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you cannot to avoid it , see my previous posts on this subjuct.The only way to collect IV "arb" if ALL basket stocks will go to the SAME direction.

looks like the use of vanilla spread (credit or debit) is very close to exotic position (touch/no touch) , especially for the short time period. If you get 2.5$ credit for 5 point spread (instead of no touch) it's like 1:1 odds/payout in exotic. Move beyond the barrier strike become...

yep , but actually I will make money if market goes up or down as long as all (or most) components will go to the same direction (collect IV difference from basket's calls and Index puts). Can happens in non-reporting month.

This month I bought every Dow stock (except of GM) , sold covered ITM calls(for each) and bought DIA puts , I took the same position only ones before , what do you think ?

yes , very close , especially for Index. Different story for some individual stocks when and if you excluding One Time Event % change , then you can find a good discrepancies between X and Y and accordingly take a short or long position , but this subject should be discuss probably on another...

Andy , some time ago I wrote a simple formula to calculated ATM combo premium when historical data is not available. X=ATM combo premium= (XYZ * VOLS * 2.268)/1000 where time=30 days XYZ=price of stock at the beginning of the month (which also used as a strike) Sample : Starting price=42 ...

here is my final take on this strategy : its worked in FALLING iv/vols environment when price action was lagging the vols ( Vix at 30 , but price moved only 2.5% then vix at 25 but price moved only 2% , etc,etc). While we are at the lowest 10 percentile for VIX , one should ask himself how the...

r-man , nice job but... what kind of conclusions can you get from only 9 points of historical data ? Its to little for brother statistical results. So SPX change in DEC was 6 times + and 3 times neg , so what ? You should off run similar stats month by month way before actual trades and compare...

went long Index - short components this month , left out crazy GM. DIA premium on ATM straddle is so low , represents only 2% of the nominal , IMO it's almost insanity to short at those levels. I think it's going to be a lot of "help!!!" posts on SPX credit journal thread...

probably pros can give better answer here , but I'l try...I don't think that single stock vs. index correl is important here (and maybe even very misleading) , its a basket's vs. index is what the most important. If the single stock over/under performing index , that will be reflected in his...

thanks for the link T-F. the house edge is appx 9% on all touch(no) touch. here how to calculate it : 1. Create any touch bet with payout of 100$ 2. Cost of bet=X 3. Use the same conditions for NO touch bet with payout of 100$ 4. Cost of bet=Y 5. Combine X+Y and you get 114$(to win 100)...

I see what you are saying , I will run the test in couple time periods ( and one of them will be 8,9 or10). Riskarb , I need exact price of the DAX at the time of one of your previous trades , lets say for one of the Touch trade (I got the payout and Strike , but missing underline). Maybe you...

I am not familiar with Think or Phil's method , maybe its very good and in this case one should not listen to other poster's ideas , just keep executing existing strategy. BTW , if market crosses my short strike (or maybe even the long strike) the second entry with non proportional amount of...

1. Why would the max loss of 20k(and never a dollar more) require 40k in margins ? 2. I knew somehow that I will not be able to explain it clearly

let's assume one is ready to sell 100 credit spreads (10 points spread) for 40 cents for each put and call: Max gain=100*100*0.8*=8000 Max loss (or margins)=100*100*9.2=92,000 I'm suggesting to do it a bit differently(using 3 pm numbers below) SPX at 1245 Sell 80 call spreads 1260/1265...

I will try to post scenario after market closes , I'm not so good in explaining , that's for sure...

OK then. I already know how do it : I will build touch position (via vanilla long options) with pre-set conditions: 1. Time=30 days 2. Must close position when Touch=true or one week later (whatever comes first) 3. Compare vanilla odds/payout to one R_A previous entries using the same strikes...

sure , Sam , but only if riskarb don't mind. I don't want to pollute his thread with my opinions (just with questions sometimes)

no problems , coach , I didn't meant to confuse anyone here. I would like to delete my posts , but I don't know how to do it.

the waiver of benefits (or liability) to go pass barrier strike should be at zero after many trades (I think) when one plays odds for a five days( chance for reversal/whipsaw goes down). Actually , if you can enter the bet for ONE day only , the odds/payout for both exotic and vanilla should be...