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So that you don't get confused by what others imply and what my experience has led me to conclude:There is inherant danger in any high probability low return trade. OTM vertical spreads are no exception. If a trader chooses to trade such strategies, he should have lots of tools in his kit.I have...

No I am not!!! I was referring to paper trading in my post to make a point. I was trying to escape the constant hectoring from atticus to make a point that is irrelevant to how I calculate my returns. I don't recall saying anything about my returns from live trading of credit spreads in this...

It is truly a shame that you stalk me from thread to thread and hijack the thread for you own purposes. However I calculate my return, the point of my post is that one of the reasons for the variance in my returns is that I did not have a good handle on why I was winning. I had to take action...

On an account devoted exclusively to trading credit spreads and 10%-20% in cash the month on month quote is on account balance. What else did you have in mind? What do you mean by spread requirement. What do you mean by portfolio? All my accounts or just the account devoted to vertical spreads...

I don't trade your quantity, but my trading unit is a spread. I care less about the price of the legs than the net of the spread, so that is what I control.

Your statement (no ? mark) is rather inaccurate. In the quoted post, it was month on month returns as implied by my use of the word month in that post.

I understand his dilemma. When I was paper trading the rudiments of my strategy I did not have a negative month. My best month was 22%. My worst month was 3%. Yet I was not confident because of the large variance. I felt I was winning more by accident then on purpose. It wasn't until I took a...

My mentor insisted that "I can trade options naked, but not trade naked options."

If you read the contract specifications I referenced, you will see that your question has no answer as you stated it. First, settlement must be determined. That cannot happen until all stocks in the index have opened on the day following the last day of trading. Soooo, nothing happens in your...

Since you are talking about LEAPS, I would think you have the time to break your order up into smaller bits. Mutual funds have the same problem when moving into and out of stocks. When they try to unload or accumulate huge numbers in the open market, they cannot help but move the price.

My first stop in understanding the characteristics of an options contract is the product specifications. It is well organized and easy to understand. Note the section Settlement of Option Exercise: for a good explanation of how settlement value is determined.

You have articulated the situation well. When I was the manager of a technical team we used to use the STAR system. (SiTuation, Action, Result). What action do you want to take?

I learned the eyes-out-the-window flying lesson the hard way. Let my medical lapse but want to get back into being PIC. Meanwhile, I muse about the flight school lessons for options trading.

You are up 30% in 6 months. That is admirable. What is troubling is that you have not communicated your short strike selection criteria other than a .25 credit on a $10 spread. If that is your key selection criteria it exposes you to different levels of PoT risk depending on factors such as...

I agree with you completely on the use of this tool or any tool for that matter. One must understand its limitations which are usually in the assumptions. I only threw in Monte Carlo methods and Markov Chains to amuse you. I did in fact, do those studies, but it is of little consequence to...

I use ToS's (ThinkOrSwim's) version. It was the closest to the estimate I developed using Monte Carlo methods. Which is the one I developed after developing a Markov Chain approach. ToS maintains that their formula is proprietary and I have not looked at MG's references to verify what he...

I'm gratified that I still have some things to offer that were unexpected. :D

Expanding readers horizons on tools to estimate risk of touching is a good idea, whether or not you think it is an edge. How a tool is used is important. The more tools in your tool kit the less likely you are to encounter the syndrome: if the only tool in your tool kit is a hammer, every...

Are you talking about the JUN2 2011 series or the JUN 2011 series? If JUN2 2011 your short has a PoT (probability of being touched) of 88%. If JUN 2011 your short has a PoT (probability of being touched) of 91% I would be long gone on such shorts with those probabilities. When did you...

Assigning motives to actions is always problematic. I've pretty much given up engaging in anything but civil discussions. I did not notice thread ratings or how to vote on them.