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Nice, just what I wanted to hear actually. Alright, that's enough theory for this year. Again thanks for the help and happy holidays!

Interactive brokers has this. Just bring up any chain in Option Trader, rightclick the option you want to chart and click "chart" from the menu. You can also chart combinations.

Thanks sle, its starting to make sense. Basically variance in gamma means it will be path-dependant. So what if we take a hypothetical scenario where your gamma for the same underlyer, is kept constant until expiration? Would your final PnL in this scenario be more predictable? From 0.5 *...

Yes, but RV is determined by the terminal point? In other words, if your IV is 13 and final RV is 14, your final PnL will be the exact same regardless of which "end" of the distribution it occured at, as long as RV is 14. But PnL in the process of getting there, will vary widely. If I...

Thanks for the reply, yes it will be used for multiple options. Could you explain what you mean with path-dependant nature of p&l? if one assumes frictionless deltahedging, shouldnt final pnl derived from iv-rv be the same as the continously deltahedged (frictionless) final pnl? again it wont be...

I won't be seeing if the results transfer to trading as (obviously) they will not. It's more a way to study the options from a purer vol (no delta noise) standpoint and see if some assumptions I'm making regarding behavior holds up. Anyways I found the solution. The historical prices...

Say you have historical intraday data(bid/ask/IV) for an option, you want to test what the profits of buying / selling that option would be under a continously deltahedged scenario. Is there some spesific formulas that can be applied here or would it just be a lot of excel grunt work?

Sure, that is the nature of inverse correlation after all... I looked at the paper and it seems they standardize strikes and the smile, but not spot to volatility... Bottom line I don't use the indicator myself but fail to see why it's useless if it's not standardized. Everything has context...

If OI went (and still is up) after the call-buying then it was an intitiation trade, no? That being said large trades go through all the time and they can also be wrong...

The total price number shouldn't matter for vol, should it? If GOOG did a 1:10 reverse split then vol would still be 20 the next day after the split.

Wow vol got crushed

But for uvol/dvol to define a trend, it presupposes the majority of the volume be directional in nature, no? But maybe Im misunderstanding what the indicator does, haven't really studied it well.

Not just that, but people could be legging into or out of spreads, hedging, or using any number of vast strategies encompassing multiple markets. That was always my problem with tape reading/delta volumes etc, how can you determine how much of the volume is actually purely directional plays? I'd...

Does button trader automatically snap to mid? I despise having to constantly manually adjust it in IB.

Yes, please add SNAPMID for combos. It's much needed.

Volatility in general is a poor equity hedge (var swaps have -70% correlation with equity on average I believe). In addition it's on average overpriced, so the cost far outweigh the diversification benefits. A "good" hedge has -100% correlation with the security/portfolio and zero cost...

Yes, the stickiness seems to be another advantage for these and should work especially well thanks to the big vega, if I'm correct. BTW do you deltahedge these, or roll when it goes towards wings? (Or BE-point, flipping gamma-point)

Thanks. Looking at the risk graph of these I'm just worried about how theta/gamma changes around with vol step up/down. I'm a noob when it comes to calendar spreads so I'm not sure what exactly to do for instance on a serious vol down and gamma / theta suddenly being all over the place. I was...

Atticus, if one wanted to make some theta on the S&P (ES FOPs) right now with the low vol, what diagonal/calendar structure would you recommend? I'm looking at the current weeklies (Dec 13) at 20 deltas (1825-1785) hedged with ~1-month forward (Jan 03) (no strangling so it's a calendar). They...

OK, but if expected pnls are the same then I think I understand the essence of it. Obviously real pnl is probably going to be different but for none of the reasons I have listed in my previous posts I assume (which was based on my misunderstanding that deltahedging is what realizes vol spread...