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To reduce b/a slippage I went with long synthetic ( atm puts + long shares) instead of natural straddle. Let's say 20 puts + 1000 shares instead of 20 straddles , to have it DN. Its worked well because I saved X $ by exiting only 20 contracts and not 40. But...I held position for few days only...

Correct . Just one thing to add :if skew is exists , you have to factor it in by calculating future vols based on stock's movement. If you don't have tools to do it , than just go more aggressive ( lesser interval) shorting on the way up and a passive buying on the way down.

I personally will go with puts+long stock due to new margins rules.Yes , Apr because of the reason you mentioned. Interval ? Anyone's guess ; its more of the art.It will also depends of position size , the larger the better. Right , the opening gaps are the most important because you adjust...

c23 , sure you can ; what stopping you to run deltas count in the pre/after market ? I do every day

no , the trade is GOOG only. GOOG might have ( and did before) nice opening gaps in sympathy with both YHOO and EBAY reports. Its time to put the liquid plumber aside , atticus. :)

Long GOOG vols and use YHOO's (17th) and AMZN ( 18th) reports for gamma scalping.

So how are new margins working for you guys so far ( IB users) ? My margins had a zero change/increase this week , but I currently have all long synthetics only. What about other types of positions with one week week before exp ?

yes , some of the bp diff is report's related , although I ran average on Apr exp , which have only 20% of reporting stocks. I think ( saw it before) its mostly due to the whacky HV calcs where one or two volatile days ( like 2/28) heavily weighting on HV's selected time period and redaction in...

Average vols on the 1000 most liquid US stocks are at 40 while their 10d HV is at 24...This is the highest IV/HV ratio I ever saw ; definetly not your "usual" 200bp ask/bid spread diff (to lock in a fairval) Just facts.

There is a stunning dis proportion in HV/IV ratio lately( equities)...never saw anything like this before...Good opportunities in naked shorting or long calendars for less aggressive traders.

What ? Rolling doesn't works ??? Phuuuuuuck !!!!!!

finally got it (this morning) !

those are stats arbs of diff vols across the months and not a skew between diff strikes within the same month.

Running first what ifs at 1:1 , then ( based on my scenario from the above) entering position at 2:3 to have : Front month loss =1$*2 Back month gains = 0.66*3

NP , I am definetly not advocating this enhancement...but here how I use it... I run a combine and separate (on the per-contract bases) PnL before I enter position. Lets say the worst case/max loss is at 0.34 cents on the custom End day. If 34 cents of combine loss breaking down to 1$ loss on...

I would of add second PnL choice : separate for each month. This way you can look at the max loss and go back and adjust front/back month ratio.

are u really that stupid or just play one on ET ?

nonpro , did you developed your own calculator ?

six years and counting ...education ? sure , CBOE tutorial , endless hours of what ifs PnL scenario's and many ET posts

IV of ABC must be > 100 to receive such a high premium...lemme guess ..DNDN ?