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I like your reverse vega play. Suppose I am going to do it now. STO Aug 1225 Put @ 7.3 BTO Sep 1200 Put @ 9.3 net debit 2.0 Case 1: Market going down at Aug. VIX increases, and BTC Aug 1225 Put for a loss, say at that time Aug 1225 Put @ 9.3 for a loss of $2. STO Dec 1175 Put...

Coach, If we don't look at the leverage, I don't see the benefit of moving to ES as commission cost for ES is higher than that of SPX. I understand the leverage can hurt me when I were wrong. The benefit of span margin is that the margin automatically releases when the probability of your...

Murray, Thank you for introducing me to vega play. I never look at vega when I open a combo. My analysis is always delta and theta driven. You are right that my risk is small for closing the short now. It is just an opportunity cost. I have been trading this naked diagonal (my 3-leg...

I don't have IB account. Can anyone tell me what the margin requirement for es aug 1130/1110 put credit spread? Like to get a feeling on span margin.

According to monte carlo simulation, it is better not to hedge in a long run. Reality always differs from simulation, and I don't have enough trade records to tell myself. :)

Murray, Thanks for sharing a wonderful document with us. I have 2 questions regarding closing a position. 1. It is true that hedging reduces your expected return. My monte carlo simulation also showed that the expected return is reduced if you have a pre-set cutloss point ( such as...

Mark, Thank you for your opinion on diagonal spread. My original question was concerned with vertical spread, but your idea on diagonal spread is very useful to me too. Coach has been trading credit spread with great success. However, it contradicts with conventional wisdom of buying low...

Coach, Since my first credit spread, I have been reading books regarding put credit spread. Because of the volatility skew, most books recommend selling high vol, and buying low vol using ratio spread. That means, they are selling a put, and buying more puts with a lower strike. It...

Murray, I have been looking at your diagonal spread for the last several days because of a better leverage compared to my 3-leg position. I seldomly trade from the volatility perspective. Do you have any good books recommended for diagonal spread?

I plan to open spx 1160/1150 credit spread on Monday. The margin should be 1000 for each contract. Anyone knows the span margin for the corresponding es credit spread? I don't have any future account, and will like to get an idea of the leverage that I can get if i switch to future options.

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Bob, This example showed that you took advantage of the fast decay of front month leg as compared to the back month. The time decay grows exponentially till expiration. You have to consider the possibility that RUT went up before July expiration. You might suffer a loss say if RUT...

How does it compare to "option volatility & pricing" by Natenberg?

Murray, Excellent work! I can see the profit on margin for these diagonals are pretty large with an average of over 20%, that I think is a lot larger than FOTM credit spreads. I found position #1 to #3 are similar diagonal puts with different strikes. I suspect you opened these positions...

For options, do you normally average down? I have OIH 120 naked puts opened already, and consider writing more puts as I believe OIH should hold well with cruel oil well about $70.

For options, do you normally average down? I have OIH 120 naked puts opened already, and consider writing more puts as I believe OIH should hold well with cruel oil well about $70.

How do you manage your fly with OIH dropping to around $135 now? I really don't have any experience with it, and I like to learn risk control for each of the strategies that I will be using in the future.

I didn't want to close the position today because the time premium is still pretty good like 20 - 30 cents. I probably will offset by buying or selling the underlying just before market close using market at close. I hate the bid ask spread of option price. Hopefully decimal increment in the...

Note this type of strategy has a naked leg. It means you have a potential of unlimited risk. The selection of the strike prices and ongoing risk management is the most important part for this type of strategy. I will suggest only experienced option traders like you and Coach with strong...

I have a short straddle with IWM at 69, opened a week ago. Since one will expire worthless, and one will be exercised, just wonder how you close the position. Do you close the position next Monday morning after it is exercised, or do you buy or sell IWM using market at close on Friday?