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Shay: Personally, I would never want to be in a position where Assignment is possible without time for me to immediately close the new assigned position. So, to approximate taking to expiration, you may consider taking the position up to say, 15minuites prior to expiration, then closing the...

Shay: If you fail to close your short position that is ITM, you will be assigned, as you are aware. The "realistic" issue, is the time from Assignment to the time you are able to exit your "assigned" position, the price can CHANGE! I do not see how you plan to deal with this increase in RISK...

Shay: It seems you are looking for a "worst case" fill case. IF so, then you close your long PUT at the bid of 70 cents, and close your short PUT at the ask of 1.20, for a cost (not counting commissions) of 50 cents (+.70 - 1.20). You offset this by the initial 30 cent credit for a loss of 20...

I may have missunderstoood: I assumed your order was a GTC, and not one you deploy each day with your new stop limit price. If so, this may work fine for you. Note: some brokerages allow you to create orders like the one I mentioned earlier, where say you trigger on the underlying falling...

You have no guarantee the order will fill. Typically, if you have a stop loss, you have it there to limit further losses, which is not guaranteed with a stop LIMIT order. -- google "stop-limit orders" for more detail. -- an opening gap can be an unpleasant experience and not treat you nicely.

IMO: This is valid only for highly liquid options, such as ATM strikes on SPY. Look at the Bid and Asked prices for the strikes of interest over some extended time intervals to observe how loose they get. -- your order will be converted to a Market order at the worst possible moment! Whatever...

Robert: My advice, is take all information you receive here with a grain of salt. Some people THINK they know things, but are still missing some important details. If you examine SPX VS SPY you will observe that SPY exhibits the Dividend effect (price drops by the Dividend amount on the...

The extrinsic price of the option is near a maximum at the money, so you will basically "loose" that amount, and bet the price upward movement will more that offset that amount in your time window (your headwind is the Extrinsic value of the option being purchased). I trend-traded some ETF's in...

My concern with the new options (Wed close, and now Monday close), is they will take some of the liquidity from the normal Friday weeklies (increased slippage for active traders).

FYI: The colors on the 3-D plot are not really important. I think one COULD make a career out of developing a better understanding of Implied Volatility, and THEN may not be able to profit from that understanding. However, IMHO: Understanding IV better can help avoid many "sucker bets", and...

Are you aware, that with each post, you are altering your statements considerably? (a moving target). Prior example: was buy $20 strike call, sell $21 strike call. Now you are referencing $20 strike Call and Put assuming(?) both are priced at 50cents? Seems that the "specific example"...

I don't see a correlation between your example Vertical Spread and IV based option pricing! To understand the behavior of the vertical spread you reference: If you have access to TOS, the platform I am familiar with, you can use it's Analyze tab (or use ThinkBack) to tweak price and time to...

Below is a 3-D Scatter plot with a dot for the Mid-price derived IV for SPX PUT options a couple minutes ago. The regularity of the graph, may provide insight as to why one may use it to determine pricing! -- While it may be difficult to see, the color of the dots are as follows: 1) Red: The...

We may be getting slightly off target, but to follow up on some of the IV derivation: The IV derivation varies with the sophistication of the trader. The Greeks are computed based on the IV assumption/derivation. So, to some traders, the derivation of the IV is very critical to their trading...

FS: IMHO: Option prices are determined from supply and demand, not IV (IV is result of price) It may seem the "Tail is Wagging the Dog" at times. Do you have some specific example, which resulted in your question?

While not a 60 days value (my guess at what you mean by constant maturity 30 day contract against spot), have you considered looking at VXST (9D), VXV (90Day), VXMT (6Mo) etc, for fixed days to maturity IV data? These are not futures, but may give "constant maturity" reference points that may...

VIXcentral may be easier to extract the info you seek. "http://vixcentral.com/"

agreed!

marsman: another vote for your interpretation! --

Back test them and observe for yourself. My observations is long straddles and long strangles as a systematic trade have negative expectancy. Short straddles and short strangles as a systematic trade have a slight positive expectancy. In my opinion, you need an additional edge to make the...