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The settlement to settlement move may be what it is, but it is pretty hard to capture it, since the settlement price isn't known until around 12pm on expiration Friday, so by the time you get around to selling that call vertical the SPX and option prices may be a whole lot different from the...

This is not about the proponents or the opponents of BSM. The BSM delta is an instantaneous measure of the option's sensitivity to changes in the price of the underlying. What you are measuring and incorrectly calling "true delta" is in fact delta-gamma-vega-theta-rho. If you want to make real...

Your "true delta" is really an amalgamation of all the B-S greeks, so comparing B-S delta to your "true delta" is like comparing apples to oranges.

As I said, your post sounded like a newbie who thinks he/she found the magic bullet. It wasn't my intention to insult or confront you so I apologize if my post came across that way. By the way, you are right, if you were trading them in the sixties then it was before I was born. :)

I wasn't questioning your intelligence. I was just making an observation since the purpose of your post isn't clear except for pointing out that you made some money. There are dozens of newbies (and I'm not saying you are one of them) that come to these boards claiming to have figured it all out...

The gold has been in a bull market so, of course, it worked like a dream. As they say, don't mistake bull market for brains.

Thinkorswim doesn't have trading levels, well at least they didn't have them in the past, so once you are approved for options trading you can trade whatever you want.

I bet that risk free profit you extract from this trade would just about cover the interest you would pay to finance the position (alternatively, the interest you would forgo by committing capital to the trade). Not to mention the commissions and slippage...

He/she is busy absorbing the info. :D

Buying stock and a deep ITM put is the same as buying a deep OTM call, so their strategy is basically buying lottery tickets.

The only way to achieve such a position (there are a number of spreads that may fit the bill) is to leg into it, which requires market timing skills and it is definitely not risk free, well that is until you complete the spread.

Are you referring to the Max Pain Theory?

The interest is priced in to futures.

And the beauty is that it is in Brazilian real...

There is nothing you can do at the moment. Just keep an eye on the spot where the tick was for common symptoms of lyme disease and any other potential diseases (meningoencephalitis is a common one where I come from). You can visit your doctor, but he/she will probably just say that you should...

If you are assigned on a short call you get a short stock position in your account, and if you then exercise your long call then you would be covering the short position so you don't need the money to purchase the shares. However, I suggest you check with your broker so you don't get a nasty...

European-style, cash settlement and, as mentioned above, bigger contract.

Yes, there are exchange-traded options on futures. For more info visit CME. Options on spot EUR/USD also exist, but in OTC space.

Some brokers, thinkorswim and interactive brokers to name two, provide DDE capability.

Actually the logic behind it is exactly what I mentioned above. Bids can drop to 0.01 or zero, which would trigger your stop. The ask price, on the other hand, is not prone to this. Using the last trade price for options is the worst alternative, especially if it's not a liquid option.