Search results

i know this is an old thread but there may still be some people reading it. one alternative to calculating the iv and greeks is to use a black-scholes pricing model and calculate the iv using the newton-rhapson method. you can't solve black-scholes for iv but you have all the other inputs for...

correction: it also gets reflected in the expiration graph.

it will not be reflected in the expiration graph, but all the previous trades are reflected in the current p/l graph, commonly referred to as t0. all the profits in my trade occurred in the strikes that were rolled. the remaining strikes show a loss. the profit/loss t0 curve is offset by the...

in a way it keeps track of the p/l credits and debits. i can't actually let the the options expire. it needs to have a closing price and closing date. when i do a roll it will record the closing price for the existing strike and add the new one. if i'm not adding a new strike it will just...

one thing i should mention is that i can't trade through the analysis software so it picks up mid-prices. after i do a trade i have to adjust the prices but that's somewhat of a pain. with qqq and spy the spreads are 1 or 2 cents so i don't bother fixing prices. sometimes i get price...

i closed the trade today, mainly because the iv has decreased so much. the theory on this trade is you buy the long term put and continue selling shorts over time against it. i was only in this trade 18 days but even the longs lost a lot of money. when i entered the trade i entered it as a...

i'm actually short 1 173 put, short 3 172 puts, and long 4 165 puts. the p/l is a little below 50% of the max profit at this time. the expiration graph, of course, will change depending on what happens to volatility. i've thought about exiting, but i can also roll out another week and expand...

no one seems interested in earnings trades, how about long term diagonals. in this trade i buy a deep out of the money put, 4 or more months out, and sell shorter term slightly out of the money puts against it. for the shorts i use weekly's, one or two weeks out and roll them as they get near...

that's not commercial software. when i started mentoring lessons a long time ago i didn't want to pay the high price for existing ones so i wrote my own.

thanks dan, i'll check out theotrade. status1, my pairs page on traderzstudio isn't a back test. it won't show any p/l until you reload a saved pair the following day. it will keep track of daily p/l over time. yes. researching for the right pairs is the key to pairs trading. the script i...

based on the underwhelming response, i guess no one here is trading pairs. or at least doesn't want to contribute. i've been doing some informal searching for information and stumbled on a site called quantopian.com. they have a lot of education on pairs trading and you can run simulations on...

this one didn't turn out very good. ntap opened down greater than the expected move but started to recover. at one point this trade was down over $50 per one-lot. the vol came in more than i predicted so that brought the expiration curve came down lower than my model predicted. note how much...

this is an earnings trade in ntap. they had earnings the after market close and it's not good. this is going to gap down tomorrow on the open and will be a challenge. the short expires friday and the long on the 22nd. these are all defined spreads. the expected move is +-5.6 and my estimate of...

i do lots of options trades on earnings. the trade i do most often is a weekly put diagonal, sell the week of earnings and buy the following week,lower strike. the analysis tools say this is a positive vega trade but it's really not. the front week iv drops much more than the back week. the...

does anyone in these forums trade pairs? i'm interested in doing this to remove the market risk. i'm curious as to what criteria and what method people use to find pairs. i know the obvious and maybe most common criteria is over/under performance, but you can also use the yield curve to trade...