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

darp said:
Thanks. You do not have to to that. I trusted the IVs too much. Now with this info I can mentally sanity check it. On those two options the prices are inline if anything Monday may have higher real IV. For my purposes I can look at them and my mind can tell me, they are not crazy prices. Cheers
More...

fwiw, bbg has 14/9 for respective vols.... bloomberg's calcs aren't very good though.
and my model has 12.5/12 and those aren't very good either.
 
newwurldmn said:
fwiw, bbg has 14/9 for respective vols.... bloomberg's calcs aren't very good though.
and my model has 12.5/12 and those aren't very good either.
More...
Sounds like you have the best. Maybe someone should put you up for a Noble.
 
I have a trade on this calendar... It was 16 11 on Tos today too, I though it was tomorrow nfp.
I need to re-consider this now.
 
SPX IV this Friday Vs M-T-W-T-F next week 16% vs 11%??

-Tomorrow is NFP. Maybe that's why tomorrow's IV is higher if you observed it to be higher?
 
newwurldmn said:
Point is publicly available models aren't managing short term options very well.
More...
Agree! Note that CBOE new 1DTE SPX IV (https://cdn.cboe.com/api/global/us_...x_Methodology_Cboe_1-Day_Volatility_Index.pdf) is using Business days instead of Calendar days to partially address this. Eventually, folks (vendors, brokerage houses) will clean up their IV derivations which were fine in the past with the monthlies, but have developed a foul stench now that daily expirations are common.(calendar and business time can no longer be considered equivalent)
 
Give you a hint. Your vols. will be wrong if you price off of the spot. That's why the error is reasonably consistent. Takes a fair amount of tech, but you'll need to create a 0DTE implied forward - essentially a 0DTE future
 
$SPX.X @ TD Ameritrade
These are/was the data of strike 4260 of the next 16 days as of yesterday:
Code: 
Ticker=$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...
 
Last edited:
When you price options, if the put and calls have the same vol it’s proof that the Zionist globalists are working with the banksters to commit fraud.

you should tread carefully. If you are caught taking from their earning scam, you will likely find yourself in jail.
 
Lots of good comments. Thanks guys.

Well I had trades on, which did not pull off, that lost big yesterday, counter the otion models. Premkt TOS is telling me I will make it 2X back today. Will believe it when see it.
 
You must log in or register to reply here.
Back
Top