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@GeorgeD oh, i thought you had a formula. i have thinkorswim and the lighter gray area on the risk graph is the standard deviation of the underlying stock, not the calendar break-evens. you can select the end date you want the standard deviation to span. i don't have option net explorer but...

@GeorgeD my understanding of calendars is from what my model shows me. there's always a possibility of a flaw. earlier you said you can calculate the break-evens. show me how and i'll try to incorporate it into my software.

the following graphs show a real calendar as well as a similar hypothetical calendar that demonstrate that higher volatility doesn't necessarily result in wider break-even prices. i took the original calendar parameters and slightly changed the prices to create a higher price and higher iv. then...

by definition, the initial price is the cost of the trade and doesn't change; ever. i agree with that. but if i may get technical for a minute, lets review what the vix is. it's an index representing the expected future value of volatility of the spx calculated from an complex formula combining...

marcas, i would add iv differential (horizontal skew or term structure) and calendar price to your list. these are the 2 parameters i'm most interested in researching. not only as initial conditions for starting a calendar, but how they affect it as they change over the life of it. the initial...

@GeorgeD: these are all very involved questions. i'll start with the first one. i assume by moving against you, you're referring to iv. the short answer is: there's no way to tell. but there are some general guidelines we can follow. volatility is mean-reverting so if it's very high, it will...

i'm also actively trading calendars and have done a fair amount of research on them. i'm currently looking at very short term calendars and trying to decode the iv differential puzzle with respect to backwardation and higher iv levels. i'm also experimenting with multiple calendar trades.

i ran into this problem before, if you use a different cell and equate it to the rtd cell you can detect that cell changing. i don't remember if the change event worked for that or if i had to use a recalculate event. but rtd usually updates frequently so a pop up may not be effective.

i don't use your indicator but my own criteria also indicated it was a bad time to enter a trade. i modeled a test trade anyway and it's not a disaster yet, but not doing so well. there was an opportunity to exit with a small profit today but i didn't take it. (4470/4420/4510 sep 29 expiration)

marketchameleon.com has some historical data on this. i don't know when they're sampling it but in theory you could compile past data and use market historical prices to fill in your spreadsheet. intra-day data for spx should be readily available. the marketchameleon imbalance data appears to...

the way i usually look at these is to see how much of a hedge i can get if the stock goes down, but if you only care about it going up you can use the option delta to decide at what point it's not worth keeping the current call or rolling up and or out in time. an at-the-money call has a 50...

the spy etf is cap-weighted and therefore has benefited from the recent rise in the largest tech stocks. a possible pairs trade is to compare the spy vs its equal-weight version, rsp. if you compare the relative performance between the 2 etfs, they usually trade in a close range relative to...

while waiting for divine intervention on my other project i thought i'd take a crack at this. it's much harder than i imagined, mainly because the WorksheetFunction.RTD didn't work. the function call returned immediatley with null. the problem seems to be that the rtd response is asynchronous...

if you know vba, there is a way to get this from WorksheetFunction.RTD. i've never used this but you have to be careful of bad data being returned, rtd isn't always reliable. you could start with an at-the-money strike and loop through strikes to find the delta you want.

what interesting requirements are you referring to? i read it quickly and it seemed fairly standard for an api. maybe i missed something. i think the official tastrtrade api release was monday. their api is fairly straight-forward but it doesn't allow a web client-only solution. they enforce...

for a follow-up, despite the big up-move in the market before the open, as usually happens with these binary events, the iv dropped and the trade was up 22% shortly after the open. the market continued selling off in the morning and it was up over 70% by mid-morning. despite entering at a bad...

today there was a discussion about using a 1 dte iron condor and trading it as if it was a 0 dte trade, closing it before the market closes. i thought that was a good idea, so i modeled one at 9:00 pacific time. at the time, i forgot about the cpi release tomorrow morning. the trade didn't do...

https://vimeo.com/720468103/b86fbaeba3 i can't recommend this since i haven't watched it, but this was posted in a discord channel. if i enter a link here it says it doesn't exist but it works in my browser.

morgan stanley bought e*trade. (the other morgan :) )