Recent content by ChanTrader

What if you were to do this with a vertical (bull put spread) instead? That would keep your margin requirements the same throughout the entire process, so you wouldn't alter your position size. Your points about slippage / opportunity costs are well taken, but wouldn't those be a small price...

But what happens if you keep the contract size the same and sell the exact same strike price for the next month, even if it is ITM? Assuming the worst case, let's say the put is far ITM, and its value is now $30. The next month's put at the same strike price is $30.10 because it's so far ITM...

Apologies if the answer to this is obvious to veterans.. as a rookie I'm not seeing it.. Suppose you sell an European OTM put on an index. Then sh*t hits the fan and 3 days before expiration the market is way down and your put is ITM. You buy back the puts at a loss but offset the loss by...

Thanks a lot for these explanations. I can now understand why IV is generally higher for lower strike prices ('things' going down faster than up / puts as insurance). However, why is there delta skew as well? I had (falsely) assumed that a put and call with strikes equidistant from the...

When I compare an OTM bear call spread against an OTM bull put spread, the same distance (1 standard deviation) away from the current underlying index price, it seems like the calls are always cheaper (much less IV) than the puts. This has the effect of making it seem much better to be...

From what I understand, the VIX options are priced off the futures, and since the options are European style, you're making a bet on the volatility at expiration time, not current volatility. You mentioned that you'd roll out to the next month if you got into hot water, but what happens if...

Depending on how far back you want to backtest and depending on how soon you want to implement, couldn't you just develop software to record the tick-by-tick every day? Of course, you would only get data from the present day forward, but then at least you have every single piece of data you need.

Any serious theories as to why it's trading against the market so much today? Put call ratio definitely favors puts. Insiders dumping before earnings?

The bull put part of your DIA IC must be almost worthless by now.. have you considered closing it, locking the profit, and rolling the strikes higher to squeeze more premium?

Are you scaling down these trades for illustrative purposes on this journal or really just trading 1 contract at a time? Aren't the commissions killing your profits?

Wasn't planning on writing naked calls.. this was a purely covered call play (buy/write). But it won't work, as others politely pointed out. I was just checking out BXP, USB, and DOW, which all go ex tomorrow, and all day long the midpoint of the bid/ask on all the ITM calls was exactly at...

In your DIA IC, you mentioned that you try to have the current price as the midpoint between your bull put and bear call spreads. But your short 131 call is much closer and higher probability of loss than your relatively safer short 109 put. Is it because you feel that there isn't much upside...

How did you choose your strikes on the DIA IC?