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why are we kidding ourselves, all we need to do is sell our homes and buy naked calls :D

I'm playing a bounce here. I took a +1.5 profit from the NOV 1335 puts of my synthetic straddles and replaced them with the 1325s for a more bulish profile. Also sold the NOV 1345/1350 put vertical for 1.5

Yeah, I learned about those by stupidly taking the other side of that trade. Back in June I bought some JUL/AUG 15 put calendars when the VIX was at 18. When the VIX traded down my shorts went in the money and my longs didn't move at all :eek:

Not at expiration, but they'll do the job for a while. The puts are trading at around -20 deltas. In a 4x1 ratio, each straddle is about +20 deltas. As of today, the delta neutral point is at 1361. I plan to hold it for 2 weeks at the most. At that point, it will be delta neutral at 1351.

For the 1400 strike, I get $43,215 initial and $34,704 maintenance. This is including the $20,590 credit.

Isn't there a minimum per contract with haircut? With IB there's a minimum of $25 per contract for 0 deltas on span. And what about leverage? Do you have a maximum ratio of position value/net liquidation? Obviously they won't let you do gazillions of them :p

Bought 2 of the ratio syntetic straddles. long 8 ES NOV 1335 puts @ 6.5 debit (IV=11.68%) long 2 ES DEC futures @ 1372 ES=1372, VIX=10.93, IV of ATM calls=8.1% theta=-160 :eek:, vega=1,032

But wouldn't that endup giving you something for free. You don't pay for the decay, but still enjoy the potential of some market moving news during the weekend. Then why not buy tons of straddles at the close on Fridays and unload them on Mondays?

You have to come up with an official TM name for that crazy fly infestation :D

With the vols so low I'm thinking about buying some ratio syntethic straddles: long 4 ES nov 1335 puts, long 1 ES december future. I hate to pay the decay for the weekend, but don't want to miss any potential gap on Monday. I'll probably enter 1/2 today and the rest on Monday. This is a...

It means that I close the postion when I can buy it back for $2 or $3 less debit than the credit I received.

Twice the credit is my absolute, do not pass stop. I usually close them much early, this is the first time I let them go to that point. The reason is that, believe it or not, I still believe will get a big drop soon :D. I don't think it worked so bad at the end, since I would probably had open...

Well, I finally closed my OCT 1335/1350 spreads for 12 debit. I took 5.9 credit for them so it is a loss of 6.1 They held up pretty well around 1:1 risk/reward even after being 25 ITM. With the ES trades I did on the long side (held some from 1333 :p), this month will end up in a scratch.

Here you go coach. The green line is your previous position and the red line is after adding the short EW OCT/NOV 1380 calendar. I'm not sure if that's what you expected ...:confused:

It doesn't support EW from the point of view that it doesn't create the strikes or pull the quotes automatically. But you can add the expiration dates and strikes that you need and it will calculate the teorethical values properly. [EDIT] When you order OV be sure to make them know you...

This is an analysis of each leg at 1360. It shows the opening and close values by oct 31. Volatility changes make a big difference, let me know if you want graphs with other vol values. And sorry for spamming, but couldn't figure out how to attach more than one pic. per post.

These are the greeks.

This is a comparison between the two. Now, let the games begin :D

This is after adding the puts

Ok, here they go. This is the call side only.