or few days
It is interesting what Paul pointed about behavior of Put Skew this days when market drops. I didn't check yet if this is the case today but assuming it is real tendency (it may seems like more and more trades are placed far OTM ) makes me wonder: isn't it that models using CEV predicts flattening of Skew? If so it looks like CEV may just add more error to calcs than help in this case. Is that right?
IMO there is no model that can predict what the p/l is going to be of any trade going forward. I looked at one of the trades I have on. Yesterday at the EOD it was at -6.58 deltas and the p/l was -120. when I looked at what the p/l would be with the SPX at 2309.75 I found that the p/l would look like this:
Raw T-0 line = -156.00
with volatility surface checked = -47.00
also adding CEV = -85.00
If I increased the vols 1 point:
Raw T-0 line = -379.00
with volatility surface checked = -323.00
also adding CEV = -46.00
My actual p/l on the trade at the EOD today = -175.00
As you can see none of those predictions came close to what was reality. It has been my experience that no one has the ability to accurately predict what the forward p/l pricing of a complex options trade will be.