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That's true, in BS terms, but expirationless does not necessarily mean exerciseless. An exerciseable, yet expirationless, put would be worth something.

Now that I think about it more, I have to agree. It all comes down to this: Why would sellers take on infinite risk, both in time and in price? They wouldn't, or if they would, the premium would be so high, as compared to LEAPS, that it would scare away buyers.

You mean his book BEAT THE MARKET?

The exact same conundrum faced with those who are long-term investors in American stocks. Simply replace volatility with earnings.

Over the past year there WERE spikes in vol in which one could have sold vol bought earlier and cheaper. When VIX gets to 10, I look to buy (and hedge, so I can sell on higher vol).

No, you aren't missing much, if anything (you don't miss much around here :-)) . For the most part, yes. The author uses SPX options and hedges with 2 ES. To me it would make more sense simply to sell the ES options (good liquidity, small spread), but, whatever works for him. I guess. I...

I know how to construct synthetic straddles and other combinations and do so often, usually with index futures/options. I just didn't find the article that insightful. After all, FUTURES is really a magazine to get retail traders interested in trading futures and providing the necessary...

I read the article about the "Asian straddle" in Futures (which I get for free), and I don't know about the Asian straddles available in NJ, but the Asian straddle I had in MN (also, for free) was much more stimulating that the article in Futures. Apparently the Futures "Asian straddle"...

The IV is not high, but deep OTM puts trade at a much higher IV than do ATM puts (negative skew). Optionetics has a table of IV for ES futures options, which I trade. I find the table helpful. To take advantage of the skew I have been known to sell 2 atm puts (or 3 otm) per contract sold...

OTM index puts are "expensive" in that they have higher IV; OTM index calls are "cheap" in that they have a lower IV. I sometimes sell puts if I am bullish, but rarely sell calls if I am bearish. If you're going to buy gamma, buy cheap; if you're going to sell it, make sure you are getting...

In an interview MA said that SOME of his accounts are hedged (credit spreads, iron butterflies).

Markets in general may not be predictable in that X market will be trading at X level within X amount of time. But does that mean that the behavior of market participants is NEVER predictable? I am not sure.

Putting calendars on both sides (calls and puts) is simply doubling up.

A few months ago I interpreted a comment you made on another board as indicating that you lost a great deal of money trading, and were therefore not a good trader (great on theory, weak on execution). Well, you had a good explanation for that comment, and you have shown here that you ARE a...

I would imagine that if one sold premium indiscriminately and hedged continuously so the positions would remain delta neutral, the THEORETICAL returns MIGHT end up being somewhat close to the risk free rate. That would depend upon transaction costs and data costs. And one would need to have...

Were these spreads legged into, or put on all at once?

This is not entirely correct. At IB one can write cash-secured puts in an IRA. I do it often.

There are so many, you can't slam just one. I consider these HIGHLY OVERRATED: 1. Daytrading into the Millenium, by Michael Turner. $60 retail. I bought it for $2.98, and that was too much. 2. The Market Maker's Edge, by Josh Lukeman. Information is OK, but the title is highly...

Positive theta, yes, but if the market continues to rally next week, that won't mean much. Btw, long Dec 1170p (ES); short Nov 1170p, from earlier this week. This position did serve as an adequate hedge Thursday when the market tanked.

They do not necessarily have to be scalp trades, and one does not necessarily have to be an institutional investor to make them. But it sure helps!