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Exactly, a normal distribution can be described by its mean and standard deviation. So if the distribution is not normal then those two are not enough. By the way, Markowitz portfolio theory assumes normal distribtion, because it states that a portfolio can be described by its mean and...

A classic example is an option premium selling strategy, which in good times can have a very high Sharpe ratio, but when that "black swan" event happens the strategy takes a huge blow, which is a real risk, but it is not reflected in the Sharpe ratio.

It's not the return that is the problem, it's the risk, i.e. standard deviation that doesn't capture this skew. So the Sharpe ratio may be high during "normal times", but when that "negative skew" event happens that high ratio doesn't mean sh*t.

It doesn't have to be normally distributed. The problem though is that the Sharpe ratio can be misleading if the distribution is negatively skewed, for instance. Since standard deviation doesn't take into account that skew.

I'm sorry, but there's no way the stock drops after the close on ex-div date. If the ex-div date is Aug 21 then the stock will drop on the open on Aug 21. Look at any chart. By definition, the ex-dividend date is the first day a stock trades without a dividend so it has to drop on the open...

Eurodollar futures

I'm confused here, xflat. As far as I know, the last day to buy the stock to get the dividend is the day before the ex-dividend date, which is why the stock drops by the amount of dividend on the open of the ex-div date. Also, all the exercises of calls for dividends happen on the day before, so...

Yeah, it is a bit of a problem. You may wanna check with thinkorswim's tech support in case they have a solution to this.

When you click on the TOS icon on the desktop, it opens up a login window, in that window there's an "options" button, click on it and there you can set the font size.

Implied volatility is calculated from market prices. As for the expected future volatility, well, that's up to each individual trader to determine and there's no uniform calculation.

A backspread is defined as short 1 call and long 2 higher strike calls with the same expiration.

If expirations were the same then it would be a backspread so I'd call it a calendarized backspread or a time backspread.

Calls usually have higher premiums due to the cost of carry. Otherwise, calls and puts are held together by the put-call parity and the verticals are held together by the box spread so generally there's no advantage to one over the other.

Never heard of zero cost options, but I'm not saying they don't exist. Are you, by any chance, referring to a zero cost collar?

For SPX options the last trading day is the Thursday before the third Friday of the month. The settlement value is calculated on the opening print on Friday. For more details see the contract specs on CBOE.

My guess it's a futures contract based on what I can see on IB's website as well Eurex's.

That's why we have a market, if everyone agreed then noone would trade.

The original poster asked about historical implied volatility.

There's no direct relationship between historical volatility and implied volatility, as the former is a backward-looking measure and the latter is the forward-looking measure. Generally speaking, if the price breakout (increase in historical or realized volatility) was expected then implied...

Yes