#Volatility
2 public posts on this topic.
Theory
Picking the Two Strikes on a Long-Dated Put Backspread: Three Yardsticks, Worked Out
Once the two strikes are set, the character of this structure is mostly decided. I ran cost, delta and standard deviation on a 60-day example to see where they meet, what changes between a 1x2 and a 1x3, and why index put skew works against it. All numbers are model outputs.
Record
I pull VIX1D from Cboe now
Accurate inputs make accurate calculations. A record of a 38% gap from a free source.