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I disagree i960. Depending on which area of the strike space you are trading, if the surface is skewed/convex, you have a bunch of different options trading at different prices. Whether or not my trade makes money is dependent on vol forecast as well as the prices I paid for the strikes I...

If the options are priced fairly, your result is in-line with what you should expect from a delta neutral strategy -- breakeven. Try some other ideas -- i.e. maybe go shorter (1 month), move away from the money.

What are you trading? Can you be more specific?

Fair enough. I definitely agree on taking a view on vol / probability theory alone.

This is true in dollar premium terms, but that can be misleading. If the vol surface is convex (as it should be with stoch vol/discrete hedging/jumps under threat of arbitrage), the near-the-money options will likely trade around a local minimum in IV terms. So while you're bringing in more...

Yes, but I wouldn't call it that. And I'll emphasize, by no means am I saying a short straddle won't take losses if the underlying explodes higher. Just that the negative correlation between spot and vol for indexes means that short index vol is somewhat long biased. Vega is only a...

Stochastic vol models have a correlation coefficient describing the relationship between the Brownian processes driving the vol/spot variables. Take the SPX for example. VIX usually increases when the market declines. Most would model this as a negative vol/spot correlation, meaning that a...

Yes....especially going into expiration when you are seeing delta bleed, it makes sense to be hedged forward in time to the next open versus staring at a gap open, hedged using stale inputs from the prior trading day. I believe prices should therefore reflect traders' forward mindset -- i.e...

Good question. And yes I believe this does depend on a lot of things, most importantly what is going on with implied vol. An increase in implied vol is essentially a slowing down of time or even going back in time. In markets with high vol-of-vol, your greek theta number will be highly...

A faster, more heuristic method for this is to simply say: +/- 1 Sigma ~ Spot +/- ATM Straddle. Problems arise though... 1) Using this method is equivalent to inferring a quick and dirty estimate for a +/- 1 SD range via ATM IV. However, in reality you're forgoing the use of a lot of other...

28% is absolutely a meaningful number. It is your breakeven vol. Assuming you are long the fly, if realized vol over the next year comes in below 28%, you should expect to make money....above 28%, you should expect a loss....At 28%, you expect a scratch. This tells you an expectation (an...

Just out of curiosity...why are you even in the option trading threads?

So option trading is more risky than pretending you're a big boy and playing in a game where your competition are the likes of Virtu and Citadel? You're quite simply in denial of who you are as a market participant.

Wow....a sheep to the slaughter.

Please cite me one example of an "easier" way to make money? A trade you did this week perhaps...

There's a flip-side to every coin. You keep harping on the risks. Yes there are risks. But you appear to blind to the rewards.

Options offer opportunities that those other instruments do not.

The fact that you view a "great options trader" as someone who simply "retires" and takes it easy at home shows that you are way out of your element.

Ah yes....the old "Which insurance policy would you buy?" test at the airport.....if I remember correctly they found out that even professional statisticians routinely answered that one wrong....

He or she did not hedge correctly....