How to create an Excel table containing butterfly prices

[Suckow]

The data with the cyan background is from OV to Excel as you have shown in the video. Since there is no mid-price, I used your formula: (Bid+Ask) / 2

The data on the "OV Price" line is the same butterflies, same date, same expiration, but this time I entered them directly in OV like this:

I understand that the mid-price is different and thus we get a different price for the butterfly.

I'm concerned that the observation of butterfly pricing and skew change will be unreliable if one method shows me the price is going up while the other method says it's going down.

 

[Marcas]

Jeffrey, not being user of OV, I can only speculate.
I have seen that in OV you have a choice to use different methods to obtain MID prices. It is cool feature. Discrepancies may be result of OV on your computer using one of those setups, not simple formula you are using in spreadsheet. If this is not the case I would contact OV team directly for explanation. OV had or still have a bug that sometimes shows different greeks for seemingly same inputs, I don't think MID is similar but who knows. It is good to know your trading software well.

 

[Kevin Lee]

The data with the cyan background is from OV to Excel as you have shown in the video. Since there is no mid-price, I used your formula: (Bid+Ask) / 2

The data on the "OV Price" line is the same butterflies, same date, same expiration, but this time I entered them directly in OV like this:

I understand that the mid-price is different and thus we get a different price for the butterfly.

I'm concerned that the observation of butterfly pricing and skew change will be unreliable if one method shows me the price is going up while the other method says it's going down.

Since I did the video, OV has already added "Mid Price" as one of the download items. Try that. Then compare the downloaded mid price of the individual option with what you see on OV. If there is a difference, then it's a bug. You should report that to OV.

 

[Suckow]

Kevin, Marcas,
Sorry to have disturbed you for nothing.
Everything works perfectly well.
I had circled the wrong butterflies (the ATM instead of 30 points below), that's why I was getting the wrong price comparaison.

I now want to compare also the ratios between:
Upper Long IV / Short IV
Upper Long IV / Lower long IV
Upper long price / Short price
etc...
to get a feel of how all the parts are moving. I'll work on this.
Thanks.

 

[RJM]

I'm slowing migrating threads that I want to keep. This was just the first. It's a tedious process.

Tom, your efforts are much appreciated!