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Here is a simple TOS study that compares the 30-day. "http://tos.mx/bSxZQr" A slow moving average of the difference is provided with the actual data.

I saw that, however, for YTD, your statement still holds. Note: Your "Historical" is Lagging for the period leading up to each point. By merely shifting to the left (Cheat, and represent what will actually happen - per my study) This lines up the X-axis for both the Statistical Vol with the...

"http://tos.mx/Wum0Yl"

Just to confirm one statement. Lower study is 30 day intervals from YTD of Implied (VIX) and RealizedFutureVolatility.

From your statement, the order you placed may have been the one you intended, but failed to consider the risk of your short leg being assigned! -- This is more serious, and may suggest you are making trades without understanding what you are doing (the risks of each trade). You may wish to...

Eagerly awaiting Bob's response! He seems to always nail these!

That's one.

Regarding the heading for this Thread "Accuracy of IV for Expected Move (for CALLS only)" The "actual" accuracy is dismal! However that does NOT imply no value in using IV for expected move. (It is a forward looking metric) The snip I produced infers that out of 1239 Trades (30 calendar day...

Updated pic identifying each event.

I coded a simple ThinkScript to perform the following on SPX. Using VIX as the IV reference, determine the 1-STD up-side price target for 30 Calendar days into the future. For each day, step until that target time and set flag if HIGH SPX price exceeds that value. Repeat for all BARs in Time...

Of course! I am aware of no commercial software (as I indicated earlier) that caters to morphing a single strike IV independently as you seem to be desiring to do. You can code your own, but I still have no idea why you would want to do that. If you merely want to "add another leg to an...

YW! If you have not used it before, it is kinda hidden, and may require you have multiple expirations selected to find it. Here is a screen shot that may aid in figuring out where it is located on the window.

Not to my knowledge, but curious why you would want to do that level of control? (per strike?) Altering one strike in isolation from others seems unnatural (does not occur naturally). - TOS allows altering each expiration independently via their Analyze tab.

ThinkScript support for options is horrible at best. You need to be able to programmatically create the OPRA code, which alone will normally exceed the complexity limit of ThinkScript. There is some support for using ATM references which I have done in the past for auto-backtesting Straddles...

IMHO: Observations of SPX IV surface over time do not support the notion that skew is a common error component of VIX. Sharp VIX events do have this impact you reference, however, the occurrence is seldom excessive (2018 Feb 5th & 6th during portions of the day did show significant Skew...

My thinking was to simplify, and take a simple approach with minimal effort, that if results were positive, THEN and only Then, perhaps warrant deeper efforts/backtesting. IE: There are some IV values that are trivial to obtain (VXST, VIX, VIX3M, VXMT for SPX) (9, 30, 90, 180 Day IV) all...

This is an interesting thread. I am not totally in-sync but thought I'd throw this out. I wrote a fairly simple TOS Study to create a "RealizedFutureVolatility" -- Which merely cheats, and looks at what actually happened, and line up the time line to the Implied Volatility. The one shown here...

I think the question is more like: "Is there an edge for a trade capitalizing on the strike of the minimum IV point at trade launch?" A straddle may be of interest. (not necessarily straddle with lowest cost). Something to ponder... Caveat: Some brokers don't provide accurate IV (such as TOS)...

#2 has emitted some negative responses from some. I have no first hand experience with them.

IMO: Your initial intuition is proper. BSM provides a relationship which balances the variables. BSM is a Garbage In - Garbage Out relationship. You provide incorrect inputs, you get what you deserve. For example: Your simple reference lists T=0.135 yr (an indication you are not seeking...