Recent content by Capt Hobbes

do.call(merge, lapply(temp, function(x) get(x)[,4]))

Below the ask I mean that before I buy TWS shows a composite quote for the combo. The ask of that is what I'd get if bought both long legs at the ask and sold both short legs at the bid. In case of a condor it's a negative value since it's a net credit. I set the limit lower than that ask...

I just did my first trade with IB. It was a combo (iron condor), buy limit order below the ask. I ended up paying the full $0.70 plus fees commission with no rebates. So does this mean: - a non-marketable limit order is not considered as adding liquidity if it's a combo? - is there a way to...

It's been eliminated. You can see the current rules here: http://cchwallstreet.com/CBOE/Rules/ It says: Rule 6.8A. Reserved Approved September 12, 2000 (00-01); amended October 3, 2002 (02-56); January 12, 2005 (04-91).

Google is your friend (sometimes) http://www.sec.gov/rules/sro/cboe/34-51030.pdf

Find a good position PnL simulator and play with it. Expiration PnL is pretty misleading for BWBs because unlike most other strategies, the curve doesn't just grow upwards into the expiration shape, it also moves horizontally, starting far to the left of the actual strikes. No voodoo here, it's...

Black-Scholes is a differential equation, and you can't rearrange it with just algebra to run backward from price to volatility. But numerically, you can get volatility for a given price by probing for it like panzerman's program does.

What about rolling out to a further term? Suppose the underlying is not showing any directional change, but get more volatile. My directional opinion is unchanged, but the wider moves are threatening my money management stop. It seems that a further month spread would get me a lower delta until...

Thanks, yes, that makes sense. I don't have a rolling strategy in mind. What I'm looking for is how to see a timed position though, especially early in its life. Here is what I mean. Suppose the underlying has just had an impressive sell-off or run-up and it's now at the point where I believe...

Yes, I'd love to find a broker who will let me adjust the entry time after I put on a trade. :)

I was a bit surprised that the discussion of credit vertical spreads in Jabbour's Options Trader's Handbook takes a grand total of one page, basically saying there are no viable adjustments. All you can do is close once the target profit or loss limit is reached. Really?

It is selling insurance. What I don't understand is it it works, why aren't there hedge funds selling it by the truckload until it stops working?

Thank you everyone for the replies so far! panzerman, I understand the theory. But like they say--in theory, theory and practice are the same, but in practice they are not. Expected payoff hinges on the relationship between probability of winning and risk/reward ratio. What I don't see is how...