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You could hedge SPX vega with VIX futures (going long a particular month for instance), now the trick is to figure out the right number so you are as close to vega neutral as you want. In my case when I want to reduce vega exposure in my short gamma trades I usually go short a particular VIX...

Yes they basically liquidated the short put of the fly in small lots, causing huge realized losses in the account. Everytime I had to balance the fly manually. I finally closed the fly for a nice 13K profit on the 36 surviving contracts (I downgraded the account to Reg-T that same day). But the...

Finally talked to human there, the official line is that the account is configured for Portfolio Margin and the risk algos don't even look at the strategy but the individual legs and that is why this thing are happening. So yes, if you happen to have a PM account with IB then *ANY* strategy...

I'm starting to agree here. I also use JPM for the bigger stuff but this is disappointing that IB can't even compute the correct risk for such an small fly.

This fly was the only position in the account yesterday a NOV SPX Iron fly 60 wide. To be exact 36 contracts (after they liquidated about 9 in various combinations). Total cash in the account is north of 239K more than enough to cover the whole fly at max loss (which is only 36*60 ~ 216K). Why...

This is an SPX iron fly so it is settled in cash. I don't see any risk here at all other than the defined one.

Ticket has been opened but in todays market action IB autoliquidated portions of an Iron fly (defined risk at max loss of 60 per contract) when in the account there was more than enough cash to cover max loss. If someone from IB could explain to us the rationale behind those kind of actions...

No one is really cheated because the new mid truly reflects what is suppose to reflect (mid between bid and ask). The only valid complain here would be that IB doesn't propagate your bid(ask) outside IB (it never sits in a exchange) until it is "marketable" (whatever that means for them).

Well this is my annual post about the VA product. Sadly zero volume for a long time now, and only 33K of Vega for Open Interest. I talked to two different FCM's and they plainly refused to provision any access to SP500 Variance Futures (for a new customer at least). I think we can say...

The volatility trader at IB is just a different quote system, not a true volatility (or variance) swap platform. What you gain by using it is that pricing is all quoted in VOL and that is it. You also gain the convenience of the system translating between vol and dollars (and vice versa) for...

If your background includes any form of advanced mathematics, options will be right for you. Most people trade them as leveraged directional bets, but the pricing theory of the instrument is too beautiful to be wasted like that. I suggest exploring volatility trading and the non linear...

That depends, you might see NBBO if there are no other internal bids/offers in IB. That is an interesting problem as you can't really trust Mid quotes in IB for option spreads. For instance I have been able to get filled substantially better than mid in SPX flies and other times I don't get...

Still no volume on this instrument, what a shame. So while we wait for this product to take off, I have a question about margins here. Using the latest (Aug 12) margin requirements from the CFE, we can see that the margin for Sept VA futures is 143 (per variance unit I assume). Also...

The calendar is quoted at 0.03 mid as I write this. Unless FB does a huge retrace (down to around 30) you just need to take the loss on that position. No amount of adjustments will repair it, just look for opportunities elsewhere.

The rumor of of T buying something turned out to be true, although it was LEAP instead. The option action in LEAP on the last minutes on Friday was interesting to say the least.

I wish you good luck with your trade and hopefully you'll make some money out it. I think that several edges do exist when trading volatility, not necessarily related to a simple mis-pricing of the options but to other more nuanced features of the whole volatility surface. It is those kind of...

I don't think the CRM fly has any edge at all, as you mention is pretty expensive and the IV of the 38 strike (for the call) doesn't seem to leave much room for mistakes here.

I'm a bit confused about this position. Is the fly is in Apr and the strangle is in May? or both are on the same month? Also is there any ratio between the fly and the strangle or just 1:1 ? Btw, why are other posters talking about an ATM fly? (This one has quite a few deltas). Thanks...

In the early days bitcoins were worthless as you can assume, so there was not much interest about them as an store of value. For instance there is the now infamous 10000 BTC pizza: https://bitcointalk.org/index.php?topic=137.0 Also, in the early days, it was very simple to "mine" the...

The particular strategy that you desire is better implemented using options on VIX futures. Start by simulating some kind of ratio spreads with calls, you might find what you are looking for.