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It depends on your trading system but I really doubt it can be useful in general. Implied vol (surface) carries so much information that you will be missing and on top of this you will be pricing with B-S, so the prices you will produce will be pretty much useless. One thing to try maybe is...

I can't comment on the effectiveness of Atticus' recipe although don't forget it's not clinically approved but on the other hand it does have some scientific foundation and doesn't seem dangerous so it is probably worth trying for a potentially life threatening condition. What I wanted to...

Isn't Friday half day? (Not an American here)

Hey cd, from looking at your Hoadley screenshot, you need to change the risk free rate and the pricing model (to binomial American)

I am using Excel VBA functions from this book : Option Pricing Models and Volatility Using Excel-VBA (Wiley) There are also functions for model-free skewness and kurtosis.On VBA they can be very slow but it's perfect for me If you google VIX Excel calculation I'm pretty sure you can find...

Any thoughts on the Saxo quotes? They are from last Sunday, spot 1.2717. I know that they are not available in the US and I am not looking at fx atm, but maybe I should?

Ask family/friends/bank manager/(ppl in public forums) for funding?

Especially if you don't hold your option to expiry you will have to trade it at the price set by the market. If you take this price value and put it in the BS formula you will get a volatility value a.k.a. the implied volatility. So you must agree that it has some practical value for trading...

Saxo is advertised as a respected OTC fx dealer. The screenshot is from my (retail) account:

I think I'm getting now how you do the calculations but I had the sense that maybe it was confusing for other posters. I would give more thought to what sle pointed and also about using market option prices for testing trading ideas.

+1 Hopefully newwurld still likes it. fwiw I am in a DEC21-/JUN21 15 Put -2 / +1 calendar for 0.79 credit DISCLAIMER: Don't copy my trade I have no idea what I'm doing : P

OK so you calculate your payoff% by comparing to the option price at time t=0, which is not shown here(?) Maybe you need to give more detail of your calcs. Your results should be correct but I can't see how they can point to a trading strategy

In the table you posted it looks like you get BS prices on the same time t, so your %payoffs are only relevant to price jumps. Obviously not impossible but it's not the most realistic simulation Also how often do you think the price will move (jump) 2% for a 20%vol option compared to a 40%vol...

Let's say you want to calculate (estimate) the stdev of returns (or vol) over 10 days, name it vol10. You know the vol for each day, say Day1 - s1, Day2 - s2 and so on to Day10 with vol s10. You cannot add vols but you can add variances i.e. the square of vol vol10= SQRT(Var10) =...

Are you naked short on this? maybe part of a dispersion trade?

That's true but as I said in the previous post you have to account for the time decay before the IV gain. If you buy the option at 20% vol and it stays at 20% for 38 wdays and then jumps* to 60% and you sell it: will you make a profit or not? (I don't know the answer but you can play with...

In your example, before an earnings report usually the IV is increasing a lot. So if you put something like 60% as your vol value then your "profit zone" is going to become narrower. If you buy the option 2 months before earnings, then you might profit from the spike of the IV the last days...

What volatility value did you use to calculate these figures?

Black-Scholes is probably not the best model for "surprise overnight events". But even assuming that it is OK and thus your values are correct then the big question is: In order to make a profit you need to have a better estimate of the risk than the market's. Imagine that a market maker will...

It's a shame that a sad individual had to ruin this thread. Many thanks for everything and gl 2.