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How do you calculate the hedging power on the VIX calls? I'm sure you already know this, but they are not based on the value of the spot VIX. They more closely track the VIX futures, which don't react to moves on the VIX very much until the last 2 weeks before settlement when they start converging.

Come on, you have to give me a little more credit than that. It was placed for $5.50, a 3:1 risk/reward at expiration. I should be able to keep it at 1:1 by cutting my losses early or hedging. And I don't place them based on probability of profit, but on expected returns over a box bounded by...

Don't want to appear defensive, as I appreciate your comments, but the vertical is 15 wide and there's also the embedded calendar on the put diagonal. I get your point, I think, that theta is so small compared to vega and delta near term (1:6) that the position ends up basically being short...

Sure vega won't offset gamma, but my thinking is that just a 5% increase on volatility puts my break even at 1184 today and at 1195 at expiration. I should be able to get out before the tipping point (famous last words). It won't really do much for me on the upside, though. Don't understand...

Haha, not exactly a huge rally but enough to put my position at a 16% loss. I still think that will be lower than 1335 on the december contract by october expiration, but better start managing the risk. I'll go delta neutral using futures at 1330. For about 20 days, this will put a cap on my...

Interesting, and something I had not really considered. The spread will probably be huge because of the high vol and deep ITM status. What's more, although the losses will be limited or even end up making a profit because of the vol spike, that condition may not last for very long. So acting...

Makes sense, you want it to turn first instead of trying to call the top. My experience so far is that they have a bigger reaction to a volatility increase than a decrease, so my personal preference is to place them early.

Did you mean overbought point? I think they are a better play when you expect volatility to increase.

Closed my ES SEP 1250/1260 bull put spread for -0.20 debit for a 0.8 profit. Opened a ES OCT/NOV 1220/1235 put diagonal for -2.7 debit My position is now ES OCT 1335/1350 bear call spread for +5.5 credit plus the diagonal. I'm now delta negative, theta positive and vega positive. Unless...

oh no ! then it will trade above 1310 or below 1290, but definetly won't stay in that range :D

I closed my SEP/OCT 1255/1265 and SEP/OCT 1240/1250 ES diagonals today for +60% and +24%, respectively. This leaves me with OCT 1335/1350 bear call spreads and SEP 1250/1250 bull put spreads. I'll be looking at closing the put spread for around .25 on any strength tomorrow or Monday. My...

Yes, as I said you have to leg in. You can place spread orders on GLOBEX but I've never received a fill even when a better price would be available trading the legs. On individual legs, I have definetly been getting consistent fills at the middle for 10 and 20 contracts.

I don't trade the SPX anymore for that reason and because of better margins, but most importantly because the execution is a lot better. On the ES, I'm getting instant fills at the middle or +/- one tick most of the time. You have to leg in, but since the execution is so good you can...

Future options use SPAN margin. Without software, there is no easy way to calculate the margin requirement as it takes into account your complete position on each underlying. What's more, the margin required changes constantly depending on time to expiration, volatility and movement of the...

I closed the call side on my sep IC this morning for 0.20 and sold the OCT 1335/1350 bear call spread for 5.5 With the increase in volatility on the last two days and today's drop, my put diagonals are now showing a nice profit. I like how they lose value very slowly even if the market moves...

I have the ES SEP 1265/OCT 1255 and the SEP 1250/OCT 1240. They are both a little bit underwater. But I still think that the main reason why I put the trades is still valid which is that we'll see an increase in volatility by the end of September. I can still roll the SEP ES to SEP EW to lower...

I don't think it is bad when your short strike is hit in a put diagonal. Look for example at the SEP 1310/OCT 1300. You can convert it to: 1) SEP EW/OCT 1300 calendar for -1.25 debit 2) SEP ES/EW 1310 calendar for +3 credit 3) OCT 1290/1300 put debit spread for +2 credit. This is...

Has anyone ever received a fill on an option spread on GLOBEX? I gave up trying a long time ago and always leg in, but I wonder if this is a problem with my platform. When I send one of these orders, I see it becoming the best bid/ask of the spread but I doesn't trade even if it becomes...

Consider the following: The net overnight maintenance margin (accounting for credit received) for the naked position is 2,234 and will go up to 3,600 at your put strike. Your maximum return on margin is 35%. Your maximum risk is unlimited. If you cover it with the 1260/1360 strangle, your...

You need to figure out what your deltas are going to be at 132. They change with the passage of time and movement of the underlying, but you know that they’ll be –1000 at expiration because you are going to be losing $1000 each point until you hit your max risk of $2000 (134-132)*100*10 (not...