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Its not just AAPL , Mav posted couple of days ago that QQQQ and DIA shares are not shortable too. So what is next ? Huge short squeeze or a free fall ?

not available to short ( IB). Oh my , are we going on the wild ride soon ? " We report , you decide " , LOL

no , you enter this trade AFTER big spike in vols. You take an OTM puts spread for a buck ( 2-3-4% away form ATM , whatever will be available then , like 1280-1285 , 5 point spread). Same with call spread for 4$ on a 15-20 points. If market tanks big , you guarantee to break even. If its goes up...

OC , next time when SPX vols will hit the roof ( like in the summer) , instead of hedging the spread with VIX options , consider this : enter a 1$ a 5 point put spread. enter a 4 $ a 15-20 points call spread. obviously no need to protect the downside . If market goes up that will...

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Bingo ! ( they why I entered it yesterday)

On Index ? Not such a good idea because of opening gaps. Large hedging interval via spot to adjust delta/protect short strikes and then whipsaw affect. Repeat the above in loop. IMO , but many will probably disagree.

long calls on OTM LEAPS caries a danger of cash buy-out ( well , probably not in case of AAPL). How much your calls would be at 84 ( nice 20 % premium) ? Four bucks . A loss of 7$ on best possible news ! :)

[/B] SHPGY inflated vols is not report related ( probably FDA ) , stock reported just a week ago. It's almost impossible to model this type of event ; just too many unknown. Took RC on RHAT yesterday , so far so good.

sure I do , not much going on now ( no reporting) , but its all starts soon :)

not really. Since 2001 stocks slowly drifted from upper percentiles to lowest , second or third. Where would be your entry point to go long on vols ? At fifth , third ? You would of lose a lot of money. Even the lowest percentile is not safe , because any entity can build a lower lows. Also ...

very much so...

Dude , but I learned a lot from you , please stay ! http://www.elitetrader.com/vb/showthread.php?s=&postid=1193131#post1193131

yes . let me know if you will have location in Princeton , NJ

Mooore Money ! Where have you been lately ? You missed my two big calls ( 1000 bp each in only 2 days !).That's what dealing with exotics ( options and/or girls) will do to you. "Come inside my trading (chat) room" , lol

I see. I always backtesting on a 100 nominal example. Used the 16/24 skew scenario ( 50% , which will exists on Index or GOOG only when market tanks). I will repost the real numbers when conditions=true. Thanks again , Mav

spot(Index) at 100 , days to exp=30 sell 1 95 call = 5.80 sell 1 95 put = 0.80 buy 1 105 call = 0.35 buy 1 105 put = 5.35 long 100 shares Thanks a lot , Mav

what advise you are looking for ? Programming ( not me) or "rules and exceptions" for diff IV calculations scenarios ? There are a lot of them. BTW , one of them is in par 5 ; you cannot use "last trade" to calculate IV. Last trade in illiquid options could of be a week ago and price of spot...

sorry , should of be : "long 100 shares". Trying to put risk arbs using the vols skew...but margins are killer. Thanks , OC

OC , how would you calculated retail ( and prop) margins on this position(disregarding premium received) : Spot is at 100 sell 1 - 95 call sell 1 - 95 put buy 1 - 105 call buy 1 - 105 put short 100 shares all options are for the same month. TIA