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now your throwing in new variables.. implied correlation between delta and implied correlation between vola.. why don't we just turn it into a complex mix of constituents and our view on vol,delta, correlation against our view on the index's and throw term structure risk on top of that..

similiarly selling vix calls is a lower risk strategy? go back to the drawing board haha.. Rocky man.. all i'm saying is your argument makes it sound like there is a smooth linear relationship between all the variables in which you "clearly" can make money.. vix can go low and stay low your...

there are some interesting points in this article... everyone knows i have thoroughly read Taleb and Espen... but .. the part in this article about squeezes.. "DS: You left a job as the senior options at the Union Bank of Switzerland to go to Chicago and become a floor trader. Why did you...

one thing people i think fail to realize is how many expressions they are making by doing such things.. adding complexity without much edge doesn't make sense alot of times.. your speculating about roll cost.. and how well the options on the vxx have that priced in.. its not like you can just...

vix expires dec 18th vxx expires dec 21st vix ATM right now is 15 strike put is .75 vxx 29 striked atm put is 1.70 your taking a view on term structure.. and if you actually have a view their are more profitable ways to do that.. no credit possible

so it sounds like a small enough position with limited risk... have you put it on yet?

thats some good fishin right there.. the old bait and switch

that you just stated was all understood... i understand the position your taking.. but its just hard to quantify what your actually holding in both positions respectively..

your trying to mitigate your risk will selling a vix put with contango decay in the vxx.. your basically expressing a view that at some point in the non linear lifetime of this trade.. contango in the vxx or actual vol will put your in profit.. sounds good on paper.. have you quantified...

vol goes up.. options pricing goes up.. the sharp swing down "can" inflates the options pricing to accommodate for higher volatility.. including call prices... a itm buy write would neutralize some of this.. the farther in the money the wider the spread.. the closer to expiration the more...

keyword "should" so much for quantitative finance.. find a cleaner way

With rolling out strikes and up on spreads to receive 80% of the original credit up to three times seem pretty wild.. I wonder if there is any parameter for when in the life of this trade does it start not to make sense to continue rolling... And what strike width makes more sense and why...

You'll find a lot of guys on here to be very helpful.. you should just try asking in a different way ha... like "hey man you don't know what your doin. What are you doing... show me. I might change my mind". Doesn't usually go over well

Its very simply a covered write strategy.. done right you become the dealer of these puts much like a market maker... adding a little directional intuition and correct hedging frequency it can have its up side... to stay neutral you have to keep shorting puts as the underlying rises.. your puts...

I did at the beginning

so i hear you say your hating ? haha i'm sure if he was short a ton of calls.. he hedged with the underlying as the calls got more and more deltas.. it does show the purchase of shares of the underlying

ha.. good come back kind of petty what goes online alot of times....just as much as there is no reason to lie.. theres no reason to make accusations.. just as there is nothing i'm getting out of this. this isn't constructive. what i always say.. if it doesn't apply let it fly.. and what...

i have talked with this guy on this thread.... i am curious as to his wear abouts.. the grave is full of unspoken stories of leveraged short premium sellers.. i'm sure of if..

ATM options lose their value faster closer to expiration i've seen stated in several places.. is this why these flys are within weeks of expiration usually.. if you were trading condors would you not be in front month/weekly options? or are these statements to broad to make a statement about...

omg http://www.yugop.com/