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It sounds like you think that selling high IV does not work because it did not work for you in this case. What makes you think that it does not work in the average case?

It seems your idea of contributing is to post testimonials about OptionVue like you did in this thread. On that thread you claimed to be someone else. By the power vested in me, I therefore declare you to be a spammer.

That is 1/3 to 1/2 the cost of a Master's degree.

I have spent the last 10 years working on that problem, so my current best answer is not something that I am likely to share. I will however point you towards the work of Torben G. Andersen, Tim Bollerslev, Francis Diebold, Paul Labys, which has spawned a lot of productive research over the...

That is not quite accurate. Most of the research shows that using implied volatility produces biased forecasts of future realized volatility. More recent papers have shown that implied volatility is an unbiased estimator of realized volatility when adjusted for a negative risk premium. The...

When you say "volatility" are you referring to the volatility implied by option prices or the volatility of the underlying asset? The common "naive" forecast is the most recently observed volatility held constant over the out of sample forecast period.

Neke, You are overbetting. -segv

In order of complexity: Pencil and Paper Calculator Microsoft Excel Basic Language S-Plus Robert Engle

ThinkOrSwim

The payoff of an iron condor at expiration is not dependent on volatility, but the probability of a given payoff at expiration is.

This is not correct because whether the spread is profitable at expiration depends on the realized volatility over the trade duration.

A lottery ticket costs $1 and might pay $150,000,000, while a share of stock costs $50 and might pay $4 over a year. The motivation for engaging in these two transactions cannot be the same. Undoubtedly there are many options traders with a lottery-like utility, but these cannot make up 95% of...

Why do 95% of option traders trade options? Serious question. Edit: Why must one predict volatility or direction better than 95% of options traders as opposed to 51%?

Please do not feed the bears.

Because it is extremely expensive.

Yet somehow they still have not been able to locate and capture the most wanted man in the world. Do you really think that the NSA is in the lead when there is abundant economic incentive for the private sector to develop the same technology? If the staggering incompetence at every visible...

That is good. That is bad because you are in fact "legging the spread". What happens when you are trying to fill a put spread, the short (long) put gets filled, and then the SPX moves 10 points against you?

I will take your comment about a world class thesis to be a compliment about the quality of my post. I will put it in less academic terminology for you: You are always getting screwed in the SPX, your strategy does nothing to change that fact, you are inevitably going to get a swift kick in the...

First speaking generally, when you post a limit order near the mid price in a particular instrument, you are providing a service to the other market participants. You are offering immediacy of execution at your specified price. Whether the limit order gets filled or not has to do with several...

Here is another technique you can successfully employ: Do not trade the SPX electronically as a retail customer. This big contract is for big institutional traders who have access to the trading floor. However, if you insist on trading this contract, I am sure that the traders on the floor...