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One way of seeing it is that after OCT expiration, you'll be left with a short calendar plus a long call. You do good with the short calendar when it moves away from the strike or vol decreases. Normally the goal is for the underlying to finish away from the strike to keep most of the credit...

It's a very complicated and specialized type of cheering*, but you are welcome to attend my 3-hour seminar for a small investment of $2,000. * results not typical

I'll be happy as long as they don't break 1329 :)

I'm cheering for a SPX close near the lows or at least below yesterday's low. Lately, the pattern has been to bid it up on the last hour.

Yes thanks, I'm keeping a close watch on them. Right now I have them hedged with long futures, which buys me time until gamma starts increasing in the last few weeks. They were placed CTM, so no big damage is expected.

It is the ISE sentiment index: http://www.iseoptions.com/marketplace/statistics/sentiment_index.asp It's a call/put ratio but only takes into account long retail orders to open. I don't think the numbers mean much by themselves unless they are at extremes, but I think it would be interesting...

Coach, are you planning any adjustments to your call diagonal? I'll wait until the FOMC meeting, but will probably take my medicine on the 1/3 of call credit spreads that I unhedged yesterday .:mad:

Coach, do you do full size on one side first? I've never done more than 20 contracts but have been thinking about doing half long, half short, half long, half short. Possible in more steps if I ever get to your size.

Looks like is going to work out in your favor :D Was it only IB? Everything seemed to be moving on slow motion, so maybe GLOBEX itself went down.

That would be great. My put diagonals are getting very happy with the increase in volatility. I will wait for a failed run to the upside to remove the rest of my hedge and add some more call credit spreads.

I removed 1/3 of my hedge at 1329.25 to get some negative deltas, but didn't add to the call credit spreads. I'm not convinced that we are going down yet. Too many people are short, do you guys follow the ISEE? It's at 80

I do both, but since I use the same max risk in percentage of portfolio for both, I get better returns on the ATM/CTM. The way I see it is that, if the options are priced efficiently, then mechanically selling them at any strike without doing any adjustments should have an expectancy of 0 in...

I can understand that if the price is far away from the market, but it would be chaos if trades inside the market could be arbitrarily busted.

Wow, that's impressive. Too bad they don't operate in Canada :( . Did they originally take the other side or your trade or did they basically sold you one back for $2 to make you even? They cannot really bust the trade from a third-party, or can they?

Yes. I'm comfortable with no directional risk for now. And as long as the VIX is up, I'm laughing. As we move down, I'll become delta negative again by removing the futures one by one and adding a little to the credit spreads.

It's incredible the way hedges reverse trends :D

Looks like is going to be a +7 open, so you still may be ok. Good luck !

Well, I finally had to put in my hedge. After the CPI index release this morning, I went long 3 ES DEC futures at 1333 againt my 18 OCT 1335/1350 bear call spreads. My delta for the whole ES position is now -15. My gamma was already pretty neutral, so this puts a floor at 1:2 risk/reward for...

Sounds good ! This guy is talking about this same topic today: http://adamsoptions.blogspot.com/

It's difficult to know what will give you a better bang for your buck. I've not found a good way to predict what the price of the VIX options should be at any given time and VIX value. You need to take into account the spread between the futures and the spot in both price and volatility. The...