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Risk , MTE was describing ( I think) a vols crash scenario with no/little change in price

true , reverse calendar should be done only one side : via puts. If you have access to data , check out today's JOYG reverse results ; puts did better than calls .

MTE , no way that combo swap ( 4 legs) can make money for retail trader , even if price going nowhere and vols collapsing.

segv , are you actually trading dispersion (any) ? If yes , do you put position every month ?

another merger insider trade via options...GLG. 15 cents 45 call is around 3.50 $ now. Some things will never change.

how did you got 4.30 (7.4-3.1) credit for 5 points spread ?

you mean right now?

segv , what do you mean by arbitrage ? A true arbitrage is not exists in dispersion , unless its full replication AND index IV is > than basket weighed IV ( which will never happens !). I offered ones to find a guarantee losing scenario ( on end of the month bases) in any dispersion position.

should we call it a voodoo economics ? :)

best proxy works good only in reverse dispersion ; you need to find a pair(s) that will go to diff directions and contribute zero to index's move , when playing long

Mr.D is old news ; check out Romik , amazing PnL !

excellent post

:)

Bit , is that really you or an imposter ?

season strategy : Short every ITM call with inflated vols , especially in skew is exists.

Mo , can you "translate" this post for us ? TIA :) :)

ACLU forced me to fire the elves , I got Wonka's ex crew working on the data entering now. :)

:)

going back to your original Q ; the more components in the Index the lesser is Index's IV ( vs weighed basket IV). Ask P-taker how to calculate it , if I remember correctly , he got the formula from Sle way back. Good luck

if stock has vols > 40 , he might lose on calls