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Thanks Jack this is what i thought and seems to make the most sense to me!

Thanks guys, this is helpful. So if they are spreading vega over the number of days until expiry, is it therefore a time weighted vega calculation or am I totally off track? If not, what use is the indicator as in what is it showing in a real world purpose.

Hi guys, IB has introduced a couple of new columns, one of them is called 'custom adjusted vega' and states that: "The custom adjusted vega (Vega x T-1/2) multiplies the Vega by the inverse square root of the number of calendar days to expiry." Is this their attempt at a time weighted vega...

Hi there, Yes, i'm aware of this. The ONLY options priced off the June future are the May series which expire on the 17th May. The underlying future itself expires on the 22nd May.

Hey guys, Ive just been having a look at the new vol surface tool in IB and had a quick question. For commodity options like CL (Oil) you have to generate the surface off the underlying future which makes sense. However, when i generate the JUN future which ONLY has the May options off it, i...

Thanks once again Destriero. Awesome help!

Sorry to be a pain Destriero but i have one more question. Regarding the timing of the calendar and the 25d risky. Say for example i am going to trade the May/Jun calendar, do you look at both of those riskies and therefore the skew of both May and Jun? Whats is the process there? What I...

G Got it! Thanks so much once again. Fantastic help!

So do you just keep an eye on the skew of the risky and as soon as it looks like it’s hit a peak put the calendar on then? Why is the skew on puts in the risky important for a calendar using only calls?

This is great! Thanks so much! One final question. You mention in an earlier post the timing of the calendar in relation to the 25d risk reversal. When is the correct time to execute the calendar in relation to the risk reversal?

Regarding watching the 25 delta risky, can you elaborate on that bit for me please. Specifically the part "as the R/R increases (down strike vol/up strike vol)." What did you mean by that please? Many thanks for all your help so far destriero

Hi Destriero, many thanks for the post. Can you explain this a bit further please, i lost track a bit with your use of "/" in between terms. Are these and/or or aswell as etc? As i understand you are saying to go long a call calendar spread in a ratio so that my time weighted vega is neutral...

Hey guys, As per the title. What do you guys think is the best vega neutral UPSIDE strategy to put on if I simply want to be hedged against a slow grind higher as we are currently getting in the SPX. Black-scholes doesn't work very well for call vol skew in a slow grinding market in my...

There's not, i usually sell straddles to sell vol. But i don't want to sell too many because it affects my gamma once i go out of the range of the credit of the straddle.

Yeh, this is kind of what i thought. I have tried previously to hedge it by adding long delta, so that when the underlying rises, the positive delta offsets the vega crush, however, the last time i did this was on a Friday, the underlying didn't move at all on the Monday morning, however the...

Sorry, yes they are. They expire in 4 weeks. My raw net vega is pretty flat, but once i adjust it to time weighted vega (which is the measure i use), i am carrying a lot of vega. I should have mentioned that also.

Hi guys, If bought lots of OTM puts in the FTSE a couple of weeks ago paying only pennies. These have now really risen in value with the indices falls og the last few days so I have accrued a very large vega position on them. Because i trade an overall "book" of options, i cannot simply sell...

Hi guys, Just wondering, is it possible to get a live feed of the risk navigator, especially for traded options through the DDE plugin for Excel from interactive brokers? Many thanks :)

Many thanks to balls and Sle on this post and all the other contributors. I think I have the information I need now. Very much appreciated and thanks for the great feedback!

I'm sorry, i'm totally lost. Is it possible you could post a working example of how you arrived at the June rtvega figure of 2.07 with an explanation please? The net June vega is 0.71 as you know and has 43 days until expiry. Could you guide me through it please? I don't appear to be the...