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To attempt to summarize: 'Using far-OTM options as a substitute for the underlying with swing trading the way "I" trade is a mistake!' This seems to support the notion of using far-dated deeper ITM options as surrogates for the underlying! A word of caution: statements such as "won’t ever...

For some, such as index options, it is best to lookup the source and determine the specific differences. For example: SPX monthly options are AM settled, where the weeklies are PM settled. That distinction is very important if you hold/trade the option near expiration!

Insufficient data to offer constructive feedback.

Back to original post... Is your reference to "weekly options" meant to reference DTE restriction or the classification of "weekly" , such as SPX Weeklies? (We assumed you meant the former) If the latter, then the weeklies typically have less liquidity, which may be acceptable to your trading...

IMHO: Higher gamma == more likely to rip your head off! -- aka, not as docile as the longer terms (general statement, actual depends on what you are specifically doing)

Early assignment does not require the other party to have a logical reason!

Can you comment on: I am using a proprietary process which requires TOS to be running, which requires some hand-holding/babysitting of TOS as TOS cannot run for weeks without some TLC. Curious of the API you reference and how it interacts to extract the option prices. -- Am guessing it is NOT...

I must be blind, you did provide the timestamp! Your computed IV #'s are much lower than mine! -- Not saying yours are wrong, as I focus on longer DTE (7 days to 100 days) typically, and have not spent time verifying the very low DTE derivations! For example, my ATM IV for that timestamp...

I did not find the timestamp for the data relating to the SPX Skew sheets, so unable to comment on your IV numbers! (the plots imply the IV may not contain the primary TOS flaws) -- I'm assuming you have a process for deriving that column (IV) from the BID/ASK of the complete chain!

My 2 cents: TOS IV developed for the masses, not for us engineering types that have affinity for correctness and precision. When using TOS, base your information only off the BID/ASK and derive everything else yourself and your PnL tracks correctly. -- An easier process is to alter your trading...

Wouldn't it be more accurate to use the ATM IV, instead of that "series IV" for this exercise?

If you examine the inputs to the BSM, you should realize that all except one can be known to whatever precision you desire. The "volatility" input is the only mystery. By using Newton-Rapson or other converging method, use BSM to solve for the IIV! -- Please beware this is still garbage in...

Curious why you would consider to use Historical Volatility? (that is wrong) If you want precision, use the volatility value that results in the correct output! (ie observed price is identical to the BSM price) -- Solve for correct volatility.

As a "VIX" replacement, you could implement the VIX computation, by implementing the equations, which are well documented in the CBOE VIX white paper. However, a slightly simpler process could be to merely use the ATM_IIV for a forward looking volatility of the underlying at each expiration...

Bruno is a French trader (with a math background) who has a trade service (varieties of Rhino trades), and is also developing tools (still in development) which may address your concerns. He spoke a bit this morning on this Trading Group meeting. He came on about 33 minuites into the meeting...

Do you know Bruno? -- Today, he stated his new tool is addressing that!

Do you mean Diagonal Spreads?

If your intended use of the data is for backtesting, and you only need a single symbol (or very few), you may want to consider purchasing the data (like from CBOE - LiveVol) to minimize your pain/efforts. For EOD, their cost is not too bad. If memory serves me, their EOD is actually EOD AND...

SKEW is one of those things that makes a lot of sense only if you do not think about it much! (enhanced clarity and depth after some C2H5OH consumption)! {may actually be C9H16O2 -- some factors may be clouding my thinking}

I am not sure if a tutorial exists for this (may be)! However, this seems to be one of the "few" things that work fairly intuitively! On the Trade Tab for "All Products", what ever field you "open up", will be included with the export. After selecting all the info you want to "capture" by...