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You cannot insure the original risk/reward ratio. Once you add options to the equation (or any sort of hedge for that matter) you change the nature of the position and, thus, the risk/reward ratio. You have to take risk somewhere, otherwise you end up with a risk-free position earning a...

If your only purpose in limiting overnight gap risk then the most efficient and cost-effective way of doing that is more likely to just not hold the stock position overnight. When you use a collar you have to pay double commissions and slippage on the way in and then again on the way out, so...

Generally, you want the collar to be a zero-cost one, which means that the premium you receive from the call sale covers the premium paid for the put purchase. However, ultimately, it depends on how much protection you want vs. how much upside you are willing to give up. The more protection you...

Forget about vertical and just search for collar. The position basically consists of a long stock, short OTM call and long OTM put. For example, you hold 100 shares (current market price 50). You sell short a 55 call, and buy a 45 put.

Generally, yes, but it depends on your broker's cutoff time (i.e. the time by which you must notify your broker whether you want to exercise or not).

The original post was the best October for Dow Jones Industrial Average.

Just a side note, deep ITM European-style puts trade below parity prior to expiration due to their nature, so maybe you didn't go low enough below parity to get a fill (assuming you had deep ITM puts).

See here.

What he(she) said. :)

No, as mentioned by dragonman.

I'm pretty sure SPX options are more liquid than ES. Also the screen market in SPX is generally very wide, wile the actual market (i.e. off-screen) is much tighter and you can get better fills.

80-100% of the premium.

Generally, I put them on as a single spread order, however occasionally I may split them up, depending on market conditions. My stop-loss strategy is fairly simple, I exit the position when the market price doubles. So, for example, if I sell an IC @ 3.5, then when it hits 7 I get out. As...

Actually, you are wrong. The OP wants to profit from the change in the spread of the implied vols at the two strikes (i.e. skew) and he/she doesn't care about the fall in the overall level of implied volatility. Slope risk is exactly what the OP wants!

I bet the OP is using Google translate. :D

You should read "Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets" by Baird. it should answer a lot of questions for you.

In addition to what has already been said, with a prime broker you can have multiple execution brokers. For example, you may execute trades with 5 different brokers, but all trades are then aggregated for clearing/margining at a single entity (prime broker).

You can't really make a general statement like that since it really depends on the situation and goals for a particular trade.

It's called leverage. The further OTM you go the more leverage an option has.

If you overleverage then you can blow up even with the most conservative strategy in the universe.