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I'm not any longer, but I had some pretty good success with them. I had an automated trading system which looked solely at the price action of the put & call I selected for the day and then would go long only. Simple momentum trades actually worked pretty well. I stopped trading OEX when I...

roncer, Have you considered ES futures options? The spreads aren't great, but they're not worse than OEX, and the SPAN margins are muuuuch better.

4 posts before yours was: http://www.elitetrader.com/vb/showthread.php?threadid=81733 At least read the last few threads before posting a new one.

Weighted average IV for Dec in the 53% range--are you saying they were 33% 3 days ago, or 42%?

That's a reasonable point I didn't see until I reread your post--earnings are after Dec expiration. Why a 100% OI turnover in Dec 45 calls? I don't think it's an insider due to the somewhat neutral balance of buyers and sellers, but still--14 days to move at least 12%? Without earnings to...

The 45 calls today were 62% bought on the ask, 38% sold on the bid. That's rarely the sign of insider knowledge--usually you'll see the vast majority on one side. Still, overall volume is pretty bullish. Jan & Dec 35P Dec 35P Dec 37.5P Jan 40P all have been almost exclusively sold...

And your boss wanders buy and fires you. Forget insider trading, violating your company's policy and getting canned should worry you more. As added evidence--you're asking EliteTrader how likely it is for someone to catch you? Your risk management skills are pretty questionable.

While true, I think you mean "implied volatility" instead of vega. vega is the sensitivity to volatility changes, which is only marginally related to volatility-skewing.

It all depends on what kind of analysis and how you prefer to do it. Hoadley has an Excel add-on which allows you to do everything from put together combos to doing GARCH volatility estimates. In general, it requires a fair amount of Excel expertise. OIC has a position simulator that I've...

For a longer discussion which (of course) devolved into a flame war... http://www.elitetrader.com/vb/showthread.php?s=&threadid=75081&highlight=married

"Enter the Married Put Strategy, the only method that bets on the sure thing" So, you'd like to buy calls? There's no difference between the "married put" and buying a simple call.

"Apples and Oranges"? Come on! Put some thought into this... Trying to draw connections between the US stock market and the asian stock market is like comparing... Broccoli to Bok Choi Corn to Curry Soybeans to Sake Wheat to Wasabi Sheesh, do I have to do everything around here?

Not to step into the middle of this one, but the dollar index (DX) is a better harbinger of bad things. It's a mix of many currencies and DX is looking pretty unhealthy. That doesn't mean anyone will care for several years down the road. When HDTVs, PS3s, and automobiles become unaffordable...

I apologize if this isn't helpful, but let me take one more naive crack at this. On the 5yr, the price change was actually .5625, or $562.50. Assuming a flat DV01, the yield change of 15bp would have resulted in a price change of $603 which is pretty close. On the 30yr, the price change...

Is this right? Or should it be 117.10-40.20 * 10 = 769 per basis point, or $7690 for the 10-point change? I have no idea if I'm right--my knowledge of bonds and EDs is still in the "dangerous" phase, rather than the "useful" phase. :-)

I believe there's no difference. CBOT will give you a 100% margin rebate if you are have 5 minis against 1 full sized. That would mean to me they're identical. Still, check the contract specs to be certain.

I'll never be able to shout louder than Maverick, so I'll end with this rebuttal. 1) There are literally hundreds of papers which attempt to design a superior volatility model. Stochastic volatility, local volatility, and Dupire's universal volatility dramatically outperform...

Yes, correct. Option pricing makes the assumption that you borrow (or lend) the money at the risk free rate. A covered call will appear more profitable than an equivalent naked put because, in the former case, you're out cash that you could have been earning risk free interest on. In the latter...

Just looking at IB's margin requirements for this particular position... Naked Put: $210 = $55 + $155. (The option's market value + 10% of the underlying's price) Covered call: $1575 = $775 + $800. (100% of stock margin requirement + 100% of the in-the-money-ness of the option. I assumed a...

Your math is right, except you have to account for the interest. At 5.3% (roughly LIBOR), you're losing $38 in interest by holding $670 in stock instead of cash. Profit will become 80-38 = 42 on a max risk of 670 over 13 months, or 5.7% per year. You'd be better off selling the 7.5 puts at...