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Yes, but if you trade OTM options ... and and want an estimate of what the price might be if option becomes ATM under high vols etc ... quick and dirty way to look at convexity exposure

You got it ... there will be minor differences if you use an option model as I used Vol x Sqrt(DTE/365) X 0.40 as approximation ( x 0.3989 to be more precise : 1/Sqrt(2pi) )

It can be useful to get a feel for what the option price might be for extreme moves if you are long / short OTM options. I have a little 'ready-reckoner' that you might find useful

But ITM Puts avoid exactly the risk you wanted to avoid though ""Clients holding short stock positions are at risk of having these positions bought-in and closed out by IBKR oftentimes with little or no advance notice." [1] [1] Overview of Short Stock Buy-Ins & Close-Outs What if you get...

Any Reason why you would want to short stock / buy OTM call when Short Stock + Long OTM Call = Long ITM Put

Basic Options stuff

Yes, P/L same as positions synthetically equivalent if you dissect out the 15-185 box Try it in the analyser if you want to prove for your self

Selling 1x 15 straddle / 1x 185 straddle for a credit of $200 ... is the same position as selling 2 x 15-185 strangles for a credit of $30 ( $200 - $170 strike diff ) No need to trade ITM options and make it more complicated than necessary.

All bearish trades ... I know small sample ... but might be worth investigating whether the model is overly biased to picking downside flies as ( if you look back at the Fly Pricing Arc ) downside Flies are relatively cheaper than upside Flies ... but markets tend to have a little positive drift...

Looks like TastyTrade just went back to fix the problem ... and made it worse ... today's Market Measure on "Expected Move" for SPY with Spot = 420 / IV = 19.3% / DTE = 34 Days The basic approximation formula would suggest that the Expected Move is : Spot 420 x IV 19.3% x Sqrt(34/365) = 24.70...

Andy Do you have any stats on % of trades that are bearish/neutral/bullish that your model produces ? Cheers James

Couple of quick points 1. Both methods ( Spot x Vol x Time or Straddle ) of estimating the Implied Move are rough approximations that are only useful when Time < 90 days / Vols < 40% 2. If using the ATM Straddle method then better approximation of implied Move is Straddle x 1.25 as ...

You should be able to model the various scenarios, and evaluate impact of Vol Changes. Impact of Dec17 Vols falling to say 10% ... should look something like

You are trying to get a feel for where / how the strategy may lose money. You can get a better feel for this if you dissect your position into component parts The Long Oct29 439 / Dec17 444 Call Diagonal dissects into Oct29 Short 439-444 Call Vertical Oct29 / Dec17 Long 444 Call Calendar...

What happens if back month vols fall to say 10% ?

Des ... a "share fly" ( +1 stock / -2 calls / +1 call ) or similar is one of my preferred trades for covering upside delta's ... synthetically the equivalent of Selling Puts / to finance / Buying Call Flies ... I see as part of a series of similar trades that I usually look at #1 RiskReversal...

Andy I presume these are the FTSE Flex options quoted on ICE that expire at 4.30 PM on nearest two Friday's ( rather than standard Monthly/Quarterly FTSE options that expire at 10.15am on third Friday ) Cheers James

Have a look at IG Australia https://www.ig.com/au/welcome-page As IG have just bought TastyTrade/TastyWorks there is a chance that the platforms may merge over time

Andy The Fly Price Arc is just a table of current Fly prices, bold colour is front month, grey colours are back months ... just provides some colour on how Fly Price may move with Spot / Time ... Going to be an interesting run into Fri expiry for your SPX Fly ... and whether any selling post...

I suspect that your 'focus' purely on theta is not necessarily helpful in developing alternative strategies that are nett long puts ... assume the market rallies a little ... the ZEBRA quickly has more negative theta ( along with some pretty unhelpful vega ) ... than the alternatives I suggested...