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OCT12 (+p143-2p144+1p145 = 0,10 debit market price)

I will defenitely paper traded in several forms; put, call and iron flies. I assume the 5 point wide wings is also crucial? Anyway, I was having a look at SPY options (are they european style?) where an atm long put fly 1-point wide is about the same price both on sep and oct options...

Does it have to be an iron fly? How about put-only-fly or call-only-fly? I assume bid/ask spread plays a major role when it comes to open/close the trade. Also, commission will affect any profit/loss; say I want to trade 250 of those flies, that's $1k fees just to open the position (I assumed...

That's just me. I am turning to vol trading because I am sick and tired of betting on the price direction.

Well, I still prefer bleeding from being long/short vol instead of being long/short the underlying.

Now you're talking!

I am not saying I'll make money without risk. Just wanted to follow the OP and see if flies are good way to go long/short volatility. I do have Hoadley on Excel. Yet, I don't generally get a rush in playing assumptions, I am more focused on analyzing options past prices and try and...

That's my point! Also, I'd like to point out that short volatility positions such as the short straddle, have the potential for large losses should the underlying price move sharply in either direction. So, to limit these potential losses I may like to cap the maximum downside risk which is...

I am sorry, what gains should I cap? Those generated by the underlying move? I don't want to capitalize on that, it is just not my goal! However, I understand I should analyze more data, not just a month of options settlement prices. Could anyone please explain to me in plain english why...

I think it depends on the maturity of the straddle; a short-term to me looks like a gamma play, where on the longer-term (3rd further out options) becomes a real volatility play. Also, commissions and continuosly re-hedging schemes will defenitely play a crucial role. I might like a synthetic...

I am wondering if flies are really the best way to go long/short volatility. Have a look at the attachment I have a question for you volarbs! Is short butterfly a pure LONG volatility play?

Here is an atm dec12 +put+call straddle purchased by the end of july and that's it!

Here is an otm dec12 put purchased by the end of july.

On the right scale you get the long atm butterfly dec12 purchased by the end of july; on the left scale you get the dec12 index future.

Sounds interesting! Yet, I am way more fascinated by long-term strategies. To me, going long an atm dec12 fly is similar to short volatility further out in the curve.

How about warrants, I mean when corporations issue new share as well as warrants to purchase new shares, those warrants should not be affected by theta. Yer, they are similar to call options. Here I am just wondering, nothing seriuos.

Say I am long a long-term fly (pure short vol), can it actually go to zero way before expiration?

I have been collecting options settlement prices for a couple of weeks by now and did backtest an ATM long Put butterfly DEC12 starting from end-july to early-september. If I am correct, the long butterfly is supposed to be a short volatility strategy safer then the classic short straddle. The...

Also, as far as vol.arb is concerned, I often hear of terms like relative value, dispersion trades and directional volatility; while I think I understand the latter, I dunno anything about the first and secondo. Could anyone provide me with some clue? Thanks

I was having a look at this: http://communities.cboe.com/t5/What-s-On-Our-Minds/This-Week-in-VIX-and-VXN-by-Russell-Rhoads-CFA/ba-p/3589 I am struck by how the curve actually does not shift up when the VIX spot raises. If, a week ago, I had been long sep12 short dec12 I would have made...