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Sorry for resurrecting this old thread. You can indeed trade variance swaps, they exist after all and also they accomplish exactly what the op is asking which pure exposure to volatility. Now, of course you will need an ISDA to trade them, but if you don't have one there is always CBOE...

We agree that put call parity in european options must never be violated newurldmn, however if you look at the OPRA feed (from yahoo or your favorite data provider) you will notice that it "looks" like it is violated for SPX ITM options (very obvious for deep ITM options), of course the moment...

Robert, I use stale because even though they update from time to time, it is very infrequent. So they can get stale for long periods of time. Case in point if you go deep ITM you might find strikes that quote bid and ask from the previous day for hours in a row. Of course the moment you want to...

Robert I don't know why you fixate so much on the futures. The underlying for SPX options is the SPX index itself and you could hedge with the basket if you need too. I know that for convenience people prefer to hedge with the futures but that doesn't mean the futures are the underlying. The...

That is correct conceptually newurldmn, however when you use something like BSM to price the options it takes care of this for you as all the formulas are already in forward price mode. The input to the equations *should* be the current underlying spot price as most of the closed form solutions...

This explains everything :) Botpro, in addition to C++ please take a look at something called R :) you will be enlightened by it, the best part you won't have to reinvent the wheel (in particular with regards to stochastic processes and such).

Hello, 1M options in volume sounds about right for daily activity in SPX alone. Also it is the nature of the beast that in index options, puts are traded more frequently than calls so nothing weird with that and it doesn't mean anything other than the usual state of affairs.

Brown, I agree that is very tempting to use options for the perceive leverage that they offer however be aware that options don't really provide leverage but instead they provide optionality. So if you have a clear understanding of optionality and how it works go ahead and trade the long gamma...

There is indeed an exact formula to calculate the fair price of any ITM option by using put-call parity. So get the mid price of the OTM option and apply the formula. C-P = S-D*K C = call price P = Put price S = underlying value K = Strike D = discount factor, usually exp(-rT) (where r is the...

Tibster, the only reason to trade options on the long side is to benefit from *optionality*, when you play with LEAPS, or any long dated options you are basically given that benefit away and exchanged it for pure vega risk (a bad bad trade off if you ask me). When playing long gamma, the best...

Great answer, very clear and succinct. For IronChef: Dynamic delta hedging of options is better left for MM's or pure volatility shops. For a retail trader that is long gamma, the edge resides precisely on the non hedging side of it. If you look closely at the problem of the dealer is that he...

Robert, only VIX options require a forward price adjustment when computing IV or greeks (what you call using the right futures). SPX options only need the current level of the index and they are fine. I reiterate that the problem of the OP is that quotes for SPX in-the-money options are usually...

The oddity in the graphs is just an illusion, the problem is that SPX ITM calls and puts are very illiquid and the quoted bid and asks are either stale, very wide, or plainly wrong. All of the research papers that deal with IV surfaces first "sanitize" the quotes for ITM options (calls and puts)...

I'm late to the party and this thread is funny in a sad sense. Botpro, you should not ignore the comments of real professionals here (like destriero and Martinghoul) the reality is that dynamic hedging of a short gamma position won't ever give you profits, just reduce your risk. The best thing...

The point is that you don't know what a buy write is. And also that it seems you like to drop categorical statements that are incorrect (not to mention a certain troll'ish attitude).

Destriero's styles is very easy to recognize, I suggest you search for any threads authored by Atticus and you will understand. Be prepared to spend hours reading over them :)

I guess you missed the big red bold part that say "Buy Writes", you should read a bit more before claiming falsehood of something you didn't understand. For reference what destriero said is 100% factually correct.

Even though this doesn't address the original question. I use the different option chains for different things. By default I trade SPX options as I really like the European style pricing and the liquidity, and for complex positions (multi legged spreads) the price increment is usually in the...

Hi guys I'm getting an error trying to close an existing iron fly in IB. Whenever I submit a sell order for it I get an error that says: SELL 30 Combo @ -24.20" Combo leg contract is not supported. No matter how many times I try or what price I use. This just started happening with...

Feldman iron butterlfy, that was actually very funny :)