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I use Thinkorswim and OptionsXpress.

1) Not really. The "volatility smile" we see in most options chains indicates that traders are already pricing in fat tails. 2) Not in volume. Even if you could find the exceptional mis-pricings I wonder if there is enough liquidity (far OTM contacts seem to be very thinly traded) to make...

Only marginally because I don't believe in taking on firm-specifc risk (U of Chicago trained...I can't help it). But I'm sure others would be very interested so please do tell.

Mav, you are so great at answering, I can't help but ask a question off the topic of this thread (i.e., calendars) so here goes: What about taxes? Options on broad based indices get section 1256 treatment (60% LT 40% ST cap gains taxes) while equity options are taxed 100% as short term cap...

OK...helpful as usual...what happens for larger lots? Say, 40 QQQ options?

I've used a similar legging-in strategy with some success on options (e.g., SPX) where the bid/ask spread can be several multiples of the minimum options tick. E.g., currently the ATM call is quoted 10.50 by 11.60, with a minimum tick of .10. If I'm looking to sell to open (legging into a...

Thanks for the quick response. Here's two followup questions: What if we replace QQQ stock with a long LEAP or other option with months until expiration. Is selling a call against it (i.e., calendar spread) still considered a hedge? Has any of this been documented in IRS regs or in case law?

This questions refers to US tax laws. Has anyone successfully claimed section 1256 treatment for options on QQQs? Options on other ETFs?

People do make money on options. You might want to have a look at The Options Edge by William R. Gallacher, which looks at the issue from the perspective of the option writer. One would have to agree with your statement "I don't believe you can successfully trade options without a view on...

Ditto in spades, especially with respect to VAR and greeks.

Mav: You're making it too hard. Seems to me that you have to have two conditions to make your strategy work: 1) You have to do enough of these to diversify away firm-specific risk. 2) You have to have the "secret sauce" with respect to spotting resistance/support levels. My...

I use Hoadley's stuff and it is defintely the best value-for-money out there. He's an Aussie, so hurry up and get it before the dollar falls even further.

Hello MD, a few top-of-mind comments Interesting strategy and it strikes me that most of the major indices arguably meet your criteria. I checked XAU and NEM on optionsXpress. XAU does not appear to have LEAPS listed. NEM does but they are VERY thinly traded. There are less than 5000...

Sorry, should have said "bottoms" ...from your comments I trust that you did get in at least near the bottoms. I take encouragement from your other comments. I've only been doing this full time for a couple of years and have paid some expensive tuition at the school of hard knocks. But it...

Mea culpa on the sloppy "vol is inefficently priced" comment. I withdraw the comment and in doing so would beg another chance. Here goes: Insurance companies can pool individual risks and diversify away some of it. Providing this service gives them the opportunity to make an economic...

Actually I have been taking out serious (for me) money from the options market using a strategy that I've honed over the past few years and believe to be sound. In spite of this -- or maybe because of it -- I wonder if I haven't just been on an incredible roll of luck. Hence my musings above...

I very much appreciate your thoughtful (and thought provoking reply). With respect to efficient markets: all the original hypothesis claimed was that the typical investor (using TA, FA, voodoo, whatever) can't beat the market. It later got elaborated into the Efficient Market Theory with all...

Thanks for the reply. I'm always looking for pushback to my idiosyncratic views. Efficiency does not mean "not-mis-priced" the way I'm using the term. Rather it means that typical investors, on average, will not beat the market. Let's take as a representative body of typical...

Thanks RT...do you use their accounting software?

Only the paranoid survive: they really are out there listening.