Search results

Yes.

This is formula I currently use for Moneyness: Moneyness((log(strike*exp(dte*intrate/365))/price)/((dte/365)**.5)) I have not yet derived a good formula for extracting IV based on Moneyness, but it is on my plate.

If you are really referring to the calculated VIX index, of the many options included, only 4 ATM options are included (one PUT/CALL pair for <30days and one PUT/CALL pair for >=30 days). Is is unclear why you desire to remove these from your data! You can purchase the raw data from CBOE...

Is this what you are looking for? https://www.cboe.com/micro/vix/vixwhite.pdf

# U= Ndx - PVDiv = Exp(-RT)*X+(C-P); # Where Ndx is the proper Spot price for the index (in this calculation, it is not required, as we are seeking # U. R is the anualized interest rate, X is the strike price, C and P is the mid-point price of the Call and # Put respectively at the...

I agree with you! Still NO coon up that tree!

Jack: My reason for this is to produce more accurate IV, and subsequently Greeks. This is needed for back testing as well as live trading. If you observe the IV in TOS, and compare that of the CALL and PUT at the same strike, they are NOT the same, but should be for CALL PUT parity. That...

Jack: I don't trade the ES or ES options, so have not pursued that, but expect there could be a tight correlation for specific expirations. The table I posted with the "U" values also provides how many samples {column F} (CALL/PUT pairs) used for each as well as the MAX error values for each...

SLE: The value of "U"=Ndx-PVDiv, where "Ndx" is either the actual index print or some implied version of that, and PVDiv being the present value of the Dividend. So, currently I am side-stepping a different interest rate for the Dividend, since my "U" derivation embodies that. I don't...

By examining the BID and ASK prices for all options of a chain, and discarding the outliers, such as those with BID < 50 cents {pick your poison}, then use PUT CALL parity to resolve the Forward price, you can get a pretty good fit. Below is a few I just ran (these will be off as the BID/ASK is...

I hope I did not make a bold statement prematurely! I retract my "false" statement as I now have misplaced my ammo! ;-)

Jack: I do NOT use the SPX spot price in any of my option pricing or greeks, but derive the forward price instead from the option chains. (This way I can simplify the handling of dividends for my SPX greeks) This is working great for me. Since you can't directly trade SPX, and precise greeks...

TradingDemystified Please provide proof of this "false" statement: "The numerical value of SPX is calculated by a formula that takes into account only stock prices (with no accounting for dividends whatsoever)" I would like to be wrong.

Jack: Why would there be differences in the "interest rate"? I think they should be the same, but may be missing your point!

You may consider plotting SKEW alongside VIX thru some more sizable VIX spikes, which may shed some light! -- Below is a 3yr daily chart of VIX with SKEW overlaid in green. SKEW often, but not always returns to it's normal range after a large VIX increase! (SKEW Y axis on left side)

Re: If we watch a grafic of SPY*100-SPX we can clearly see a cycle of three months in which the difference goes from aprox. -7 to +5. Answer: NO! You are observing two views of same animal! SPY pays dividends, SPX is INDEX which uses a price that approaches that of a continuous dividend of...

RUT is the Index, which has options. IWM is the EFT, which also has options.

To develop your option trading into consistent results is not an easy path. You may consider following a reliable service which is not a "white knuckle" ride while seeking your <dream trade> on the side, since you have a day job. The RTT by Capital Discussions may be a fit.

If you have TOS, they have a number of bells and whistles for screening options trades.

IMO: Similar to accuracy of predicting large increase in VIX! Akin to predicting earthquakes more than 1 hour in advance. No reliable data.