Search results

re: Mark17 What am I not understanding? i think you're confusing bond interest and bond pricing. true, if you hold a 2year note to maturity you get all the principal back plus interest (assuming the government doesn't default), but before maturity the note price will fluctuate with interest...

i plotted the spx iv constellation on tuesday and today. the cpi was released tuesday before the market open and wednesday afternoon (eastern time) the fed released the latest interest rate change. it should be no surprise that the iv dropped after a favorable cpi report, yet was still in...

this is a python program i wrote, but with a little work there's no reason why you can't duplicate this with excel and rtd data from thinkorswim.

i follow iv during the day. this is the at-the-money spx iv constellation for the next 25 days. i captured this near the close today. the base iv line was captured shortly after the open. the iv was pretty much unchanged today until the market started rising this afternoon. if i remember, i'll...

there is a way to model calendars in thinkorswim, but the problem is it won't be very accurate. the best you can hope to do is bound the approximate movement. you can model the volatility of each expiration separately and as you vary the values you'll see the t0 line move up or down depending on...

downloading csv files is too much work, i prefer using an api. twelvedata.com has a limited free api subscription with daily and intraday data. you have to register to get an api key. the attached python program will download data from twelvedata and convert it to a list and dataframe so you can...

usable on multiple operating systems. windows is on the way out.

visualization of the data is the key. i thought maybe a scrolling surface plot of the several near-term expiration iv. that would be challenging to program, but as an alternative, possibly just a family of scrolling lines would work, and monitor the relationship over time. the question is...

do oyu think there's any insight in taking at/near-the-money iv from all spx expirations and monitoring it in real-time? it likely will be somewhat noisy so it might need a smoothing function. i grabbed the atm iv today, after-hours but the data is questionable. it does show an elevated iv for...

if you use the calculated iv and the same other parameters and prices in both the put/call page and the stuff page, the fair value should be within a penny. they use the same model. the auto update doesn't use the systemtime function. i found the function declarations were in another module...

i removed the unused declarations and functions that were causing a problem in 64 bit office and updated the excel file.

the auto update button will start a 15 second timer and update the calculated iv as the prices change. you can stop the timer by unchecking the checkbox next to the button.

getsystemtime isn't used and can be safely deleted. gettimezoneinformation is referenced in Sub get_timezone(), Function LocalOffsetFromGMT and Function ConvertLocalToGMT. these aren't used functions but i've seen undeclared function errors pop up at times even when not used. it's better to...

i added a page to the original spreadsheet that will calculate the iv based on the inputs to the model. this page uses activex controls and a few vba functions and routines so it may not run on all excel installations and you have to enable macro permissions for this file. you enter the...

i want to clarify my comment about the spx not accounting for dividends. the dividend is lost, from comparing the index against the total return index, but the drop in price of the index components, on their ex-date, affects the index. the yield is currently 1.25%, based on spy. if the...

yup, that explains it. i should have thought of that. re spx and dividends - spx is an index and doesn't pay dividends, however, in my searching there's conflicting information about whether the spx accounts for dividends. one article from investopedia had conflicting information in the same...

when the bid/ask spreads become wide, sometimes it creates a situation where the iv calculations can't resolve to a valid number. in that case, thinkorswim just doesn't post a value. switching to volatility smile approximation mode causes the iv for calls and puts, of the same strike, to have...

marcas, i find that my spreadsheet model is very useful. a year or so ago, when i started trading dan's boxcar i did a spreadsheet to calculate all the setup and adjustment parameters using data from rtd. that evolved into adding a risk graph, and then adding adjustment capability. it's much...

on the puts tab, columns i, j and k are used to calculate the expiration values. although it's not necessary to use black-scholes to calculate expiration values with trades that use the same expiration, i just chose to do it. column i is referenced on the risk_graph tab for the expiration line.

you don't have the complete formula and you've removed the outer parentheses and 1other parenthesis after $c$22 so i'm not sure if that's what you meant to do. other than that, you've removed a redundant set of parentheses surrounding the ln(e3/$f$2). if you really meant to remove the outer...