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btw, straddler, wouldn't it be easier to scalp gamma if historical vols were higher than IV? That is, if underlying moves 'quicker' than IV, that would in turn give more opportunity? I find the gamma scalp fascinating, racing theta. Do u ever short straddles to gamma scalp?

In my experience, same month diff. strike vols is referred to the 'smile'. I suppose it's just a diff. use of semantics tho. And all months at different strikes is the vol surface. Someone correct me if i'm off base here.

Just to elaborate to what donna said. skew involves looking at say, an IBM 80 put April expiration is roughly 17.6%IV. That same put but another expiry, say July has an IV of 16%. These options are said to have a positive 1.6% IV skew. In general larger IV levels in near month options compared...

whoops, state vols on AAPL are actually quite high, coming off their highs. I was looking at another d.d. candidate. Still looks on the Rachael McAdams(smokin' hot) side to me.

I'm thinking about selling an AAPL Apr. 60p-75c strangle, and protecting it by purchasing a Jul. 55p-80c strangle. That way I will hopefully be able to sell may and jun strangles against my long as well. Hist. or stat. vols are quite low to IV, and am hoping stock is range bound for a while...

Don, The TOS software is really quite ingenious. ON the page that shows the option chain, there is a pull-down button that morphs the option chain to any spread imaginable(vertial, ratio, calendar,straddle,strange,iron condor,butterfly,u name it, also a +1,+2 month for a 3 mo calendar e.g.)...

Can anyone point me to some resources for practical applications of trading the vol/variance swap market? Is this a maturing and/or liquid otc market? How can a retail trader like myself get involved with these products? I suppose if I want to do my moniker justice, I'd better be able to...

ivolatility.com most certainly does show past implied vol levels over the past 1 yr, 6mo, 3mo. IV indexcall, iv indexput,mean and option volume. just type in any underlying u wish,click go, and click the chart on the right next to the price chart. The orange line depicts implied vol over last...

I hope you feel better soon!:)

also, u just gave me a great calendar spread candidate in EBAY. IV near low end of range(7th %ile), under 30 IV, slightly overpriced to HV(SV)31%. underlying not trending shrply.:)

I feel your pain ice. Seems to happen to me as well.:( Did u get my pm message? I sent the NASD a similar letter about the PDT rule(in their broker complaint form). I'm guessing the likelihood of them responding to me is about as good as a 8 sigma event!lol vp

oops, I meant to say your strike width on each credit spread. eg. sold 1335 call bot 1340call, or 1350call

perhaps now's a good time to put on those 3 and 4 sigma event positions on the cheap. :cool:

Hey coach. I can't seem to find your 175 lot Mar IC, looking back. Where is your short call strike? Also, with 17 days left you will do some kung foo adjustments 15 points from your short strike? Do you allow spx to get closer as exp. nears? I'm trying to get a feel for your risk management...

I would say probabilities favor a sharp increase in SEC fees, due to the registration requirement of hedge funds. If the SEC wants to police the derivatives markets, they will need big bucks. :mad:

thx for the put ratio backspread idea IV_Trader/riskarb. I ran it yesterday in my tos papertrade acc't, and it lost even though vols flattened as expected. their paper acc't does not allow you to split bid/ask, so that prolly had a lot to do with it. Plus r/a said there was only a dime pos...

As an options trader, I never use charts. Volatility is King in my book. Almost all my positions are non-directional and I base all my trading decisions on historical and implied vol levels.

I would be interested if we have anyone on ET who works with MATLAB for financial engineering. I would like to develop a cash and carry program with currencies using barrier options, but I'm not fluent in Matlab programming code for datamining or black-box creating. Any insight would be greatly...

Wow $9.99 /month for this tool? That sounds great coach. I pay $39.99/mo from ivolatility.com and that's for just the calendar spread filter(it still doesn't give me a great selection after i filter them either)i will cancel once i find something better. I just bot a trial to optionvue 5, I...

I generally seek out calendar's which have a roll opportunity of earning at least 1.5 times my original cost. So, when I bot BMC, i guesstimated my roll's the best I could, and came up with 1.6x original debit(As it turns out, i overestimated a bit, but I'll still show a profit on my last roll...