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It's not at Jun expiration. spindr0 gave me an idea: IC in march, credit .40, strangle in Jun debit .55. Paying .15 in premium to wait for a pop seems reasonable especially if it's 7 months.

Thanks for the points...

spindr0, you are a great contributor. Thanks

I increased the size to get max loss of 1345. Details: June 2010 IC Long 20 put k=3 Short 20 put k=4 Short 20 call k=5 Long 20 call k=7 Nov long 10 put k=3, long call k=5 Dec long 10 put k=3, long call k=5 Jan long 10 put k=3, long call k=5 Mar long 10 put k=3, long call k=5...

Long term Iron Condor expiring Jun '10, long strangles for Nov, Dec, Jan, and Mar. Max loss 1345 Max gain on downside (bankruptcy) is 8445 Max gain on upside unlimited Credit 590

Looks good for long term, eh?

anything good out there right now? Seems like the only deals are those on stocks that are hard to borrow or that will be called sooner than expiration

Thanks guys

There are no ES expiring in Nov, yet there are options expiring in that month. What's the convention here? Do I receive/deliver the front month (in this case Dec)? Are there options expiring in Nov where the underlying is Jun 2010? Sorry for dumb questions, I don't trade these...

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I expect that to be the case for most popular strategies--if not all strategies. I understand a lot of the edge is gone, but I'm willing to speculate on vol, instead of arb it away. I can't compete in the arb space, anyway. Isn't there always a better and more sophisticated trader out there?

By players I meant stocks...35 stocks contribute to vol the most, 15 are always on the list, break down to 5 components and trade accordingly. Buy vol on index, which should theoretically be cheaper.

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CBOE.com has a lot of data, check it out. Here's the weekly data for SPX http://www.cboe.com/data/mktstat3.aspx#SPX

More like pseudo dispersion. Here's my thought process: 1. a few big players contribute to most of the S&P 500's variance, say 35. 2. Those players are dynamic except for maybe the top 15 that are always on the list (this may not be true, but let's assume for a moment) 3. Run PCA...

if you buy puts (or calls if you're short), you pay premium and can lose it if the underlying goes in your favor. That's the drawback. The advantage is that you participate in an upward movement if you get past a certain point in the underlying--the breakeven. long 1000 shares of SPY at 100...

22-25%

http://www.amazon.com/Option-Market-Making-Financial-Commodity/dp/0471578320

We have added modestly to the “equity put” portfolio I described in last year’s report. Some of our contracts come due in 15 years, others in 20. We must make a payment to our counterparty at maturity if the reference index to which the put is tied is then below what it was at the...

You can't catch more profit because you gave it up when you sold the call...it was part of the deal.