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Just a thought.... I don't know where your positions are strike priced at, but we've left on the next month longs and just sold a put against them and converted into a diagonal. What has happed is a mixed portfolio of diagonals and spreads. The diagonals turn into spreads. The...

In a spread..... you have 'nuetralized' volatility.... and opposing deltas.... In the diagonal, you have VEGA either working for you or against you, and in most instances, the call side works against you. That said, today is a good example where the volatility, because of some ISM inflation...

FYI, The 1300c/1315c Diagonal is looking good... approaching maximum profit range.... unlike the vertical spread! It's quite a bit different in nature than spreads... this is what we like about it. M~

ToS Spread Hacker? Been passing time investigating with TOS's spread hacker. Does anyone have any worthwhile experiences to share using this feature?

It's very easy, using TOS. If you watch the video it really does a nice job explaining all the features. The videos are in the HELP tab. You'll be glad you 'spent' the time. M~

The diagonal doesn't show a profit until the THETA goes away or the volatility spikes. Neither of those situations have occured. But just for an instance, imagine the Aug 1315c expiring worthless... what is currently left in the Sept 1330, I show $4.95 My upper call diagonal cost .30 to...

Easier than that would be to SKYPE. If you haven't trided it... it's better than phone quality... it's over the internet... it can also display video... and it's FREE. For that matter... you can conference chat on Yahoo Messenger also.. and it's FREE. The quality of these internet...

Time to sail......... be back later tonight. Rumor has it Maverick is lurking again....

Delta can increase or decrease the return... pending on how close to the short strike and at what volatility level there is... Delta move down is nicer... but delta move beyond and way beyong the upside call... would not be nice. In general.. delta is less of a concern. Now.. with...

We do it with puts... because it has a nicer SKEW.. will hold downside put values for the next month out... much better than call side. By middle... we project an area of the diagonal where we may want to profit from between the call and put side diagonals. Last months positions were...

Usually not much 'extended' or reversion premium available in the call side because of the nature of VIX. But.. occasionally... on FED 'big mouth' days or extended long monthly rallies, you will see a little. It's definitely a Put side play.

Nope... you nuetralize VEGA... will take a loss on the Credit Spread. Remember, the credit spread is the same month, you need the next month out in the diagonal... which will increase with VEGA. Credit spreads are delta driven... really not THETA driven until the last 3 days to...

That's correct.... but what if the panic selling doesn't happen. On a second note, if you have bullets left over (say a 50% cash reserve) you can place the position during the panic attack. But we traded the last two years.... there weren't many panic attacks... as the VIX fell to record...

Like coach and Mo have pointed out... it's the naked selling which you need to consider. Haircut margin is much less margin requirement for naked positions. This would imply selling BACK months against your front months... ie, the nice profit adjustment in the diagonal.

Your profit/return is not a fixed return because the determining factor is VEGA. Your assumptions are relatively correct. The wider or narrower the spread, the larger or smaller the profit range. But that doesn't necessary mean more or less profit, because it's really up to VEGA...

Absolutely correct! :)

It's a VEGA play.... so when volatility spikes.... you want to suck it out... or place a 'reversion to mean' by selling the DEC puts. So... wait for the 'panic selling', check the VIX regularly and take advantage of what most can not. M~

Equity is the beautiful thing! VOLUME... LIQUIDITY... cross margin

If the market continues down... your profit from the current September long will cover your DEC 1175p, until VEGA bleeds out of the DEC faster than the SEPT. If you historically look at the VIX... it doesn't stay high very long... usually days, not weeks. [B] The front leg may or may not...

For a list of Proprietary Trading Firms (haircut margin) try this link http://www.utropix.com/jmowery/PropFirms.html