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I know that vega represents the loss/gain that an option experiences with a 1% move in the options IV. So say I have an option position consisting of numerous options, some ITM, some OTM and ATM, basically all over the place. What is the best way to quantify, through a formula or otherwise, the...

Usually ATM gives the best premium with respect to time value.

UL price - UL price? You mean UL price (at zero delta ) minus UL price (at current delta)? That wont work, since I dont have UL price at zero delta. So say I have +100 D and +200 G. So according to this my required UL movement is 0.5 to get back to delta neutral. Now, you mention greek...

How do you calculate the UL price in which your portfolio delta will be equal to zero? Is it as easy as current UL price +/- (delta/gamma)? I fear this wont work since gamma is nonlinear. Anyone care to confirm, or maybe have a better formula for me? Thanks

Again thanks for your answer. I read through the documents on DDE and VBA and managed to modify the IB API DDE template to fit my needs, at least partially. One of the biggest problems now is when I modify an order, it seems to take around 300-1000ms for IB TWS to pick up the data. I have set...

Also, your answer is how to request data for one cell. But how can you request data for an entire column? Say I want a new column which gives me Time Value or Midpoint for all the contracts on the list. How can I do this?

Alright gotcha, thanks for the reply. While we're at it, is there any way to make Excel automatically update an active order if I change around the order attributes? (so that I dont have to press "Modify/Update" each time)

Are there any Excel spreadsheets out there that include higher order greeks like vanna, zomma, charm, speed, color, DvegaDtime, vomma, Ultima, dual delta etc?

Never mind I figured it out, I was using the wrong function. I've got it figured out now and the formula is up and running. But what exactly is it telling me? I assume gamma change per DAY, yes?

I followed the guide on IBs website (http://www.interactivebrokers.com/en/general/education/pdfnotes/PDF-TwsExcelAPI.php) on how to connect IB TWS to excel, and have done so successfully. However I am wondering how you add Options Chain data into Excel?

Firefox has always been a resource hog. 10 minute startup time, 8 tabs open - 1.5GB memory usage / 20% constant CPU usage. Dont even know why im still using this piece of crap.

Okay I think I got the d1 and d2. I am still unsure about N(d1) and N(d2) however. I know in Excel you can use =NORMDIST(d1) to establish N(d1), but excel is also asking for "median, standard deviation and cumulative" in order to use the =NORMDIST function...So what do I give for these values?

Nice, thanks for this In the formula above, is time option life as percentage of year? Also is there any spreadsheet or something that will calculate d1, d2, n(d1) and n(d2) for me? Apologize if this sounds stupid but I have never touched on any of this before.

Ah yes I see it now: Only problem is I neither have a financial or mathematical background. Could anyone perhaps give me an example of its use? Also, can it give me predictions of intraday changes in gamma? (which is what I need)

Please help, I looked at the Wikipedia article for "Greeks (finance)", but the formula for Color (gamma decay) doesnt make sense to me. It looks like this : Anyone care to explain the formula a bit would be much appreciated. EDIT: Just saw this post, yes that is probably the best idea...

Im curious if anyone has any formula / paper / etc. that shows how gamma changes with time? I'm trying to run some simple simulations. Say I have 10 options with 0.03 gamma. How will that gamma look in 10 days from now? It will have increased, but how much?

I always wondered how sharing a "secret" edge would make the edge inefficient. You'd think if more people were buying or selling at a spesific point, it would just be advantageous to the edge, not disadvantageous. Not to mention market participants never have perfect information (how many...

Lots of good points. Indeed it is much like selling insurance, which gives you lots of small gains with the risk of the occasional big loss. Its true what they say, there's no free lunch... Mmm, I agree except for the middle part. Remember luck is a skill too :D

I am usually naked short, haven't blown up yet. Everytime I pray to god it wont blow up and it seems to be working so far. Yes thats what I'm thinking too, but I just cant ignore all the people claiming there is. Would love some more in depth response if anyone has

I hear this constantly, how people claim shorting options are better than going long because theta gives you an extra edge, and that most options expire worthless etc, so you're better off being short than long. Any truth to this? Considering some efficiency, you'd think the markets would...