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We maybe at cross purposes, I said that you cannot use IV by strike to calculate Greeks / Probabilities as TOS seems to do. So, lets play with some real numbers from TOS that I do have - Stock XYZ , assume no interest / no dividends - 45 DTE - Spot Price = 187.00 - ATM straddle = 6.00...

Maybe better if we work with real numbers rather than abstract principles. I have seen, but don't have access, to TOS Option Chains that I understand use IV at each strike to calculate Probabilities / Greeks. If you do have access to TOS Option Chain, can I ask you post details for - SPY...

In my opinion, it is simply wrong to calculate the Greeks / Probabilities based on IV% at each strike. There are various Models that will estimate/extract the Implied Probability Density from the Option Price Chain, and then calculate Probability / Greeks in a consistent manner. Doesn't...

Normal v LogNormal Probability Distributions. Technically should be calculated from the Forward Price. Downside SD's should be smaller than Upside SD's ... as Downside cannot fall below zero ... no limit to Upside.

Ignoring the SPY position; in order to quickly neutralise the position you could: 1. Buy 1x 1790 / 1840 Put Vertical or 2. Buy 4x 1830 / 1840 Put Verticals or 3. Buy 1x 1790 / 1860 / 1890 Iron Fly Does this help?

- Dissect the position into simplest components - Liquidate most/part position with greatest risk with a single trade - In practice, often leads to buying back short options, leaving long wings as lottery tickets if too cheap to sell - Depends a little on whether underlying is cash or stock...

This is classic double speak .... "Give up Profits of a few months" .... she just can't bear to mention the word LOSS What she is trying to say is that she got hammered so hard in May .... incurred heavy losses ... and in order to recover the Loss, had to Roll Down and Out a couple of...

There's a reason they skated over strategy and returns in 2008 ... but I can't for the life of me work out why. It wasn't the one day falls in 2008 that hurt ... more the SPX fell 50% in pretty rapid order ... just try rolling / adjusting in that market on the kind of leverage she was using...

Pekelo Have you actually watched the video? 1. What evidence do you have that she only sold call premium in 2008? 2. If you watch first video interview at 17 mins 50 seconds, she specifically refers to the flash crash in May 2010 where she says she was 'practicing her spanish as she...

As you have clearly listened to all her interviews, and has a track record since 2002, what was her return in 2008? The Mexico comment was referring to the flash crash in May 2010 which only fell about 9%! Cheers James

He has repeatedly stated that; - she wasn't really trading in 2008; - her results 2009-13 were primarily from being short puts in Bull market - she uses leverage and risk that are way to rich for him - the next crash will reveal whether her strategy can survive a full market cycle...

What hedges are you referring to .... She trades naked options, no hedges, never gives back premium ...

I think in her various interviews, Karen has only discussed trading record since Jan 2009, and then admits to only 1 losing month up to Jan 2014. In order to generate stated annual returns of 30-40% by selling 5 delta puts, she is maxing out on margin .... ..... and as Tom Sosnoff clearly...

1 Standard Deviation Expected Move ~ 1 x Vol% x Sqrt(Days/365)

Plenty of brokers that trade UK index/equity options ... including Sucden, fxcm, bfl etc

Honestly ... unless you really have you ... there are better things to do with your life .... and I am talking from experience. I trade UK Index/Equity Options on Euronext and used Hoadley until he stopped supporting option chains from LIFFE ... although he has lots of ready made functions to...

I use Sucden to trade FTSE Index only ... Wingspreads, Straddles, Strangles etc ... Great service ... Phone broking only .... although looks like they are taking small steps towards some form of electronic platform Cheers James

There is a number of great 'free' websites ... lots of great excel examples including; - Chandoo - Contextures - OzGrid - Peltier - Newton Excel Bach - Mr Excel - JKP - Chip Pearson - The Spreadsheet Page ..... plus others Have a dig round the archives ... Sign up to the RSS /...

ATM Straddle * 1.25 = ~ 1 Standard Deviation Expected Move

Atticus Count me in if you cannot find a better partner .... based in UK ... will need to sort details etc We have spoken briefly a couple of years ago ... been distracted developing some software that builds on Cottle's Position Dissector ... +40% trading vanilla Index Options YTD ...