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Riskarb I don't know what you mean by the "10 minute <u>rule"</u> ? Just because one infringes margin requirements doesn't necessarily mean the NLV would put the account in debit, far from it. The whole point of margin is just that - it's a protection, a margin ! My point is that to...

Riskarb Even the most conservative trader, who pays attention to margin requirements, would fall foul if he was on the wrong side of a market free-fall. I agree it's wise not to margin the hilt, but margining for a market-freefall is a bit much, IMO. Depends what we mean by free-fall...

Another thing; When do IB have to make good their margin with the clearing house ? I bet it isn't real-time !

And how do you foresee a market freefall ???

Well, that for me is a good enough reason never to use IB, or any other broker with a similar policy. The cheapest broker isn't always the cheapest broker. I'd rather pay a few quid more in exchange for a bit of common sense. Option Trader I wish you luck, but I suspect IB's procedures...

Another thought (must stop it now), what is the VIX forward based on ?

On what basis will the VIX options be settled ? From memory isn't the VIX an average of the IV on just 6 ATM options ? If so, and depending just how the VIX options are settled, aren't they (VIX options) wide open to manipulation ? Just a thought...

1) An option trade is never long or short, it's just "open" - every buyer is matched with a seller. 2) Determining who initiated the option trade is difficult to impossible, depending on the market. 3) And even if you knew who initiated the trade, how do you know if it was speculation or a...

I don't know, but I do know the daily Theta isn't 0.0002 and offered a possible explanation as to why. I (and others) can't get any of the greek values you quoted to match - so something isn't right somewhere. Double check valuation date, expiry date, interest rates, Spot, Put price.

Fine, it's just that the value (0.0002) looked too big to be a daily decay as you suggested, and I wondered whether the original poster calculated the annual Theta by formula. Most published Theta formulas solve for annual decay.

Oh yeah, something wrong somewhere. Put Option with that Delta can't be worth that price. Anyway, he's got a rule of thumb calc now, which is what I think he was asking for. Don't know if you know this but Theta is normally quoted annually. So the daily decay rate is Theta/365.

With the emphasis on approximately you can use a leverage Calc.... <font color=#ffffff>……....................……………………</font color>Underlying Price Leverage = Option Delta x ------------------------ <font...

In your “best case scenario” where everything (including the index) drops 3% then yes, you can forget balancing, there is no need - just sell everything in the same quantity as you have done and you cannot lose, proving every single stock drops by the same %. But in the real world stocks...

Which brings me back to my point some time ago;

IV_Trader You are short dispersion / long correlation and you have correlated everything +1 in your spreadsheet example. In that case, whichever direction the market takes, providing everything correlates you - can’t lose ! Now for the bad news, if stocks disperse; In Column G try...

Not trying to start a fight either but..... Have a look at MSFT, AA, PG which all expired OTM yet show a bigger profit than the short premium received. Have a look at MO, which is trading (74.84) ITM against the 75 strike Put, yet is showing a delta of 48.45. How have you adjusted for...

But just wait for confirmation from others before you go launching into multiple Calenders...

Having thought about it some more, if IV spiked in the front month such to cause a spread loss which exceeded your initial debit, then what you are actually suggesting is that the front month option (short) must be worth more than the far month option (long). If that were to happen then there...

At expiry, yes. You want IV to rise across all months, as you have more Vega in the far dated than you do in the near dated - meaning the spread will profit from a rise in IV across both months. But in scenario you've given yes, you could lose more than your initial credit if you close out...

Cashflows; Buy stock - 76.30 Sell Call + 15.10 Buy Put -10.80 Net - $ 71.30 I see your point Don.