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there are plenty of US-based futures brokers that provide very low intraday margin, i.e. more than enough rope to hang yourself.

Cottle describes a interesting gamma scalping technique that he credits to Saliba. Instead of adjusting deltas with the underlying, Saliba would adjust with backspreads, in both directions. These adjustments pile on more and more gamma (and theta burn as a consequence), but apparently, Saliba...

doesn't he have a short book now in US bonds? sure, he's using every opportunity to talk bonds down.

nice chart, but i'm doubtful that the collapse of western civilization is monday's trade.

you must still be on ESM1 then. U1 never got to 75.

atty, nice trade on that AAPL summer vol fly. nice marks from 26 long. grats.

perfectly good trade, but you bailed on it.

Jun to Sep roll is tomorrow.

Another way to look to at the problem is to ask "Would I put this position on today at these prices?" If you view (dissect) your original position as a 136/38/40 butterfly plus a short 140/146 vertical, you can ask the questions: 1) Would I put on the 136/38/40 butterfly today for (a nice...

Buy the Aug 140/146 call vertical 6 times for about .31 ($186), creating a risk-free 136/38/40 butterfly, i.e. a butterfly with a guaranteed minimum profit of $256 ($446 unrealized profit - $186). While the probability of hitting your current maximum loss of about $3000 is low, you cannot...

I believe it's generally accepted these days that poker is a game of skill. If your skill level is higher than most of the other players, you can make decisions that are +EV. The difficult reality of poker is that you can make all the right decisions and still lose outcome after outcome...

Having played a ton of live poker, I found it hard to concentrate on both trading and poker. You can do both of course, but you cannot do both with the same vigor. At least I couldn't. I never played online poker, only live, so it entailed driving a non-trivial distance to the card room and...

"Hey you bastards, I'm still here..." <iframe title="YouTube video player" width="640" height="390" src="http://www.youtube.com/embed/4XGWXmxmaoE#t=2m53s" frameborder="0" allowfullscreen></iframe>

Note my error above. 20 independent trials of 5 can miss a losing streak that crosses the 5 event trial boundaries: [11100] followed by [00011] does indeed have a [00000] 5 streak loser crossing the boundary. Some additional recursive math is needed. Probabilities are higher as a result.

It's a binomial distribution with P=0.75. The probability of 5 trials and no successes is: b(x=0; 5, 0.75) = 5C0 * (0.75)^0 * (0.25)^5 = 0.0009765625. Next you can use the above probability of losing 5 times in a row as a new binomial game. The probability of not seeing a 5 event losing...

Sell a 6 month straddle, cover it in 3 months, or when your vol target is reached. Pray that vol doesn't run away from you. It's a pure -vega play. Gamma should hardly be an issue for a long while.

You have an edge there with a nice vol smile or forward skew. You don't see that skew ordinarily in stocks or stock indices which exhibit more of a smirk (reverse skew - higher vols down the line, lower vols up).

Whether or not covered calls/naked puts smooth out volatility of returns is a separate question from whether or not implied volatility of options tend to be persistently higher than realized volatility.

Didn't you want declining vol (-vega) in your OP? Now you want +vega? Which is it?

nice gap up of 130 S&P points today, er, wait, oh yeah, it's tos. my bad.