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You're a math guy maw, and I'm a nuts and bolts practical type. But I can see how the two can meet. To me, the test of true delta is this - if I'm long 100 very, very DITM calls, how many futures do I need to sell to be really neutral? If interest rates are 10% and I'm long 100 of the US...

I would hope so - but I have a lot of confidence in the ineptness of the SEC (or their willing blindness perhaps). I've definitely seen cases where IV suddenly jumped 10 percentage points a day for a few days preceding a announcement that sent prices soaring. I absolutely agree that volume...

I'm also skeptical that this was insider trading. Monday and Tuesday these puts closed at an IV of 73%. Today they closed at 64%. .03 bid at .04. Not exactly characteristic of the mad rush to buy at any price you'd expect to see if this volume was generated by folks who knew something...

Hi MAW - I knew you'd show up when I said "always." :D MAW, some time ago you explained how, in your opinion, an option's delta could be > 1.0. I never said that wasn't true - just that I couldn't figure out your reasoning. That's still true. So you can chalk that one up to stupidity on...

Nitro - haven't we been through this before? Not once but many times? The pattern seems to go like this: I say that every time the S&P 500 goes up, IV goes down, and every time the S&P 500 goes down, IV goes up. You come in and say that's not true. I post a chart of the last few days...

I can see why that would seem to make no sense Don. But I meant what I said - if it were me I WOULD want the underlying to move toward the strike because at that point I would be delta-neutral against the underlying. If I were long 100 DITM puts with no time value, they would have a delta of...

Right. And you also lose any POTENTIAL time value - such as you might get if the underlying moves back toward the strike. So even if there is no time value remaining, it's still not obvious that you want to early exercise.

Hoadley's Excel add-in package will integrate with IB in the sense that it will grab real-time prices from IB and import them into a spreadsheet. I don't think it will download your positions or anything like that.

While I totally agree with the cautionary statements made by others, you are right that at some point you have to plunge in. My experience is that you don't really learn anything until you bet (and lose) real money. The mistake people make - and that Mark and others are trying to save you from...

If you want to play the direction of the S&P 500 with options - and this is true of SPY options, SPX options, and ES options - it's important to keep in mind that every time the S&P 500 goes up, IV will drop. And every time the S&P 500 goes down, IV will rise. There is no more consistent...

Cutten, I didn't realize I was so transparent, but you nailed me dead to rights. It's true - the less opinion I have about the direction of the underlying, the better I do. But as your experience demonstrates, there's more than one way to skin an option. I could never make money trading the...

To me a better question is how would you trade options without a pricing model and greeks? First, you want to know whether the options you are considering are cheap or expensive historically speaking. Are they as cheap as they've ever been? Are they as expensive as they've ever been? Are...

Wrong wrong wrong and wrong. You have many misconceptions. First of all, you have to be a little more flexible - a lot more flexible actually - in your understanding of how to use BS. It works two ways - with a price you can get the implied volatility, and with a volatility you can get a...

What are you looking for? What do you want this screen to display? For about $100 you can buy the Hoadley Excel add-in package and make your own real-time option screen. www.hoadley.net You'll save a bundle and you'll be able to tweak it as you gain experience so it will do exactly what...

I look at it this way - if you've decided to go long gammas and short thetas, then you've determined that options are underpriced, or true volatility is about to rise, or some combination thereof. If your expectations come true, then a big part of your profits will come from rising IV. I'd...

I agree. I'm trying in vain to think of a scenario where I'd like to bet on higher actual volatility, while at the same time protecting myself against a fall in implied volatility. That's what the OP would be doing by buying 4 front month options to every 1 back month option he sells.

Reverse calendars make perfect sense as a way to short vega while remaining fairly neutral gamma and theta. But your ratio would be the opposite of what the OP posted - you would sell more of the back month than you would buy the front month. The practical problem with this is often that...

Of course it would. The put and the call at the same strike HAVE to trade at the same IV, or else there is a very easy arbitrage, called a conversion or reversal. That's what keeps things in line. In stocks there are exceptions. Put-call parity can get distorted by hard-to-borrow...

If the skew becomes parabolic, then the 75 put IV rises more than the 80 put IV, which is exactly what I said.

In a crash everyone wants puts, and the lower the strike, the more sought-after they are. So yes, if 80 puts have an astronomical rise in premium, 75 puts should have as much of a rise or more. If you want to be precise though, keep in mind that if the underlying remains above 80, the 80 puts...