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If you find one let me know. Ivolatility.com has something they call their "advanced ranker" (I think that's the name of it) that purports to do exactly what you're looking for. It doesn't. It is in fact the most incredibly worthless piece of crap I've ever seen. How they can charge money...

Cdowis - you're a dogged, determined guy with the integrity to not BS yourself or anyone else. So I like your chances long term. Your approach is very different from mine so it's hard for me to give you advice. Maybe it's a matter of tightening up your selection criteria. It that means...

If that's the approach to option trading you want to take, it seems to me that a much simpler shortcut would be to simply buy the option with the lowest implied volatility. Let's say you have 3 options on MSFT. Option 1 has an IV of 27% Option 2 has an IV of 29% Option 3 has an IV of 31%...

I'm always a little suspicious when I hear option traders talking about percentage monthly gains, as that smacks of routine premium selling, which is the kiss of death. On the other hand, if you've survived the ag markets the last 18 months, you must be doing something right - especially if...

As always, the devil is in the details. I have a friend who is a pretty seasoned professional trader and manages money. He will sell premium if he thinks it's appropriate and when he does, he's a pretty big premium seller - but very picky. Usually he will start selling S&P 500 premium when...

I just took a look at the ESH9 (March ES), and I'm a little shocked how illiquid it is. Over 4 million contracts traded today in the Dec ES, and 153 traded in March? I would try to avoid anything that illiquid if possible.

Yes, there is an additional concern. In the second example you are essentially long the dec08-mar09 futures spread. For example, let's say that every call has a delta of .50. You buy 10 of the nov atm calls, so you're long 5 deltas. Effectively you're long 5 dec futures. If you then...

Sure you do. Just type "vix" in one of the boxes, hit return, then under "CBOE Volatility index - CBOE" click on Options > Oct > 2008. Then choose the options you're interested in.

They must be making the same mistake - using the VIX index as the underlying, rather than the October VIX futures. Garbage in, garbage out.

If you use the correct underlying for the October VIX options - namely the October VIX futures - you will find that puts and calls at the same strike also trade at the same implied volatility.

Well, not really. That's a calculation error based on using the VIX as the underlying rather than the futures. Unfortunately TOS makes that rather fundamental error, as do many others. Based on that calculation, the Oct. 37.5 puts are trading at 245% IV, and the 37.5 calls at 25% IV. Now...

Nothing wrong with kicking it around - it's an interesting subject. But to replicate the VIX would be complex, as it takes into account every option with a bid greater than 0. You could do essentially the same thing by just shorting straddles or strangles. But however you do it, you would be...

What VIX spot are you going to sell at 36.22? Unfortunately there is no such thing. That's the whole point I'm trying to make. That 36.22 VIX is an imaginary number that exists nowhere in reality, except perhaps if you want to sell straddles. That's the only VIX "spot" I can think of.

It's not a matter of which spread you do. It's the price at which you do it. It's like asking "which is better, to bet on a coin flip, or on the roll of a die?" Well, if I can risk less than a dollar to make a dollar on the flip of the coin, the odds are on my side. If I risk more than 20...

The play you described does NOT play the VIX, as I mentioned before. It plays the VIX futures, which is a different animal entirely. Except at expiration, there is NOTHING that ties the vix index and the vix futures together. At today's close, those futures were at 26.60. So if you buy that...

Since I posted the above comment, the VIX index is up over a full point, while the VIX futures (which is the underlying of those VIX options) is up just .17. See what I mean?

My only comment is that I hope you don't assume that the underlying of those puts is the VIX index. It's not. For all practical purposes it is the October VIX futures contract, which is currently trading about 6 full points below the VIX index - at 26.28. So the VIX index is trading at a huge...

So true, so true. I've seen it over and over and over. The amazing thing is that these guys always seem to find backers. And if they lose a million dollars, they'll find a million dollars in backing. If they lose $50 million, they'll find $50 million in backing. It's as if losing more money...

One more thing to keep in mind - you thought the spread at the time was "only" a point. But that option had a delta of about .10, so assuming you buy the offer and sell the bid, the ES would have had to go up 10 points just for you to break even, everything else being equal. I just cannot...

You think I calculated those IV's in my head? I'm flattered Ammo, but you give me way too much credit. I don't know how you'd do it in your head - I rely pretty heavily on computers to crunch my option numbers. There are free option calculators all over the internet. If your option...