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Consider me egoistic. But I can not reveal the strikes. This strategy rocks! I love it... even if it is flawed in the eyes of some traders...

Another modification of the base strategy. Notice this: The structure has a slightly negative delta and a negative vega. If the market rallies, IVs will fall (this correlation is siginficant!). Hence, the strategy offers very good protection. I am still waiting for some answer on how to...

There is no theta bleed... it is very minimal compared with a straddle. But wht do you mean with DN's?

I have just created a structure with a similiar PnL graph. This time, the structure consists of "only" 5 positions. However, I have one important question. If the structure has a position of 15 QQQ puts @strike 66, what is the equivalent position in MNX or NDX? I noticed that the ratio is...

Many thanks for your inputs! I see this strategy has gained some interest. Let me just tell you that the difference in maturities is only one month. Hence, the structure consists of options expiring in the coming month and options expiring in the month afterwards. The vega is slightly...

you are right... but one has to consider this: IV is negatively correlated with the underlying (in case of equities). so if the IV moves, it is likely that the trade will move into the lower or upper profit zone...

I agree with you that there is vol risk, because the trade has a slightly negative vega. However, I am not sure that I understood the second part. Even if there is no strong move, the structure will not suffer any loss because the pnl is above the zero line.

As you can see in the picture, the vega of the position is slightly negative. Vol is likely to decrease when the market rallies. When the market rallies, the trade makes some nice gains as you can see from the picture. Thanks for your comment!!

I agree with you that commissions will probably be a challenge. As I wrote before, the trade consists of eight positions. However, one can save commissions if you subsitute two positions in the QQQ options with NDX options, which are larger in size.

The strategy consists of eight positions. It consists of options with two different maturities. Each option position has its own size. In this case, it is QQQ. I will not reval the positions. However, I plan to setup this trade in the following weeks... Execution will be interesting...

Thanks for your comment! There are adjustments to this trade: 1. If the market goes up, the trader sells calls. 2. If the market goes down fast, the trader unwinds the whole position. If it goes down slowly, the PnL will probably hit the high of the PnL graph on the left side. The...

Hi, I have been working on a complex option strategy that has a very wide profit range. It seems to have an excellent risk-reward ratio and superior to other "income" strategies like iron condors, butterflies, etc... The bright shaded region is the 68% price range. Please let me know...

Thanks for the reply, Atticus... I read about the SO spread that it is the SP500 - 2 x SP100. This spread is basically bullish, meaning that it is positively correlated to the SP500. The spread goes up if the Sp500 goes up and vice-a-verse. Now, some people set-up the trade with a credit...

I have recently read an interesting article on so-called 1-5 trades on futuresmag.com (http://www.futuresmag.com/2011/07/01/using-spxoex-options-spreads-to-take-a-directional?t=options) The article discusses two spreads on two indices that are traded against each other. The trader simply...

Many thanks for all these replies... The thought is just this: If there were liquid variance swaps on each stock, then a pure exposure to volatility could be established. However, variance swaps can be perfectly replicated by option strategies... However, it is very complex and I think...

The reason why I am looking for a positive vega, positive theta trade is to benefit from the increase in IV due to upcoming earnings. The objective is to construct vega positive trades that have at least theta decay as possible... The best would be to have it theta positive. Thanks...

Can you please show me an example? A wide box is an arbitrage trade, right?

Hi ETNYC, Yes, I am looking for an option structure that profits from an increase in IV and that has a positive time decay as expiration comes closer. So if the IV goes up, the trade makes money. Example: long straddle The trade also makes money through time decay. Example: short...

Hello, Does anybody know an option strategy that gives you a positive vega and a positive theta? The strategy should consist only of options with the same expiration, so calendar spreads are excluded... Thanks! Cheers.

If you think US will go broke, well, think of Europe...