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Good one! :D

You are not missing anything, but you are not gaining any advantage over a normal strangle where you would sell 19 puts and 21 calls. I don't know how you are planning on daytrading it back and forth, but what's the point of putting on both sides, if you are planning on timing the market...

What you are forgetting is that if the stock expires between the strikes then this strangle (not straddle as you refer to it...actually it's called a gut strangle since both options are ITM) would be worth exactly $2, so your maximum profit in this strategy is the amount above $2 that you...

I think risk reversal is the most direct way, delta-hedged, of course. So you buy OTM puts, sell OTM calls and delta hedge with the underlying.

You can see the options here. It doesn't give the bid and ask, but it's something. The underlying for the option contract is 1 futures contract so the multiplier is 50 and not 100.

Just to add to what Rodney King has already said. At expiration an option is worth its intrinsic value, so the closer you get to expiration the more an ITM option would move with the underlying. That is, each move in the underlying is directly reflected in the intrinsic value of an ITM option...

As expiration approaches the delta for OTM options approaches zero, while the delta for ITM options approaches 1 for calls and -1 for puts. The delta for ATM options stays approximately the same.

ditto.

Trust me, it's not as simple as some people may suggest. There is no free lunch. You can find several discussions on this topic here in the options forum. Besides, if the author really was capable of making 30-60% return then he/she wouldn't be selling the method, but would be a billionaire...

Are you asking about getting filled better than the bid on a sell or a buy?

Aren't these trades of yours papertrades!? In which case you are hardly qualified to provide any advice or opinion on which type of order to use.

There is no such rule. You can sell as much as you want or rather as much as the market can accommodate. Obviously, you want to have as small impact on the market price as possible.

I agree, making a broad statement that premium selling kills is pointless, since the problem is not selling, but the leverage that some people use. This selloff has been rather "orderly", which means that if you had stop-losses then you could've got out of the way without significant damage.

Well, that makes all the difference. Based on your initial posts it appeared that you made the two trades (underlying and option) simultaneously, but based on your last post you seem to be trading options at a later time once the underlying moves, in which case it is a reasonable thing to do...

If you can sell 1 call then why do you find it harder to size 1 put?

You can think what you want, but the reality is that the risk is exactly the same.

And yet you've just done that by buying 100 DIA and shorting 1 sep 125 call!

It's not about being market neutral. Instead of shorting 100 IWM and 1 sep 70 put, you could've just shorted 1 sep 70 call and have the same exposure. Also, instead of buying 100 DIA and shorting 1 sep 125 call, you could've just shorted 1 sep 125 put. Why make 4 trades and pay 4...

Back to square one, huh!? :) Why do you insist on making two trades instead of one?

No, it's not covered. The short futures contract has already been used up, so to speak, to form the short put position. You should really read up on synthetics.