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Not sure about ActiveX, but I use DDE to feed Excel and it's working perfect, prices are updating instantly...maybe try switching to DDE if you can

Cant you just connect IB TWS to Excel and then analyze the skews directly in Excel?

Fear trumps greed, so a down market tends to be more volatile than an up market.

One of the main reasons I want to look at 3rd order greeks is charm, color and speed. I have personally been burned on the change in gamma as an option closes in towards expiration, especially the last couple of days. AFAIK this "gamma decay", "delta decay" and "DGammaDspot" can only be measured...

Aww come on, I was just joking around...the only thing I manage so far has been my own money. Maybe some day... Probably half of the reason I'm trading is because I love the business. I like the charts, the math, the analysis. Yes I'm a nerd. The other other half reason is the money. Kill me...

Thanks, I checked out the links from you guys, unfortunately these all link to products that require buying. I was hoping there'd be some free spreadsheets for higher order greeks, since there are a lot of free spreadhseets for the standard order greeks. But if no such thing exists then I'll...

Gonna have to bump this

It's not something I am planning on doing anytime soon, I'm just looking into it along with a ton of other potential strategies. Wheter or not it works is another story, but it's an interesting concept at least worth looking into.

Well, those things will always be a factor regardless of strategy used. How much problems they cause in vomma scalping depends on size traded, target per scalp etc. Just like with any strategy.

Not following you....the only way you'd end up without a scalp is if IV doesn't move after you put on the vomma position...in which case theta would eat you up. Plus the negative gamma is a risk as well.

Nothing spesific. Just useful to have a known formula to apply when vomma scalping

Alright thanks for all the help guys, things make lot more sense to me now Also, this speak about vega convexity has me thinking. The formula 0.5*gamma*movement^2 predicts P/L wrt Delta changes in position, with starting point at 0 delta. Would it then be possible to apply the formula...

1) That makes sense indeed. IV change * vega per option and then sum up, gotcha. Only problem is vega varies, no? So if I have 50 IV and 2 vega for an option, it predicts a $2 increase in price if IV increases 1 pt. However if I calculate it after the fact, where vega may be say 3 or 4, I have a...

You're right, it's vega times IV change. So if IV goes up 2 pts accross the portfolio, the value will increase/decrease by 2*portfolio vega. So if I've lost $300 with a 3000 vega, IVs have decreased by 300/3000=0.1 pt accross the portfolio...or am I lost completely? However this assumes all the...

Vega divided by IV change? Lol I have no idea

The real question now is how can you apply this to P/L change that has already occured? Say you just lost 300 dollars, how can you figure our how much of that loss was due to a IV change?

Okay nice, thanks for the answers guys

Ah okay, so just remodel taking into account a the effect a one pt move up/down in IV will have on the model price?

I notice IB is offering two types of delta. One is called "delta bid" and "delta ask", the other is called "model delta". I'm a bit unsure as to the exact differences, anyone care to explain? Thanks

So if I have a 1% move for every option across my entire portfolio, the MTM from that move will equal vega of portfolio? Also could you explain a bit more what you mean with "bump IV up one unit and down one unit, then take the average"? Thanks.