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I hear Antarctica is beautiful this time of year.

If you want any feedback, you may want to post some details of the position (you don't have to disclose the underlying). Just a thought.

Double calendar spread, aka straddle swap.

Delta netrality is NOT an edge! There is no point in discussing what is the edge of a position since we don't know all the details.

Setting a limit (stop) works fine until it doesn't. What are you gonna do when the underlying gaps up? If you are a newbie, I suggest you stay away from unlimited risk strategies for the time being.

ForexForex, You are probably the only person around here who doesn't use an option analysis tool, everyone else could've entered the example I provided at the start of the thread and would've seen the exact same thing I posted yesterday. With that said, you should give yourself a pat on...

Here you go:

Input an example I gave at the beginning of the thread into an option analysis software and you will see that a position like that does exist.

I agree with you. Maybe that position worked once and never again since 2009. :)

The OP said up until 2009, so it is plausible.

As I said, this position works well if there is a big move up or down, if the market stays at the short strikes then you end up with a loss.

The first thing that comes to mind is that person is probably one of the best clients for his/her broker. Paying commissions on 6 legs on the way in and then rolling it out adds up to quite a bit. Otherwise it's hard to say why would anyone trade this way, but, hey, who am I to judge. If it...

You don't need 6 legs to be delta neutral. This could be something that was legged into over time, i.e. the position started out as a simple position and then as the market moved around the person added positions and morphed it into the one in question. If it was set up in a single trade...

Yes, you can construct a position like that. I don't think there is a formal name for it. Basically, it involves a call backspread with an extra OTM short call and a put backspread with an extra OTM short put. Here's an example: Short 1 145 put Long 2 155 puts Short 1 160 put Short 1...

Not necessarily, you can input discreet dividends into a pricing model. Besides, you only need the dividends that are paid during the life of the option, you don't need an annual dividend to price a 1-month option.

On second thought, given that IBM and YHOO do have a positive correlation it is theoretically possible to at least partially hedge a YHOO long stock position with IBM options.

Good catch. I didn't pay attention to the tickers. :)

Fair enough.

1 D - selling a put is a bullish position, so with it you are not hedging a long stock position, but actually adding to it. 2 C - volatility is a primary component, change in volatility is not. 3 B - Theta is a measure of time decay, which is usually expressed in dollars.

There is no single rule here that applies to all situations. It depends on the particular option in question. However, you are not the only one with such a problem. As it has been mentioned above, funds and other institutional investors face this problem every day trying to get in or out of a...