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This is really fascinating stuff. I'm trading an automated strategy I developed, which is in essence short options delta-hedge... it loves theta and hates gamma. I screen a universe of stocks for choices that fit my criteria, and then trade them... and hope the numbers work out. Well, now...

Great, thanks for the pointer!

Were any of the positions in stocks that require higher margin ratio (or non-marginable at all)..? See IB's list of special margin requirements: http://www.interactivebrokers.com/en/trading/SearchMarginStocks.php?cntry=usa&tag=United%20States&ib_entity=llc&ln=

Yea, I've considered a strategy along those lines... sort of the inverse of a delta-hedge? For example, let's say: - I buy a straddle at strike price 20 (let's say). 10 calls, 10 puts. - If stock goes up to 21, I short 500 shares. I have nothing to "lose" from the short position...

If I recall correctly, buying power is 4x your previous night's excess equity. Is it possible that when you said you had $33k cash, some of that was from positions liquidated that morning...?

Right. Arb opportunities are not "sustainable", but options are "persistently" mispriced... Anyways, that aside, you need to get your eyes checked if you think "no arb" means "no profit". "No arb" just means you're "only" getting an appropriate reward for the risk you're taking on in the...

I think I'm a happy guy. The vol surface number seems to be working well. The estimated IV seems to be about 5% less than actual IV, which is probably because whatever function they're using over-compensates for the smile*... I'll keep playing with that, but I can probably compensate for it...

Ok, I see the hint of maybe a good ending for this thread, and *maybe* a thumbs up for continued use of ivolatility. In a new email, they're now living up to their mistake, and admit the algorithm is simply wrong when call/put IV is widespread. Even better, they have a "VolSurface"...

Amen. Words of wisdom.

I know it's pretty much standard operating procedure on ET to pass off anecdotes as "strategy"... but sorry, not an impressive story unless you can also give us specifics of what he was doing, and how backtesting was conducted, and especially how it performed last fall. I know people who've...

I guess this is what I should've been using all long: http://www.optionmetrics.com/ivydbus.html You get what you pay for, at the end of the day.

Oh, it's worse than rotten. Why? Because iVolatility actually very publicly discusses their methodology in great detil: http://www.ivolatility.com/news.j?nid=72&x=0&y=0 <i>Now, what does the calculation of IV Index look like? Let’s see this on the example of "IVX Call 30". Suppose...

I personally doubt there's much alpha left in trying to arb the volatility surface. Everyone has pretty much the same option pricing models, and everything tends to move in line.

Here's ivolatility's answer: "If the calculation of IVx gives a big spread between the call and put IVx then we consider that such values are unreliable and filter out some options with far-from-mean IVs. Instead we use other options with same expiration date. Unfortunately I cannot tell...

I am inclined to believe that stat arb does exist, but it's incredibly, incredibly rare... and it's certainly nothing as simple as buying or selling a put/call/calendar/butterfly spread. To have actual statistical "edge" that you can arb, you need a better-than-average continuous model for...

Oh sorry, thought you were familiar with that term/number. It's just a calculated number representing "implied volatility" for any particular stock, for a hypothetical option expiring 30 days in the future. They approximate it by taking actual IV values from a strip of at/near the money...

dmo, Just taking a quick look at the functions provided: http://www.hoadley.net/options/develtoolsaddin.htm I don't see anything that would approximate 30-day forward IVM on any arbitrary day, based on available option chain prices... do you know if it has that capability? Gosh darn...

So, short of paying $2k for buying a few years worth of EOD option prices, and then parsing it all to calculate my own IV numbers... ... does anyone have any solutions for a *working* version of what iVolatility provides, especially for historical data?

Well, that's actually *exactly* why I'm asking... I had started to lean on them pretty heavily on back-testing... downloaded 2 years worth of weekly IVM for about 400 symbols, which is a pretty significant cost. But was pretty startled to see some ridiculous numbers as I started to use it...

Hi, Just curious if there are any users of iVolatility's IVM numbers. I've just started using them for back-testing, and also some basic screening calculations. I'd like to exchange notes (and a few doubts) with anyone out there who has practical experience with this. For those...