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Hey all, I near solely trade SPX weekly options. Vertical spreads specifically. I bring all of the live bid/ask pricing into a live excel sheet for analyzations. In order to get an assumed fill price, (to generalize) I am typically adding a bit to the mid of the long strike, subtracting a bit...

Hello there. Thank you for your help. I did try that and it did not change the refresh rate. I tried making it very large. After entering a new interval, then checking with step 3, I can confirm the new value shows. But no change in the data feed.

I don't doubt that. In my case, it is because I am live calculating, using mostly SPX options, and have set it up to be able to shift between different combos. Since the spreads tend to randomly widen for a moment, it affects how I can do toggles scenarios. The previous sheet you could set a...

Hello, I recently flipped over the the new Excel sheet for streaming live prices. The stream is actually, believe it or not, too fast for what I am using it for. In the previous version, you were able to specify the refresh rate. I called the support and they told me that you can slow it down...

Hello, I am wondering if anyone knows where I can find (paid or free) historical implied volatility data for futures. In my specific case, Crude (CL). I would be looking for the daily data at settlement time. Thanks for all. Brandon

Hello, I am putting together a quant strategy for a 1-week hold/trade and am thinking of adding historical RSI values to narrow my results. I was wondering if anyone had any suggestions on the parameters to use in this case? Perhaps, would it be wise to use the 5 period (daily bars) to match...

Interesting. So If I was looking at an ATM option, in the morning, with a week expiry (Fri-Fri), with a theta of 1.0. I would most likely see a decline of 0.25? Assuming nothing changed in the underlying. I remember a previous thread on here debunking that there is time decay overnight. That...

Hey all, I am trying to strategically calculate some strategies that incorporate's the actual time decay during the trading day. I am using the live Theta number IB posts for the options I have in my ticker window. I understand that if it is -0.10 it should decay 0.10 per day, right? But if you...

Hey all, I'm hoping to get your thoughts on whether you think the VXX weeklies premiums are more closely related to the movement of the current VIX calculation or the VIXMO calculation, which is the calculation known as VIX up to Oct 2014, then continued/started as VIXMO and the new VIX...

I got it. Higher strike minus the lower strike (for puts). Ex. Short $37 put and long $35 = $200 margin. Plus the cash credit, which essentially lowers the margin further by that amount.

Hello, I am trying to finish a spreadsheet and am stuck on the calculation on bull plays. I understand the initial short margin calculations of --> 0.3 x Underlying - Out of the money difference. I am in Canada so it is 0.3 (30%). That I have working fine. So when I add/purchase another...

They responded. It was a glitch for Canadain accounts. They didn't know that the margin for VXX/UVXY shares were not increased as well up here.... Here it is. Dear Brennen, Thank you for pointing out this margin error effecting our Canadian accounts. We are currently working to increase the...

I tried the customer service chat but the person there couldn't tell me why it was this way. He asked me to send a support ticket. Which I did a moment ago.

Shorting that same call in my account is way different actually.

I'm not asking the question, I am stating that's how it is now. Last week in my IB account, if I shorted a VXX ATM call it had me put up 30% of the underlying 100 qty, this is the same amount when I shorted 100 of VXX itself. Today, shorting VXX itself still only asked for 30% margin, but...

For calls only, I now have to put up about 75% for each VXX or SVXY and 150% for each UVXY. But Shorting the stock is still only about 30%/60% VXX/UVXY................... Make sense to you?

Thanks, Robert. I definitely did not think there is a specific formula. But for sure as of the now with the data I have, the average premium decreases from Friday to Thursday (Monday to Friday open after earnings announced). Just need to figure out the best guess amount to either subtract from...

Hello all, I am attempting to perform a quant analysis on (weekly) stock options premiums around their earnings. My question is in regards to how anyone here would go about adjusting the premium for options with more or less time to expire. Essentially, remove the time from the equation. For...

OK. Thank you for your replies. I would like to add that, lets say, if we assumed 2 trading days went by, and all underlying's and imp vol were the same, we would loose 0.06 on Wednesday options (expires OTM), then would it not be ok to assume that the Friday option would go from 0.10 to 0.06...

Hello, In IB TWS they have a time value column which is displayed as an annualized percentage. This calculation uses all days, not just trading days. (I confirmed with them a moment ago.) So doing it this way, two different expiry's in the same week appear to have less or more value when they...