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I'm a fellow EE but I have to disagree with your assessment that CS is just code writing. Computer Science is closer to Mathematics than anything else, in fact the level of abstraction is so high that it could be argued that computers are not actually required in CS classes at all (an extreme...

He is long the synthetic, he sold puts and bought calls, so he is long delta1 in Herbalife.

From the filing it seems that May calls have an strike of 23.5 and the Jan 2015 ones have an strike of 26. For the puts is only reported that he sold european style puts in the same amount that the corresponding calls and that they expire on the expiration date or when the calls get exercised...

Well, he sold european puts and bought american calls, It is close enough to a synthetic long position, would you not agree? The gist of the comment is that most of the position is in options.

Interestingly enough, most of Icahn's position (> 11M shares) are in a synthetic long expiring on May 10 2013 (>3M) and Jan 2015 (>8M). http://www.sec.gov/Archives/edgar/data/921669/000092846413000023/hlfsch13d021413.htm

Last Friday's biggest trade was a 5000 contract Put spread (1450/1470) for Apr20 and it traded nicely almost at mid on both legs.

Hi Doobs that was a great trade, I can't still believe the huge IV of the Feb1 calls on Friday morning, it was really insane. I wish I had discovered it early enough to enter at that price.

Thanks for the update, it is appreciated. I opened a new thread in the retailers section, we'll see if IB or any of the other guys get enough motivation to offer this at a sensible price.

Hello, I wonder if Interactive Brokers has any plans to offer the variance futures contracts from the CFE that were introduced recently (the VA contracts). I would really love to trade them. Also, if you know of any other FCM's that offer them with sensible commissions (like charging per 1K...

Helo Heech, I'm curious if you got any more recent information about coms. There seems to be a disconnect between the CFE charging $8 per 1K of vega, and your FCM charging per variation units. If the costs were $2.40 per 1K vega then they would make a lot of sense, considering that 1K is the...

Both are equivalent and perform the same job with identical returns and risk (identical being used in the loose form). A few key differences in particular for us retail people: 1. The credit spread (bull put spread) if working fine by expiration will carry lower commissions as you only...

Thank you sle for the detailed analysis and the invaluable explanations in this thread.

Hello, there is a potential source of problems with the strategy as described by the previous paragraph. Most brokers will require that you have enough money in your account (or enough margin) to buy the shares involved in the exercise of the contracts. So usually at the expiration day, if...

Hello aijourneyman, there is certainly money to be made using complex option strategies. There are plenty of resources on the Internet and books that will cover the most common ones for different scenarios. You should start there (like the investopedia links that were already provided). I...

Hello cdcaveman, some people call what you describe "units" and they are generally used as cheap insurance for some other strategy.

Hello Put_Master, just a quick comment. In the case of an ITM vertical credit spread the IV spike is actually helping the seller as it will reduce the amount of the loss. The vega for vertical credit spreads that are ITM is almost always positive, so you get a little help from the IV...

Well, I also forgot about dividends and covered calls, so you can take back my question Sle.

Well, I forgot about those two things, dividends and covered calls, so you got me there. It is very likely then that the naked put seller under your conditions will come ahead of the vertical spread seller. That it is hard to argue against once you consider the supplemental income you can bring...

Hello Sle, I won't object to the last two points, however, I am curious if you really think that (a) actually applies to the scenario being discussed, that is, a 30% fall on the underlying with a 15% OTM naked put strike before the fall. Do you think that the naked put will prove better in...

Fine, lets use a better example. What about Herbalife on April 24 2012? that was a quiet day, The stock was around $70 and the Aug 65 Put had a price of $4.25 and an IV of 39.26% The Aug 65/62.5 Put spread was priced at $0.90 and had an IV of 39.84% Now lets go to April 30 2012...