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Yes but delta-hedged calls (or puts) have the same exposure as delta neutral straddles. You can use whatever futures available, just take future dividends into account. If the underlying does not pay dividends it's safe to use any futures, I doubt a change in interest rates will hurt you.

It's about rebates on exchange fees, nothing to do with tax. ASX charges less if you are a MM.

Sounds like you're in Oz :)

I doubt so, the same guys do programming for Excel usually. A rare trader is able to put together such a complex spreadsheet on his own. Yep, profits are falling. IMC closed down their HK office. Tibra's profits are going down as well, heard it's their second year with almost no bonuses.

Exactly the same. When I learned how one of the biggest european banks update its quotes I was a bit shocked. They fit vol curve in Excel and send vol per strike to Orc. No wonder they would be arbed if they quoted tighter. I'm in Oz. But most prop shops and ibanks trade HK from Oz.

ATM Calls delta hedged with futures are synthetic straddles. So you might consider trading straddles instead.

Sure, most of them can't be bothered about PMM role. Doing some MM stuff only to collect rebates to fund index arb. What's the difference in your view?

Both sides of a trade are done on exchange by a broker.

I have difficulty in defining what near free is for a retail trader. Every trader is different. How would you price it?

In asian markets MMs have to win the trades by being fast because brokers place retail orders on exchange. So if you are slow you don't get any flow. This might be different in the US. Guess this was still a vega neutral trade, so you are talking about vega on individual legs. Totally...

Well, in asian markets a PMM can make 30% of all the market volume. A PMM usually trades broker markets (i.e. dark pools) as well. Don't know much about US, their role might be different there. Most successful PMMs I know started with some commercial product like Orc and then built their own...

What's AMM? If you mean some sort of a Primary Market Maker (PMM) then they are not using these platforms. You can't compete using Orc against any serious MM. Too slow. They still might use it for back office type of stuff. What's volarb fund? If you mean someone trading skew and forward...

You don't have to close it. It's safe to hold it through expiration unless the stock is near one of the legs thus you could be exposed to pin risk. Another way to understand the resulting position (long call butterfly against short put butterfly) is to think about it as two box spreads. You can...

You can't do a cancel and then replace, it's a single message called CancelReplace which amends an order. What 1245 meant I guess is that you will need to send 2 CancelReplace messages, one for bid and one for ask.

What should be minimum cost for such solution, roughly? Is it possible to get something working below $1000/month? Did not know about SpiderRock. Thanks.

What are advanced/professional volatility trading software packages? By advanced/professional I mean that you can parametrize models for volatility curves/surfaces, see what options are bid over/offered under. Automatic spread hitting and auto-hedger is something I would like to have too. I...

Exactly. There are other reasons why someone would trade wider spreads but in the context of this discussion it's just more credit in exchange for more risk. I attached a picture of STOXX50 index options, the strikes in the circle have same IV (almost, the difference is too small)

On the second thought, if your underlying pays dividends then using spot does not make sense. Just use forward price with Black model, it's safer.

Yes it does. But if you back out the spot price using only one strike the price will be too inaccurate. The common practice is using all the strikes to find forward price (then you can calculate spot from forward). First, back out the implied forward price for each strike. Then find the weighted...

Well it does only if you don't adjust the ratio (by closing shorts or buying longs or both). If you do adjust then it's a completely different trade with completely different risk profile.