Question on Straddle limit order price

[zeon 2]

If you believe I stock will make a move but are not sure in what direction a straddle is a good option. Is there a good way to calculate what the price of your limit order should be. I had some success with these in the past. Just wondering what factors one should look at when placing the limit order and can you determine a good price before the market opens ?

[Yowster 8,027]

9 hours ago, zeon said:

If you believe I stock will make a move but are not sure in what direction a straddle is a good option. Is there a good way to calculate what the price of your limit order should be. I had some success with these in the past. Just wondering what factors one should look at when placing the limit order and can you determine a good price before the market opens ?

For our pre-earnings straddles, we have RV charts to refer to that will compare straddle prices with prior earnings cycles.   But your question seems more general and will depend on what expiration you want to use?    A closer expiration means higher gamma (so your straddle price will grow more quickly if the stock price moves) but also higher negative theta (the straddle price will shrink more quickly if the stock price doesn't move).   The farther out you go, you get lower gamma and lower negative theta.   In general, you can use your broker's charting software to plot the price of the straddle over a few day/weeks to see how the current price compares to the recent past.

[urfiend 8]

1 hour ago, Yowster said:

For our pre-earnings straddles, we have RV charts to refer to that will compare straddle prices with prior earnings cycles.   But your question seems more general and will depend on what expiration you want to use?    A closer expiration means higher gamma (so your straddle price will grow more quickly if the stock price moves) but also higher negative theta (the straddle price will shrink more quickly if the stock price doesn't move).   The farther out you go, you get lower gamma and lower negative theta.   In general, you can use your broker's charting software to plot the price of the straddle over a few day/weeks to see how the current price compares to the recent past.

Hi Yowster

Can you tell me how to find this feature "ou can use your broker's charting software to plot the price of the straddle over a few day/weeks to see how the current price compares to the recent past"? Do Tradier, ThinkOrSwim, Tradestation or IB have it?

Do you know where I can find a IV chart for an option (ATM straddle) especially for ETF / index comparing it to previous weeks or months?

Thank you for your help

[Yowster 8,027]

1 minute ago, urfiend said:

Hi Yowster

Can you tell me how to find this feature "ou can use your broker's charting software to plot the price of the straddle over a few day/weeks to see how the current price compares to the recent past"? Do Tradier, ThinkOrSwim, Tradestation or IB have it?

Do you know where I can find a IV chart for an option (ATM straddle) especially for ETF / index comparing it to previous weeks or months?

Thank you for your help

With IB TWS you can do it.   I can't speak to the other broker platforms.

[rasar 1,890]

12 minutes ago, urfiend said:

Hi Yowster

Can you tell me how to find this feature "ou can use your broker's charting software to plot the price of the straddle over a few day/weeks to see how the current price compares to the recent past"? Do Tradier, ThinkOrSwim, Tradestation or IB have it?

Do you know where I can find a IV chart for an option (ATM straddle) especially for ETF / index comparing it to previous weeks or months?

Thank you for your help

On ToS, the option straddle (or any spread, for that matter) can be constructed as a simple math equation if you know how to identify the option. For example, the RV of the 26 Oct 87 straddle can be plotted as follows:

(.BUD181026P87+.BUD181026C87)/87*100
 

[urfiend 8]

1 minute ago, rasar said:

On ToS, the option straddle (or any spread, for that matter) can be constructed as a simple math equation if you know how to identify the option. For example, the RV of the 26 Oct 87 straddle can be plotted as follows:

(.BUD181026P87+.BUD181026C87)/87*100
 

Hi rasar

If I understand your message correctly, this would give me the RV of the 26 Oct 87 straddle at this time.

I am looking for a comparison of RV ATM straddle pricing over a time period for a good entry point (ETF / Index, I am not looking for earnings at this point).

E.g. change of RV ATM Straddle for SPY or TQQQ current to maybe a couple of weeks ago.

How would that work?

Thank you for your help

[cuegis 683]

16 minutes ago, Yowster said:

With IB TWS you can do it.   I can't speak to the other broker platforms.

In IB, are you referring to creating a straddle, putting it up on your watchlist, then creating a chart of this?

I think there was another question about creating a chart of the IV of the straddle.

I would be interested in seeing other ways of doing this.

There is so much that can be done in TWS, and they have upgrades like every week. It's hard to keep up with all of the developments.

[Arthur 32]

 

[cuegis 683]

17 minutes ago, urfiend said:

Hi rasar

If I understand your message correctly, this would give me the RV of the 26 Oct 87 straddle at this time.

I am looking for a comparison of RV ATM straddle pricing over a time period for a good entry point (ETF / Index, I am not looking for earnings at this point).

E.g. change of RV ATM Straddle for SPY or TQQQ current to maybe a couple of weeks ago.

How would that work?

Thank you for your help

I don't think that this can be done in Vol HQ,but I hope I'm wrong about that.

Everything in that software is based around earnings as "T-0" for the reference point for everything.

Originally it was designed to only be able to show everything related to pre earnings trades.

For example, it was setup to have the short leg of a calendar to be the first expiration after earnings.

 

I was able to have him make an adjustment to the program, a few months ago, to allow you to ask for the expiration "before, or "after" earnings, for the short leg.

This allowed you to be able to view a wider range of candidates , not only pre earnings trades.

But, I also would love to be able to see RV charts of positions that do not have earnings as a reference point.

 

For this reason, I don't think you can view ETF's, or indexes, since they do not have earnings, and there is no reference point in the program to create them.