Iv-Rank
may cycle setup: scanning the iv surface, automating strike selection
·1982 words
2:30 AM. wednesday.
april is basically wrapped. last weekly expiration cleared friday. monday was flat, tuesday had one small SPX position that ticked through on delta and I let it ride — closed today for +$1,100. running estimate: april MTD somewhere around +$16,500 when everything settles. YTD is going to land around +1.5%.
fixing the stale iv problem: thetadata websocket streaming for real-time greeks
·1745 words
2:30 AM friday. been at this since 9 PM.
promised myself two weeks ago, right in the middle of the tariff chaos, that i’d actually fix the IV rank staleness issue. the signal quality scoring work was the band-aid — a composite gate that tells the system “this signal isn’t reliable right now.” it worked. it’s in production. but the underlying problem was unchanged: during the spike, my IV rank was being computed from options data that was 10-14 minutes old. the signal wasn’t wrong, technically. it was just answering a question about a market that no longer existed.