SPX IV this Friday Vs M-T-W-T-F next week 16% vs 11%??

earth_imperator said:
$SPX.X @ TD Ameritrade
These are/was the data of strike 4260 of the next 16 days as of yesterday:
Code: 
Ticker=$SPX.X
AsOf=2023-06-01-Th-145131-EDT
US=4223.8200
K=4260.00

Calls:
SPXW_060123C4260  Th  DTE=0   L=0.07   B=0.05   A=0.10   IV=8.86    BS=33   AS=643  V=5024  OI=1481
SPXW_060223C4260  Fr  DTE=1   L=2.69   B=2.50   A=2.60   IV=11.81   BS=296  AS=57   V=5473  OI=2194
SPXW_060523C4260  Mo  DTE=4   L=5.58   B=5.50   A=5.70   IV=9.36    BS=77   AS=200  V=937   OI=1986
SPXW_060623C4260  Tu  DTE=5   L=7.63   B=7.50   A=7.70   IV=9.65    BS=4    AS=93   V=768   OI=258
SPXW_060723C4260  We  DTE=6   L=9.45   B=9.40   A=9.60   IV=9.84    BS=18   AS=65   V=1035  OI=2092
SPXW_060823C4260  Th  DTE=7   L=11.81  B=11.50  A=11.80  IV=10.02   BS=46   AS=14   V=319   OI=394
SPXW_060923C4260  Fr  DTE=8   L=14.00  B=13.60  A=13.90  IV=10.27   BS=102  AS=66   V=926   OI=1943
SPXW_061223C4260  Mo  DTE=11  L=16.50  B=16.20  A=16.50  IV=9.72    BS=17   AS=15   V=88    OI=311
SPXW_061323C4260  Tu  DTE=12  L=18.30  B=19.30  A=19.60  IV=10.33   BS=15   AS=15   V=93    OI=56
SPXW_061423C4260  We  DTE=13  L=23.63  B=23.70  A=24.00  IV=11.44   BS=14   AS=10   V=30    OI=99
SPXW_061523C4260  Th  DTE=14  L=26.28  B=26.20  A=26.70  IV=11.62   BS=31   AS=32   V=10    OI=115
SPXW_061623C4260  Fr  DTE=15  L=28.20  B=28.00  A=28.40  IV=11.69   BS=23   AS=4    V=423   OI=765

Puts:
SPXW_060123P4260  Th  DTE=0   L=36.60  B=35.70  A=36.50  IV=8.86    BS=10   AS=20   V=21    OI=29
SPXW_060223P4260  Fr  DTE=1   L=39.02  B=37.80  A=38.40  IV=11.81   BS=20   AS=20   V=36    OI=64
SPXW_060523P4260  Mo  DTE=4   L=41.35  B=40.10  A=41.10  IV=9.36    BS=12   AS=12   V=81    OI=68
SPXW_060623P4260  Tu  DTE=5   L=56.00  B=41.40  A=42.90  IV=9.65    BS=12   AS=12   V=2     OI=15
SPXW_060723P4260  We  DTE=6   L=44.45  B=42.90  A=44.50  IV=9.84    BS=1    AS=1    V=6     OI=8
SPXW_060823P4260  Th  DTE=7   L=58.20  B=42.20  A=45.60  IV=10.02   BS=103  AS=123  V=0     OI=5
SPXW_060923P4260  Fr  DTE=8   L=46.17  B=44.50  A=47.00  IV=10.27   BS=47   AS=100  V=58    OI=73
SPXW_061223P4260  Mo  DTE=11  L=47.96  B=46.00  A=49.50  IV=9.72    BS=100  AS=100  V=16    OI=2
SPXW_061323P4260  Tu  DTE=12  L=55.06  B=50.10  A=50.50  IV=10.33   BS=5    AS=5    V=16    OI=2
SPXW_061423P4260  We  DTE=13  L=58.80  B=55.00  A=55.30  IV=11.44   BS=5    AS=5    V=7     OI=18
SPXW_061523P4260  Th  DTE=14  L=58.80  B=54.80  A=56.70  IV=11.62   BS=1    AS=1    V=5     OI=8
SPX_061623P4260   Fr  DTE=15  L=56.63  B=53.70  A=58.00  IV=11.50   BS=200  AS=100  V=11    OI=53

IMHO nothing unusual in IV between days.

BUT: it's very suspect that the IV is all the same for both Call and Put (except for the last row). Hmm...
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Here's an updated version that includes also the absolute and relative changes (very interesting! :-)):
Code: 
Ticker=$SPX.X
AsOf=2023-06-01-Th-145131-EDT
US=4223.8200
K=4260.00

Calls:
SPXW_060123C4260  Th  DTE=0   L=0.07   B=0.05   A=0.10   IV=8.86    BS=33   AS=643  V=5024  OI=1481  Chg=-0.18 (-72.00%)
SPXW_060223C4260  Fr  DTE=1   L=2.69   B=2.50   A=2.60   IV=11.81   BS=296  AS=57   V=5473  OI=2194  Chg=1.53  (132.82%)
SPXW_060523C4260  Mo  DTE=4   L=5.58   B=5.50   A=5.70   IV=9.36    BS=77   AS=200  V=937   OI=1986  Chg=3.08  (123.20%)
SPXW_060623C4260  Tu  DTE=5   L=7.63   B=7.50   A=7.70   IV=9.65    BS=4    AS=93   V=768   OI=258   Chg=4.18  (120.97%)
SPXW_060723C4260  We  DTE=6   L=9.45   B=9.40   A=9.60   IV=9.84    BS=18   AS=65   V=1035  OI=2092  Chg=4.95  (109.86%)
SPXW_060823C4260  Th  DTE=7   L=11.81  B=11.50  A=11.80  IV=10.02   BS=46   AS=14   V=319   OI=394   Chg=5.76  (95.13%)
SPXW_060923C4260  Fr  DTE=8   L=14.00  B=13.60  A=13.90  IV=10.27   BS=102  AS=66   V=926   OI=1943  Chg=6.76  (93.26%)
SPXW_061223C4260  Mo  DTE=11  L=16.50  B=16.20  A=16.50  IV=9.72    BS=17   AS=15   V=88    OI=311   Chg=7.45  (82.32%)
SPXW_061323C4260  Tu  DTE=12  L=18.30  B=19.30  A=19.60  IV=10.33   BS=15   AS=15   V=93    OI=56    Chg=6.90  (60.53%)
SPXW_061423C4260  We  DTE=13  L=23.63  B=23.70  A=24.00  IV=11.44   BS=14   AS=10   V=30    OI=99    Chg=8.75  (58.84%)
SPXW_061523C4260  Th  DTE=14  L=26.28  B=26.20  A=26.70  IV=11.62   BS=31   AS=32   V=10    OI=115   Chg=9.33  (55.05%)
SPXW_061623C4260  Fr  DTE=15  L=28.20  B=28.00  A=28.40  IV=11.69   BS=23   AS=4    V=423   OI=765   Chg=9.80  (53.25%)

Puts:
SPXW_060123P4260  Th  DTE=0   L=36.60  B=35.70  A=36.50  IV=8.86    BS=10   AS=20   V=21    OI=29    Chg=-43.37(-54.23%)
SPXW_060223P4260  Fr  DTE=1   L=39.02  B=37.80  A=38.40  IV=11.81   BS=20   AS=20   V=36    OI=64    Chg=-41.41(-51.49%)
SPXW_060523P4260  Mo  DTE=4   L=41.35  B=40.10  A=41.10  IV=9.36    BS=12   AS=12   V=81    OI=68    Chg=-37.95(-47.86%)
SPXW_060623P4260  Tu  DTE=5   L=56.00  B=41.40  A=42.90  IV=9.65    BS=12   AS=12   V=2     OI=15    Chg=-23.43(-29.50%)
SPXW_060723P4260  We  DTE=6   L=44.45  B=42.90  A=44.50  IV=9.84    BS=1    AS=1    V=6     OI=8     Chg=-35.21(-44.20%)
SPXW_060823P4260  Th  DTE=7   L=58.20  B=42.20  A=45.60  IV=10.02   BS=103  AS=123  V=0     OI=5     Chg=-22.18(-27.60%)
SPXW_060923P4260  Fr  DTE=8   L=46.17  B=44.50  A=47.00  IV=10.27   BS=47   AS=100  V=58    OI=73    Chg=-34.58(-42.82%)
SPXW_061223P4260  Mo  DTE=11  L=47.96  B=46.00  A=49.50  IV=9.72    BS=100  AS=100  V=16    OI=2     Chg=-32.63(-40.49%)
SPXW_061323P4260  Tu  DTE=12  L=55.06  B=50.10  A=50.50  IV=10.33   BS=5    AS=5    V=16    OI=2     Chg=-27.22(-33.08%)
SPXW_061423P4260  We  DTE=13  L=58.80  B=55.00  A=55.30  IV=11.44   BS=5    AS=5    V=7     OI=18    Chg=-26.30(-30.90%)
SPXW_061523P4260  Th  DTE=14  L=58.80  B=54.80  A=56.70  IV=11.62   BS=1    AS=1    V=5     OI=8     Chg=-27.72(-32.04%)
SPX_061623P4260   Fr  DTE=15  L=56.63  B=53.70  A=58.00  IV=11.50   BS=200  AS=100  V=11    OI=53    Chg=-30.08(-34.69%)
 
stepandfetchit said:
FWIW: I have not observed any broker properly providing IV for tenor comparisons that are useful across business vs calendar days, so Power Etrade may be similar to the crowd. -- I had limited success converting to business days for an IV that is consistent across tenors, but is a lot of work (and down-stream confusion) to produce a non-standard set of metrics. You are not alone in stumbling across this anomaly.
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This is how I account for it. $424K day.

Retiring due to life events. GL to all.
 

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newwurldmn said:
you have a lot of factors for why Monday 4260 could be a lot higher than Friday.

I also use etrade but I would rather trust my own vol calcs (and I use European black scholes with no dividends). You should call them and ask them how they calculate the vol. if you can’t I will call my guy and ask him.

Edit: just don’t call the theta as income :)
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Hi, just sent you a PM
 
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