AKA: You sold a 162.50 CALL! Why not state what...

IMHO: The best predictor for future IV is is the latest option prices (IV surface) for liquid products. Be careful when adding VIX as an influencing metric if it is NOT the proper metric for your objective. Note that VIX is merely the implementation of the algo provide in the CBOE VIX White...

IMHO: It seems wise to first consider what you really want to accomplish. While TOS plays "loose with" volatility values (Implied Volatility), it is likely close enough for most folks, except when they have bugs introduced by their "new update", which occurs less frequently in the last few...

I think the "fills" using OnDemand in TOS are similar to the "fills" using PaperMoney/Simulated Trading in TOS, which both ASS-U-ME fills at the MID. While assuming fills may be possible at the MID is viable, assuming fills are probable at the MID is not. Robert & OptionsOptionsOptions...

IMO: Terminology a bit to vague to provide helpful response. "expensive" relative to what? Consider what you are desiring to accomplish, then focus on more precise objective. Since you mention historic IV, you may be considering whether a specific term/strike is expected to decrease in value...

translation, courtesy of Google: Hello, I am looking for people who are on the same path as me, trying to get consistent returns on trading options, I reside in Madrid, any Spanish-speaking person who wants to share experiences is welcome.