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Try comparing with the CME's deltas in their daily bulletin, e.g. http://www.cmegroup.com/daily_bulletin/Section49_S_And_P_500_Call_Options_2013135.pdf from http://www.cmegroup.com/tools-information/build-a-report.html However, as has been pointed out, there are no real true values...

So why are interested in bearish butterflies then? A bearish butterfly *is* a directional trade. "Insiders, amateurs or idiots" is way too strong language when there are people here successfully trading directional strategies.

I am not aware of any evidence that such an approach would work. I realize that that is the typical approach of many options educators, but I have not heard it justified satisfactorily. On theoretical grounds, the expectation of such an approach should be exactly zero. If each individual...

I doubt that any very simple strategy will be profitable (educational webinar hucksters notwithstanding). But it is certainly a great starting point for testing.

They will give the posted fees to anyone. They say "experienced" traders just to indicate they are not a full service broker where you can call up and discuss fundamentals of trades etc. You can also negotiate similar fees (maybe slightly higher) at other brokers. The only thing in what...

Not so if it is part of a long series of such trades as long as the overall statistics work out in your favor. Having some losing trades is inevitable and if you try desperately to rescue them you may just be throwing good money after bad.

Basically it sounds to me as if he is basically "averaging" up to 3 times as the market rises, widening out his profit zone in an attempt to to get "short the market" from an advantageous position before it finally declines, he hopes. I guess that's ok if planned in advance but it could...

Oh I thought you were using real prices. If they are simulated, it may be pretty hard to untangle idiosyncrasies of the simulation or model from idiosyncrasies of the market. It is still a very commendable endeavor though......I am trying simulations / back-testing also in R.

I specifically said that I mentioned the DDT page as a useful template that breaks down fees by component, for understanding the various fees charged by any broker. There are a (few) cases where other brokers can be cheaper, but in general the DDT fees are about the best you will be able to...

Wouldn't a bearish butterfly just be a normal butterfly with the central short strike price and the profitability zone below the current market price? Is there much more to it than that? Wouldn't any adjustments basically just aim to keep it delta neutral?

Depending on which years you tested, it may just be right. The market has been trending up for the past few years overall.......

Where is the money lost? On the put side or the call side? Is it lost on big moves? Woodard covers simulations similar to yours in http://www.creativeedge.com/book/personal-finance/9780132756099 You can read it free with a trial subscription. He has some filters to make it profitable.

Not necessarily because floor-traders / market makers do delta-hedge their positions constantly at almost zero cost to them, so to them the value of a short option (after hedging) may float nicely down to zero and they have made money in that case. I think that selling a straddle without...

For a good worksheet showing typical breakdown of the components of fees, see http://www.deepdiscounttrading.com/ It is useful no matter what broker you use. The largest component of fees is the exchange fee. You can get it cut by becoming a "member" or part of a member or leasing...

It works around it by assuming the mean is zero (ie. that there is no trend). But if the mean is not actually zero, i.e. if there is a trend, then use of non-centered vol (i.e "ditching the mean") is not valid, as far as I know. I think if you simulate a strong trend and its effect on...

You are misinterpreting the IB fees. Low broker commission = 0.85 Exchange fees etc. are added on top of that. So others charging 49 cents would be cheaper except that they usually charge additional platform fees or clearing fees which IB does not charge.

As noted by Martinghoul and others, this is incorrect. Consider a market which exhibits a steady climb over a period of time. Since returns are almost constant, realized and implied volatility (the standard deviation of returns) will be almost zero. So selling calls will lose a huge...

They assigned me a special representative for personal service also when I had an account there. When you have this, you call this rep. for any issue - you do not have to call different departments yourself as general customers do. I never asked for it, they just did it.

Common terminology is that FX is currencies and CFD is non currencies. I think that it is better not to consider an FX transaction to be a CFD because delivery is contemplated, even if it is never actually performed. There are special tax advantages to FX contracts in some jurisdictions...

I am just going by what an IB rep. said here on ET and do not know further.....