Recent content by kroponer

click on multiplier, deselect 10x and 1000x, optiontrader will refresh with just the standard 100x multiplier options. Not so hard.

Look up 'option straddle' on google. Also look up 'options straddle before earnings'. You can also search for it here on elitetrader, we've had the discussion before. Generally, the volatility will be priced into the options before earnings, and will collapse hard after announcement...

samer, not sure if you saw my earlier reply, but I'm pretty sure the white line will 'deflate' dramatically on a vola rise, and thus the protection you thought you had on the downside will evaporate. Just look at a simple OTM put backratio, a similar thing will happen. If you held all...

Just for reference, there are ES Futures options that are European style, trading with 2-4 ticks spread (ATM, OTM). The American style are usually 2-4 ticks too, though I've seen 1 tick spreads.

Maybe it's just drifting with Dollar/Yen, Nikkei?

Wider spread means inefficiency. That can be an edge. .... IB will force liquidate you in a moments notice because you are just customer #U7601212111, whereas with a broker where you have a relationship they will (likely?) give you time to make whole. Some posters on ET have documented...

Doesn't the white line drop substantially on a vola rise? That is, below breakeven. I don't mean drop linearly, I mean it will 'deflate'. Vola would be relatively high at 120 SPY as opposed to 162.

I have no insight into their strategy but it's plausible short calls in equity indexes would have been hard to handle in May. A 6% rally, low vix (low premium).

FWIW to the previous post, VIX mini futures only run 3 near term months. As to the OP's question, and how I interpreted it: You just don't calculate the constant maturity for the time period between F3-F4 because the data just doesn't exist...deal with it? i.e. say you were trying to...

"negative roll yield", search on google, gives a good explanation.

Think he said selling 1 strike OTM, combined with the dividend makes the return something like 20% annualized. Some type of 'boosting dividend yield' argument. Think I heard it last week on Fast Money. Also, that big scroll of text that is too small to read before the commercial prevents...

wallstreetoasis.com, register (worth the 2 minutes), use search function.

Haven't looked myself but, I would think there is a conditional that would execute at best bid/ask? i.e. 'if SPY is at 162.xx, buy 163 strike call at best ask.'

seems like a sad love story, waiting for a ship to return that never may. But don't worry, we're all gonna make it brah.