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You can hold a futures position for a week or a month with no problem, the only thing you have to be aware is that gains/losses on futures positions are realized on a daily basis (aka variation margin). So there is actual cash flow in/out of your account on a daily basis. Essentially, it's as if...

Each contract has a buyer and a seller so you always need to look at both sides to determine what happens to open interest. So: 1. If you buy-to-open and the person on the other side sells-to-open then open interest increases by 1 contract. 2. If you buy-to-open and the person on the...

The problem is not Black Scholes or huge price movement when it comes to delta neutrality. The problem is that delta is an instantaneous measure, which constantly changes so as the market moves the delta changes as well. So a position that is delta neutral at a certain point in time can become...

You can buy and sell all options at any time, not just American-style options. American style vs European style has to do with the ability to exercise an option not trade it. Options are a complex instrument so when presenting them to a person who knows nothing it is easier to present them...

Market makers take the other side, if there's noone else willing to take the other side. This means that you may have to pay the full bid/ask spread, but you will be able to get out. Options are a lot more complicated than stocks, so take the time to educate yourself properly, if you do...

It's really late and I can't think straight anymore, but you are right, there is a gray area. Maybe it is more semantics than anything else... However, when somebody mentions adjustments I always think of people trying to find that magic wand, which would just wipe away their losses, and as...

No, your broker will not automatically close out your long Jan call. If the Dec call expires ITM then you end up with a short stock position, which has its own margin requirement and if your account cannot support it then you would be issued a margin call (although in the case of IB, you are...

Well, that's exactly my point. While you are trying to save your losses by adjusting you could've deployed the capital in a new trade and made more money there. It's an opportunity cost of adjusting/trying to save a losing trade.

Personally, I think adjustments to losing trades are just a way to avoid/delay psychological pain associated with taking a loss and admitting you were wrong. In reality, when you make an adjustment, all you are doing is making a new trade, which is in your mind connected to the previous...

If it is a regulated fund then most likely they have to report to their regulator and publish audited financial statements.

Yes, it's true that B-S doesn't reflect the skew, but the VIX calculation doesn't employ B-S, so this is irrelevant.

I guess you are talking about the skew. I follow the skew on a regular basis and, as dmo pointed out, it does give good signals on certain occasions.

What does B-S model have to do with this? VIX calculation is not based on it.

By the way, the strategy that I mentioned was also traded in real time with real money over the last two years, not backtested or paper traded.

No worries. I already had two, but I'm in Europe so it's the end of the day for me. :)

Actually the losers are 2.5 as those are 5-point spreads so your max loss is 5 pts minus premium received.

On a similar note to spindr0, I have backtested a pattern that worked for over 30 years, then came 2009 and as of now the strategy is around break even (incl. all the costs) after two years.

Yeah, I am interested because I do trade verticals and ICs on SPX among other indices and I have done some testing on these settle to settle moves myself, so I know what it's like to go from these statistics to the actual trading...hence my questions. The dime here or there may be meaningless...

I'm also with thinkorswim. Where do you find these "calculations" or rather values? Also, I presume that when you say 2-2.5 premium you mean on a 5-point spread, right!? But then again, even if you know the approx. settlement price by 9:45 it doesn't automatically mean that the SPX would...