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Thanks, Brighton. I'll check that out.

Thanks, panzerman. That clears it up.

It's as if you can't read. I received 2 very helpful tips: 1. average ATM call IV with ATM put IV 2. calculate the IV the way the VIX is calculated I'm sorry the trading world doesn't wholly conform to your style, but you really need to open your mind to the idea that you might have some...

Don't know about the ATM straddle, but 84% of not breaching 1 StDev down and 84% chance of not breaching 1 StDev up should lead to . . . 68% success in the prediction. Right?

Thanks, longthewings. I just scanned a CBOE white paper on calculating VIX. Nothing too crazy in terms of the math, but plenty of room for making mistakes. I might try to build that model in Excel and see if I can get it to match the VIX. At that point, I might have a solid model for...

It's a method for estimating spot price "x" standard deviations from current spot at some future time. Option pricing allows us to infer IV, and IV allows us to calculate the standard deviation. Go 1 StDev down from spot and you get an estimate of the price which should not be breached ~ 84%...

No, it doesn't help. Please stop responding to my threads with your crap. It's an equation, and I'm simply asking about one variable. It's a statistical estimate which has some value, regardless of what you think. If it helps you sleep at night, imagine I'm trying to estimate the growth of...

A while back, panzerman posted the following as a way to estimate future spot price as a function of volatility, deviation, and time: X = exp(sigma*t*x)*S where X = future spot sigma = percent volatility t = sqrt(days 'til expiry/365) x = standard deviations S = current spot What is the...

This is some heady stuff. Kudos to dealmaker for posting a bunch of random StockCharts claptrap.

So you buy the calendar when? Monday? Previous Friday? Then you buy long OTM put or call to pull delta towards zero when the underlying moves to breakeven?

Ignore him. He has spouted this garbage for years and he still isn't right. Now he has taken an even more extreme position that there is ZERO profit potential in a vertical. Seriously, OTM. Just stop it.

What does "30% invested" mean when you've done nothing but sold puts? Just trying to get a bead on your math.

But intrinsic value cannot go negative.

What does this mean? Can you clarify?

Thanks. Why did you give the example of buying the 110, selling the 111, and delta hedging if you were non-committal on direction? In other words, why locally neutralize (delta hedge) a directional trade instead of just putting on a delta-neutral trade in the first place (straddle, strangle...

You have no idea what my focus is, and I'd kindly discourage you from speculating on such. You're all noise and no signal -- we get it, you don't understand simple calculus, so in your mind it's useless. That isn't the story for everyone. We all have our crosses to bear(ish).

I'm new to the concept -- can you clarify something for me? Looking at AAPL, which is priced similarly to your example, if I sell the just OTM put and buy the next farther OTM put, which is a bull credit spread, I see I'm positive 11 delta. So I short 11 AAPL. Now I'm delta neutral, and from...

Well . . . OK? I'm not sure what you're trying to show. I'm still on board with the idea that a back month volatility explosion would possibly blow out my account, so it's a no go. I like sleeping at night.

Looking at your example, I don't know why you would say AAPL is set to break out (presumably meaning break to the upside). Yeah, that's the trend direction, but in my view it could just as easily dump. So, the short calendar spread would be appropriate, except for my concerns about the back...

Would you agree that verticals, diagonals, and long calendars don't suffer from the same "shit hits the fan" possibility as something like a short calendar?