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Futures option margining is risk-based, and is thus more rational than stock option margining IMHO. The minimum margin requirements are set by each exchange using the SPAN system and worst-scenario data the exchange determines and publishes in the SPAN files they make available every evening...

Are you absolutely certain she does? Unless she calls out all her orders as she puts them in, then count me a skeptic. I once checked out a trading room of a day trader who is probably much better than the average - but still, he often refused to show his orders ahead of time. After the...

Most of the information tools I use are Excel spreadsheets using Hoadley add-in functions and sometimes XLQ functions as well. When I first came to ET I read some of the messages and thought wow, I guess I'm the only one who finds trading to be a challenge. I really have xflat to thank for...

There is no painless way to trade options for a living. Trading for a living is a bitch. Very hard work, and unavoidably there are times when nothing goes right and you take losses. If you know everything there is to know about options, that just gets your foot in the door - it's the minimum...

The original (and still more liquid) vix futures contracts have a multiplier of 1000. Those are the ones with the symbol VX, as in VXM9 for June futures. A few months ago they introduced the vix mini futures contracts, which are 1/10 the size (multiplier of 100, just like the options)...

I think the "insurance" analogy is the best. Keep it simple simple simple. "An option is price insurance. A call insures against the price of something going up, a put insures against the price going down." If anyone asks why you would need to insure against the price going up, you can give...

I know you're just playing with scalping gammas to get a feel for it, and nothing wrong with that. But generally speaking, in my experience at least, buying premium and scalping gammas works best coming off a period of high complacency, when IV is near the low end of its historic range and has...

Since you talk about your "hedging style," I assume that you are talking about relative mispricings rather than absolute mispricings, and that you are spreading one option against another. If that is correct and the "mispricing" is relative, it really only has meaning in the context of...

No, IB mentions nothing. That was the point of those threads - how opaque IB is about the high borrow costs. The main thread was http://www.elitetrader.com/vb/showthread.php?s=&threadid=134814 - also some followup in http://www.elitetrader.com/vb/showthread.php?s=&threadid=161439

Me? Advocating that options are best used to trade the direction of the underlying? Perish the thought! I don't know how you managed to so thoroughly misread my comments. Identifying over/underpriced options, trading the skew and working every other aspect of pure volatility trading are...

Here's an article on the subject: http://www.elitetrader.com/vb/attachment.php?s=&postid=2013852

Again optiongirl, coherent thoughts well expressed. All any model can do is provide a starting point, a tool, for evaluating and comparing one option with another. From that point on it's up to you. BS and the like (Whaley, CRR, etc.) do the job. I'll concede that for a firm doing...

Look at the OP's question this way. Let's say you can either bet that a coin toss will come up heads, or you can bet that a roll of a die will come up 6. So which is the better bet? It's a stupid question, because you cannot possibly answer it without more information, such as the cost of...

Are you saying that there are strategies that give you a statistical edge regardless of what you pay? I hope you will share them with me.

It's not the strategy that gives you an edge, it's the price you paid for it. The edge comes from paying less than fair value, not from the option or spread itself. As obvious as that sounds, it's not widely understood. So to answer Optiongirl's question a little differently, success in...

Sorry Heech, I wouldn't know an IVM if I tripped over one. What does IVM stand for? Whatever it is, there must be a formula for it, and it should be something you can crunch in Excel, n'est-ce pas?

Bravo Optionsgirl. Nice to see someone thinking intelligent thoughts and asking intelligent questions. You are 100% correct. There is no option "strategy" per se that gives you a statistical edge. They're all just different ways of slicing and dicing the same old risk/reward pie. People...

To create a working version of any such thing, I use the Hoadley library of option functions for Excel. For $100 you can't go wrong. It includes a way of bringing price data into Excel spreadsheets (from IB among other data providers), and is much easier to work with than DDE. I've never...

Before you do anything, check and make sure their IVM numbers actually make some sense, actually correlate to reality. Ivolatility has some good stuff, but also an amazing tendency to publish information on its site that is not only wrong, but so wildly, totally off the mark that it just leaves...

Glad you figured out the borrowing cost before jumping in. Spin is glad too - saves him from having to read my hard-to-borrow arb story again!