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a few people expressed interest in implementing a risk graph in excel. my previous implementations use visual basic, but i explained to some how it can be done w/o software. i found a spreadsheet on the web, called "Options Greeks Calculator.xls", that uses only excel functions to implement...

i have a spreadsheet that will download data from twelvedata.com. it just does basic https downloads from their api. you can read the api documantaion on their web site to determine what data you can get. you will need an api key to use this spreadsheet, and is free once you register. the...

i discovered a data source that has an excel add-on to retrieve stock data (no options) from their api. they have a limited free subscription level, but you have to sign up and get an api key. you're limited to 8 requests per minute and 800 requests per day with the free subscription. if you...

gariki, i have a risk graph with p/l calculations in excel. it heavily depends on vba, but i think it's possible to do it w/o software. it would be messy, though. my spreadsheet was designed for a specific trade, not a general analysis tool. if you want to talk about how i did it, start a...

i'm not defending the trade, but there are a few things i remember about the bearish butterfly. the downside adjustment is to roll down the butterfly. when you roll down, you generally buy a cheaper butterfly. i modeled a butterfly and adjusted it down 30 points. i set the original strikes to...

i don't use optionnet explorer so i can't answer your question directly, but i wouldn't make live trading decisions on beta software. beta is meant for testing.

i think mark is referring to cases where the seller can't deliver on the put, the broker platform can't execute trades, the markets are halted, or some other catastrophic event. i don't remember the details of the market halt in 2008. i didn't have any open positions at the time. i'm not sure...

many years ago i was on a mission to develop an rtd client in java. i searched for information and found a python implementation. at the time, i didn't know python so i never did anything with it. python can read and write excel files, and i assume it can also read and write...

if you're referring to wayne's presentation, i don't have a link, but it was in the beginner and small account trading group in early december 2020, i think. maybe wayne has the link.

i haven't seen a problem with vix, but when using /vx futures i did see problems. sometime in the past it seems thinkorswim changed the symbols for the futures by appending :XCBF to the symbol. without using the addition it sometimes works, but i haven't seen ant problem after i updated my...

excel throttles updates to 2 seconds (i think), by default. every link you have will use some bandwidth but if you're not using a huge number of links it's likely not going to be a problem. my largest spreadsheet only has a 300-400 links and i don't see a problem. some people use thousands of...

with the rtd protocol, the server (thinkorswim in this case) only sends data to the client on value changes. if the value doesn't change there's no transfer. this generally happens after hours and on weekends when there's no data updates. reloading the spreadsheet will force an rtd update...

i'm using just a black-scholes model and yes, it has flaws. all else being equal, dividends increase put prices and decrease call prices, so a dividend effect should make the puts more expensive. i looked at similar pricing on the /es option combos and didn't see a similar anomaly. i don't...

marcas, i modeled all three and it looks to me like the 5 dte put is underpriced. the put iv seems low to me, relative to the calls. now, why would it be underpriced? i suspect it's a combination of after-hours pricing and the fact that the markets are closed on monday, due to the holiday. i...

marcas and i worked on a script (marcas did the hard part) to plot some graphs to visualize the effect of a 1 point skew on puts, over a range of implied volatility and days to expiration. the script needs a public server to enable interactive use so i just took a few screen shots that should...

marcas, is that a hint for me to do more work or are you volunteering? :) dte will definitely have an impact. i used 37 dte over 3 iv levels. the iv levels have an impact but on the spreads, less than i imagined. i'd be happy to look at some of your iv work.

after thinking about this discussion i got curious: what is vol skew actually worth? i ran a few theoretical calculations for some spx out of the money put spreads, 50 points wide, using the same volatility and then using a 1 point skew, all at 3 different vol levels. the results are in the...

in my mind, this is a much more intuitive approach to understanding skew. the way i learned it is that when skew is high, puts are expensive and put spreads are cheap. i don't think about it as buying or selling volatility, i think of it as buying or selling premium.

my initial reaction to adding volatilities was based on seeing the slide using negative volatilities (which don't exist) and multiplying volatilities, which you shouldn't do. but after examining it in more detail, i realized all wayne is doing is comparing the skew of the debit spread vs the...

wayne, i remember from a long time ago when i was writing my options analyzer, i read a paper that said it's mathematically incorrect to add volatilities. for this reason i didn't implement it but i didn't document the correct algorithm, nor the reference i read. i tried searching for it but...