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@blueplayer..I found your links quite informative. In your "on the long side" piece you stated that you did not think generally long puts were an effective way to short SPX. Besides selling calls or call spreads , what would you suggest ? Thanks.

Just curious....why go out so far, with such a wide strike for so little credit if you think the deal will happen as currently structured which would be shortly ?

@sle, can you explain this in more detail ? ie: do you mean the actual delta quote on a specific option or something else ? thanks

See post #6 for example, thanks

Ha, LOL. Let me see if I remember correctly Marsman. You are the know-it-all Euro who can not even fund a live account and has never done a trade ? correct ? If so, has some restraint in responding to threads that you know nothing about, as is quite evident from your multiple ignorant posts...

return on capital this is potential maximum return you could make on an option trade. It's calculated by taking the maximum potential profit and dividing it by the margin requirement of the position. For example, if you sell a 100/105 call vertical for 2.00 credit, the return on capital would be...

Thanks for responding. But what I was refering to is determining if there is enough premium in an individual trade with respect to POP=1-ROC, and how ROC is calculated.....anyone else ? Thanks

for optioncoach or others...I've always used the premium received/width of strike spread in calculating the ROC on a potential trade. I've recently seen it calculated as premium/width-premium. Isn't that "double dipping" on the premium ? any comments ? thanks.

I'm not the most experience, but I do trade credit spreads, which was probably the wrong vehicle in this bianary situation. CS work when things (vol) are calming down, not heating up. Also there was good support at 204 (not that it matered), I would have at least set my short strike at 203 or...

. I believe der k.'s point is that this forum has seen many posters with hypo's, theories , etc. but no real world trading experience to back them up. Until there is skin in the game it is all talk.

Sure pal, you have it all together. Here are 3 phrases you should get used to :...assignment, margin call, blow up. And no, holding to expiry doesn't prevent any of them. I'm out !

It doesn't matter what is desired. Once the position goes ITM (and some will, probability notwithstanding) you either have to close out the position at a loss quickly or face huge losses or get assigned the underlying and most likely take a loss that way. Your example in the other thread of...

If you are using delta to approximate probability of a position going ITM, then 50% is huge. 1 chance in 2 your position is in trouble. Also have you factored in the gamma risk that you are taking as this position approaches expiry near your short strike ??

No, with your "probability" strategy you will be ITM more than you are prepared for. Horse is out the barn door as far as hedging at that point.

What is your strategy when it hits your short strike or goes ITM ? If you don't have a stop loss strategy you are going to get smoked. If vol has moved against you, smoked even more. again, much has been written on ET on this.

@marsman...be careful if you are just selling premium (even in spreads) based on probability and fabs without encorporating an opinion/call on the direction of the underlying and/or direction of vol. These risks have been discussed extensively in this forum.

@marsman , ( sorry, didn't mean to sound so snarky in my previous) also I think I get where you are going with your "formula" but, is there a directional component to it ? or just distance in either direction from an ATM strike ?