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Just my humble opinion, correlation isn't quite the angle you're looking for. The ones you mention above are input/output and their values will float based upon price of feed, price of alternates, and season. If you're looking for purely correlation arbitrage, look at inter-month spreads of...

You're the best Maverick!

Just because you believe this does not make it true. Perhaps you have another source, otherwise why am I doing your homework for you? If you are merely selling options because they are over priced or under priced, then you need to lock in that vol!!!!!!! How many times do I need to explain...

I am. The market maker in EuroFX is pretty aggressive and almost completely automated. You can make a pretty good bid and just be left to hang there for quite a while, so spreading is pretty rough.

http://platinum.optionetics.com/cgi-bin/oamergef/www/tablesf/EC He was right until today. :-)

I'm just trying to understand here. If you believe there is no edge in selling options, do you believe there's an edge in buying options? Or do you believe there's no edge at all? If there's no edge at all, it makes no difference whether you buy or sell an option from a probability...

Fine. You find me 5 other funds that only buy OTM options for at least 15 years and post their track records. I'm amused you find the concept that someone would want to sell options so infuriating. For the record, I am perfectly happy to sell people overpriced options. That doesn't mean...

Take a look at OC volatility journal. He has put together a variety of near-delta neutral very-high-vega spreads.

Ditto on the second comment. :-) I can't assemble a spread with XT options either. On the plus side (as it were), I've not been able to trade a futures option spread with eCBOT or Globex on IB no matter what underlying it is. ES calendar, vertical, straddle, strangle--all report an error...

I was under the impression you sold naked options. Has your strategy changed in the last half hour? Perhaps if you actually read any of the material on this thread rather than the first words and saying, "Oh, another naked seller, I'll show him how he's wrong." Let see, you've called me a...

That's what I've been saying ALL ALONG. If you get the odds right, you make a two sided market! If people are overpaying, you sell them options, if they're undercharging, you buy options from them! You responded that you can never know the odds, therefore you can't decide which side of the...

This is pretty much the definition of probability. What are the "true odds"? Red Sox are 5:1 underdogs for the world series in '07. Why 5:1? Why not even money? Why not 500:1? What are the odds their pitching staff gets injured early in the season? Their best hitter gets traded? Your...

I like the arb you described. :-) I guess the short answer to your vol question is "neither". We already know the standard distribution does a pretty poor job of modeling equity behavior (hence the reason for volatility smiles in the first place). There are a variety of jump models which take...

They aren't included in any model known to man? You're incorrect. I am familiar with Taleb's work. I also know his hedge fund (which buys extremely OTM options in the hopes of getting that black swan) is doing horribly, whereas funds (LJM for example) that sell OTM options are doing great...

Probability *is* the distribution of the outcomes. Both you and jj90 have an implicit mistrust of a probability model as "not including fat tails". Lognormal distributions are just one model of probability. Probability is all that matters in trading. If you can pick a chart pattern or...

You get what you pay for. I've managed dozens of programmers ranging from fresh-out-of-college to expert level. The former will cost $30/hr, the latter $130/hr. Junior programmers will get stuck (taking much longer than you expect), take shortcuts (causing the program to work on the sample...

This is where people get hurt in these strategies. "Making it worth your while" is always the beginning of the end when people sell options. Your goal to survive as a trader for the long term should be "live to fight another day". You also need to take probabilities into account when...

You want a defined risk strategy that will make more profit than an unlimited risk strategy? If that were possible, do you think anyone would take an unlimited risk position? Do you have an opinion about where GOOG will be by Dec expiration? If so, a butterfly at that strike will make pretty...

Holy cow, someone who understands the cost of carry! On ET, no less!

Probability and risk/reward and inversely related. If you want a 99% chance of winning, you'll likely be risking $1k to make $10. At the money bull spreads will give you a 50-50 risk reward, in general. (e.g. if AAPL is at 90, buy the 85 call, sell the 95 call. Reward is $500, max loss...