i dont have the expired options data at intra day but near term forward vol behaved similarly to your spread
Anyone gambling on NVDA earnings today?
- Thread starter Coin Flip
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Post NVDA earnings, correct?
yes post earnings forward vol is what i was referring to, traded pre-earnings.
No. I did not carry it through the report. Well, 5% to see where it would mark and the open and have some skin in the game.
right that's exactly what im saying. near term fVol behaved like in your chart but only several bid asks spread of variation as opposed to yours which seems to have levered up perhaps by selling further dated vol and OTM wizardry.
There was a term structure normalization as well as skew. I have a theo-value on the complex and trade it when the marketable print trades under the arb-condition (buy to open). In this case it was a true arb price <12 debit.
I got lucky as I went to get breakfast and coffee and my limit filled under 8. Please don't look too hard at the tape but it's unlikely you'll find it as I trade the synthetic (components) to limit discovery.
.... You're a piece of work.