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I realized you did not request Real Time data. From TOS, you can merely export the desired option chains to a CSV file. No special processing needed! -- you can then open in Excel (or spreadsheet of your choice). I selected a few SPX chains for reference with the attached CSV.

With TOS, you may use RTD (if you are on Windows, and have Excel), to extract live data from TOS. There is a limit to the qty of RTD references you can make at a time, but likely not an issue, unless you are trying to be exhaustive. < 10K RTD references should not be issue! -- 400K RTD...

IMHO: For SPX; calm market or trending up market results in lower Implied Volatility with increased SKEW! A large volatility event (big move down, or Backwardation), will result in lower SKEW, but higher Implied Volatility. Take a peak of the volatility surface during normal times VS during a...

I'd suggest you locate that detail in the VXX prospectus before you run short of time! -- I would NOT assume that to be the case, but I have not studied the prospectus for that case!

VXX Matures on January 30th, 2019! <-- ceases to exist. See: "http://www.ipathetn.com/US/16/en/documentation.app?instrumentId=259118&documentId=6209864" You may consider transitioning to VXXB.

While this is a bit beyond my pay-grade... I do like posts like this. (Thank you!) Curious if some additional clarity may be extracted if the data were segregated into periods where the IV clearly missed the event, and "more normal" periods where the log(IV/RV) was "relatively well behaved". --...

Re-read and think about the statement "are priced perfectly"! IMHO: A YES and a NO are both valid perspectives! -- Perhaps if you rephrase your "expectancy" to risk-adjusted expectancy, then it may be more accurate. -- since Implied Vol > Realized Vol on average. The pricing is only as good as...

If you have TOS, why not just select the option you wish to view with the aggregation and time span you wish? Guessing you mean something other than this? If you want to produce independently (do it yourself), then you will need the data. I get mine from CBOE Livevol, but you are correct, it...

Nope! However, I only looked at LiveVol's data, so perhaps others have a better answer! (I do not use that data personally)

Is this not what you are asking for? https://datashop.cboe.com/option-trades Contains the following columns: underlying_symbol quote_datetime sequence_number root expiration strike option_type exchange_id trade_size trade_price trade_condition_id canceled_trade_condition_id best_bid best_ask...

.. Something else.. Pardon my lack of terminology precision. My reference to "series IV" is a proxy for the single value typically provided for the specific option chain for a specific Expiration. This is typically a value near that of using the CBOE VIX White paper computation (used in...

I do NOT have access to BVOL, and am curious of the precise references for implied and realized you mention! Are they using series IV or ATM IV, or something else? .2 - .28 seems to be close if using Series IV, but is tighter correlation if using ATM IV (for interval samples > a few months)...

Interesting: BTW: your reference to "start at the mid-price" seems to be a default, you can start where you wish as long as it is within B/A bounds, per their references. -- Thnx for the post.

Jack says it best: ""

It is not clear what types of trades you do, but since you got hit this Feb, perhaps you are either primarily Long or a net seller of premium. If so, and your positions are longer term (> 30 days for premium selling), have you considered using /VX front and next month Contango as a prerequisite...

If you shovel enough excrement over the top of something, it is likely to develop an unpleasant aroma! You begin with an event on a not-so-liquid product, then focus on B/A spread of unspecified width of a Strangle. -- It may be more enlightening to observe the components of your trade to gain...

Interesting! The data is EOD, but I do not find where they disclose the time of that daily sample. Hopefully it is taken at the close or just before the BID/ASK widens! The data, for SPX, seems to only include the AM Monthly expiration (from their free sample), so it does not appear to...

You did not post any links/detail!

@IndyJonerJr : When you reference ES, are you switching topics from options to Futures, OR, are you inferring Futures options? IF you are referring to ES options, why do you think they are better than SPX options? -- Do you require the smaller size? -- The only advantage IMHO would be...

No: My trade was the sale of a Condor: Shorts: 2790 & 2650, Longs: 2760 & 2680, for a 1.90 credit/lot