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If you use the same number of days the software which gives you an IV, both trading days and IV will be wrong but their product IV*sqrt(time) should be right.

The expected value (under a lognormal distribution and for smaller IV/time to expiry) of an ATM straddle is about .8*Spot*IV*sqrt(years to exp). Grouping IV*sqrt(years to exp) together as the standard deviation, we see that the fair value of a straddle is about 80% of one standard deviation as...

60 Day December contracts going for 29%. Mean 30 day realized vol since Jan is 22%. If you were able to sell a 60DTE straddle at 29% every day for the past year and hedge EOD at 22% hedge vol till 30DTE, you'd have the following PnL stats (assuming margin of 2x straddle sell price):

This kelly bet size uses only the first 4 moments of the distribution of the returns? How did you derive this? I though to get the 4th order taylor polynomial inside the integral integral ln(1+x*r)dP(r) where r is the returns and x is the betsize but that couldn't be accurate b/c the losses for...

I think there must be a miscommunication. My figure exactly matches his figure 14 on the article you gave and both conclude that hedging at the actual vol minimizes the the standard deviation of the final pnl. However to minimize pnl fluctuations after dt one step, you are correct the implied...

I'm working on the mathematical proof. Had to review ito's lemma and such. But for now, the expected value is independent of the hedging vol. Hedging at 0 vol (step function delta) is the same as at infinite vol (no hedging at all as gamma is zero everywhere). However standard deviation of the...

The least squares against all expiries makes more sense then a closed form algebraic solution. Thank you.

It looks like you are taking differences even though sqrts don't commute with subtraction? Consequently earnEffect will be increasing as time passes and earnings become a proportionally larger component in the average so it doesn't directly help you know how much of the earnings contracts (10/21...

You are not dynamically hedging. With a static position comes a static terminal PnL diagram but when hedging the final PnL is path dependent.

Assuming Realized vol = Implied vol, what are the best and worst paths? Best: Stock moves the same direction every day at less than IV until gamma is negligible at which point it moves in the same direction but by a very large amount in order to make up the realized vol. It's important that the...

10 years of daily returns. Also made sure to do 30 days of 5 min returns etc. Daily (as opposed to annualized) IV Volatility is not additive so (implied) variance is displayed instead. Holes where the non earnings regression related variance exceeds the implied variance?? Calculated...

Something I have noticed with VXX before it broke is that its IV was correlated with the ETN price. So being long vol via puts is working against you. I had some delta negative flies that were doing well before it broke.

Realized 21 day vol has not been above 31% for the past 12 months and is only 21% now. An IV of 40% sure would be nice for vol sellers though.

FDX calendars jumped for the same reason that market wide calendars jumped post CPI print. But FDX calendars actually reversed back to their levels on the 8th before hand so unless the market prices in an earnings move larger than the 7.1% earnings straddle relative value at the time of entry...