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Hi, There's always been option skew, but the recent movements has really accelerated that skew. OTM puts for July crude has IV at ~43%, while OTM calls are ~37%. Looks like people are still very concerned about another leg down.

No, not illiquid expiring month. I'm talking July crude last week. On May 20th, at 13:00 CLN0 was trading at $68.80. 25 minutes later, it was trading at $70.20. If you look at a longer horizon, in 90 minutes, CLN0 actually went up $2.40 (from $68.80 to $71.20). On May 21st, at 9:35 AM...

It was only a little over a buck off the bottom. Last week, we had several intraday melt-ups of $2.00+. (Usually followed by $2.00 melt-downs). Just crazy intraday volatility.

I believe the answer is "yes". I've definitely had OTM commodity future options exercised on me. And I don't see anything on the CBOE site that would indicate someone *can't* exercise an OTM option if they so choose. So, if they were able to get a better price in the after market that...

You are exactly right, appreciate the information.

Yes, I've never heard of 60/40 applying to different "option strategies". That doesn't make sense... no way the IRS can possibly figure out whether you put on an iron condor or just speculated on naked options. 60/40 applies strictly to section 1256 contracts, meaning US-based futures and...

ES down 0.6% in the last 5 minutes. About to break 1110.

I'd love to see that thread, if you could point it out again... thank ya.

Extremely skittish today. German ban on short selling/fx derivatives is throwing up a lot of waves.

Hi there, Just noticing June crude futures has an ask/bid of a couple of ticks, at most. It's been this way for the last week or two. On the other hand, July futures has an ask/bid that's significantly larger... after-hours, spread goes up to as large as 6-8 ticks. Any reason for...

Cme has well defined price bands, and globex will automatically reject trades outside the band. ICE also has well defined trade bust policies. I've seen both in play numerous times. If you subscribe to CME mailing lists, you'll see price adjustments announced several times a week. During...

You will (most likely) be assigned. Friendly warning: if it's barely ITM, the option *may* be abandoned without exercise, and you won't find out until the next day. Similarly, if it's barely OTM, the option may still be exercised... (at least in futures; not positive about equities).

Frankly, history pretty clearly shows there is no "unacceptable" level of drawdown. Go look at returns for John W Henry's program.

Congrats, neke. I don't think I've ever commented on this thread, but I've always been a regular reader. I think you deserve two thumbs up just for sharing your results with grace during times good and bad. As far as results... you don't owe an explanation to anyone but your investors (if...

Europe's closed now, so potentially new ballgame..?

I've used it extensively via wifi. Basically identical to iPhone version, which I do use to place orders. I'm sure 3g would be fine too. It works fine with 3g on iPhone.

The iPhone version of itws absolutely does work on the ipad.

Hi there, As it happens, *I* am the manager in question... and that's why I'm trying to figure out what benchmark to recommend or use. :) I would say my portfolio weights are closer to GSCI/CRB than any of the other indexes. I'm about 45% energy, 35% soft commodities, 20% ags. No...

You must be missing my point, because I have made no position/statement regarding "passive investment strategies" in any context... well except as a footnote on that last post, saying that I believe options are largely fairly priced. When I talk about strike selection, it has nothing to do...

You're completely missing my point. Please go back and reconsider what I'm saying. The point isn't strike selection. The point isn't whether a passive "short straddle" is a winning strategy (I'm ABSOLUTELY not stating this). The point is how you *determine* whether any particular manager (or...