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Sorry if I was unclear Mark. I didn't mean to be talking about being simultaneously short a call spread and a put spread which - as you say - would be a box. If I understood the OP correctly, he was observing that if he's short a call spread, when the market goes down he doesn't make as much...

Didn't the stock drop from about $25 to zero in a few weeks? Doesn't sound to me like a fun time to be short volatility.

That's fine when it works. But what if you had shorted Dendreon (DNDN) straddles prior to a big drug announcement a few years ago when it was around 4 dollars. When the announcement came out it gapped up to 12 and a few days later topped out at 25. Ouch! [B] Depends how they played it...

So, you find that bull put spreads have a "sweeter disposition" than bear call spreads? There's a reason for that. In a bear call spread, you are short the lower strike and long the higher strike. That position has a built-in disadvantage, because when the underlying goes up you will get...

Unfortunately, you're not the only one who knows that company is about to announce the outcome of a clinical trial, so IV will be high. As for volatility arbitrage - as a retail trader you cannot do volatility arbitrage, but you can do volatility spreads. But what I've been trying to...

Forget dynamic hedging - it may work well in academic papers but in real life it comes out to closing the barn door after the horse is gone. If playing the IV of options on stocks around earnings reports appeals to you, nothing wrong with that. Sounds like a perfectly valid approach. What I...

Think for a moment how you would actually create such a position - gamma neutral but long vega. The only way I know to do that would be to buy back month premium (options) and sell front month premium. If you do it at a ratio that gets you gamma neutral, you are buying more back month...

This question really belongs in the Options section - I almost didn't even see it here. Please re-post it there and you'll get a response from me and possibly others.

Well thanks, and I can say the same in return. I've learned a lot about the equity side of the game from your posts.

Right. And to take it a step further, it's a lot easier to keep tabs on gamma if there's a lot of time remaining until expiration. As expiration approaches, gamma becomes more and more "volatile," and changes in response to every move in the underlying.

Premium neutral has nothing to do with delta. It means gamma, vega and theta neutral (maybe that's what you meant). "Long premium" means long gamma, long vega and short theta. "Short premium" means short vega, short gamma and long theta. Short, long or neutral premium has nothing to do...

Xflat - maybe the fact that Philly started later than the CBOE actually gave it an edge - in that traders there "grew up" with the underlying readily available. When the CBOE started in the 70's, doing the underlying was a pain and as a result the culture and trading style there developed...

Ammo, were you an equity option MM? When I hear someone mostly think in terms of spreading options against other options, that's usually the sign of someone who cut their teeth on equity options. In options on futures you have the incredible convenience and luxury of having the underlying -...

The world has changed a lot since I was on the floor. Like some others in that pit at the time - including Charlie Cottle and Shelly Natenburg and Jim Bittman - I traded my own money exclusively. I was totally alone, totally on my own. I had to write my own option analysis program, and my own...

It's only an arbitrage if the options you're buying and selling against each other are at the same strike - a conversion or reversal. Otherwise it's a spread, not an arbitrage [B] I'm talking about doing this spread at a ratio that makes you gamma neutral, vega neutral, and theta...

I sensed a lot of animosity between him and Maria Bartiromo. She was always laughing openly at him. It was kinda weird... She once spent a whole minute or so mocking his pronunciation of "angst." I wonder if that had anything to do with it?

I don't know why you feel that you're confusing the shit out of yourself, you actually seem to have a very solid grasp of how all this works. Your scenarios for what happens when the underlying moves toward your short strike or your long strike or beyond are all spot-on. Maybe what you're...

An option is a contract. If I have no position and you have no position, and I sell you a call, then poof - an option contract has just been created out of thin air. If I sell you 100 contracts (options - calls for example) at $1, I'm assuming risk. If you still want to buy more calls, I...

What's missing in your example is, well, an actual example - a real world example of a position where you are neutral gamma but long theta. Generally speaking, if all your options have the same expiration, and you are neutral gamma, you will be neutral theta and vega too. Of course, gamma...

I use Hoadley and am very happy with it. I love the flexibility of it being basically a library of Excel functions. I use the strategy evaluation tool too. For $100 you can't beat it. I used to use Montgomery Investments' add-ins - they're excellent but many times more expensive. I don't...