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There is no way to know this. It is called pin risk.

Yes, legging will be required. Let us say I enter the bull call spread first...and if the stock rallies, enter the bear put spread leg. So in this case, how do I go about initially selecting the legs of the bull call spread? Both ITM, both OTM, or one ITM, other OTM? Thank you.

In theory, I should be able to open up a long box by selecting two strikes where the debit required is less than the difference between the strikes, then hold the box to expiration and get back an amount equal to the difference of the strikes. But ,are there any guidelines on which strikes to...

When you sell a naked put, you don't mind being put the stock at the strike. So, if you don't mind being long the stock at 50, why are you in a hurry to sell the 45 call just to capture some premium? The whole idea that prompted a naked out was 'I don't mind owning it at 50 because long term...

I guess what he means is that 2 puts will also give you double gamma,double vega (same as 1 call, 1 put. ). So in that sense, the straddle is no more or less preferable than 100 shares and 2 puts. But I will wait for him to answer.

Got it, thanks. Can you provide a guideline for choosing a proper delta level to maintain? I always try to maintain 0 delta, so I guess that leads to overhedging? How can I determine a proper delta level at which to rehedge?

Just to elaborate, you can lose money scalping when the underlying develops a trend instead of bouncing around,correct?

Yes I understand. But there is still no chance of a catastrophic (unlimited loss) that you usually associate with a naked short position. Correct?

If I buy an ATM straddle and on a daily basis, I scalp the gammas to remain delta neutral, then is it fair to say that the total max loss on the position is still limited to the amount paid for the straddle? Somehow in my mind, the concept of adding short stock to a position is analogous with...

Thanks. I should have been clear. I did not refer to 1:1 stock:option...More like a 0.5 : 1 for stock:option. My opinion is that the straddle is more efficient because it has double the vega/gamma exposure, is it correct way of thinking?

Umm...actually at work, I cannot open up those elaborate platforms...because of firewall issues, need something quick and dirty

Are there any free websites that would send email alerts for a condition like below: Send an email when the delta of the May 29 BB (blackberry) 10 straddle exceeds +5 or -5 deltas. Most websites like yahoo finance have simple price/volume based alerts.

Got it, thanks. But is not the profit potential the double for a straddle position as opposed to : 1.long call + short stock 2.long stock + long put 3.long stock + short call Based on this, does it make sense to make the initial trade always an ATM straddle for a vol trader?

Thanks. What do you mean by balance sheet problem? I am an individual trader, so I dont have any restriction against shorting. Are you talking about a portfolio manager for a pension fund that is not allowed to short stock? If you can elaborate please?

Let us say I want to do volatility trading. i.e I conclude that implied volatility is cheap and will rise. So I need to set up a delta neutral portfolio with long volatility exposure. I am looking to benefit when volatility rises, thereby increasing option prices and I want to hedge my...

Premium should already show up...if not, allow one day for option trade to settle. Premium will be added to your cash balance. -1 represents that the option was sold, not bought. As for why the option is showing a loss, it depends...did the underlying decrease? Did volatility decrease?

If you trade US equities that gain from a declining dollar, then no need to hedge. What companies are you holding/trading?

I am so sorry, I was only thinking of a covered call. Of course you are right.

Correct, long the option. or short an European option.

If you are holding all your options to expiry, then greeks are not that important. But if your are 'trading' options, they are the most important.