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Yes, it probably be very difficult to earn a profit but the goal is to raised the b/e. I've risen mine from 1340.5 to 1343.8.

I'm also very bad at predicting market direction. But I'm talking about trading against your position using the underlying. Gamma scalping, except that in this case I'm thinking short gamma instead of the most commonly done long gamma. For example, I'm now -408 futures equivalent deltas. So...

Of course there are not right or wrong approaches for everyone, but I'd argue that scalping against your positions is a way of reducing risk and improve your b/e by booking realized gains against your unrealized p/l. I prefer the set and forget positions, but sometimes you have to get dirty :)

Getting long on bounces from 1345 has been good for 2 points scalps - nice way of rising the b/e point :p It'll be interesting to see what happens if we go below 1345

So, all time high on the Dow and non-stop CNBC specials today? The only thing stopping it is that everybody is expecting it.

I think ryank was just commenting on the current value of rsflint's positions, but didn't mention his own.

I'm not sure it'll go down this week. At this point I think we'll have to go to the all time high on the Dow first. I've been scalping long futures on intraday dips, but my core postion is still short and have also been adding a few CTM call credit spreads.

There you have it. Now could you please close your diagonal and let it crash ? :D

Guilty as charged. Thanks very much for taking the time to answer ... again :)

Mav, I you don't mind could you shed some light on the following? From the discussions here, I understand that haircut is similar to SPAN in the sense that the margin is not fixed, but based on portfolio risk. Does haircut use risk arrays and then takes the worst possible case as SPAN, or...

here's the graph now let the weekend start :D

Going back to Scienter's original question. - I'm a geek, cannot let it go until I know :D I looked at the skew graph of the SPY and got an eureka! moment. From it, you can see that the lower the strike the higher the IV. So ITM calls and OTM puts are in the high end and OTM calls and ITM...

Yes, it is driven by perceptions and demand but don't confuse statistical volatility with implied volatility. SV is how volatile the underlying has been in the past. IV is implied from the price. For example, let’s say that the option pricing model is: Price = IV + 1 If the price is...

What I mean is that, all other things being equal, you'll always get the same price for the same IV. And the same IV for the same price. IOW, it is 3.75 because you are entering 12% IV. And it is 12% IV because the price is 3.75

But that only means that the calculator is correct :)

IV is unique for each contract. And IV and price are not independent. You can enter IV into the model and get price or you can enter price and get IV. That's why it's called implied volatility - it is implied by the price. IV goes up/down because of demand/supply.

I think you are looking at the 127 calls or mixing the sep29 expiration witn the oct 20.

Nice down day to finish the week. And as bonus even my lonely long (YHOO oct25 put credit spread) went up :D Coach, did you go long ES during the last hour again? The pattern of bidding it up on down days has worked pretty well recently.

Speaking of over leverage. I'm reading "When genius failed", the story of LTCM. These guys were using repo loans to build their positions in a way that resulted in 0% margin. Their first trade was a 2 billion dollars bet on bond spreads using $0 of their cash.

How can your delta be negative with a put credit spread? Did you mean calls or is it a debit spread? I've been in the same boat since last week with a CTM call spread. What I did was to go long futures against it. As we moved up, I added some spreads and as we moved down I removed the...