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Dr. Z, Interesting that you call it "perceived" risk :cool: because I wonder if Max is still around due to survivorship bias? If Max's min size is $250k, his main investors must be high net worth folks with $40M on up who don't care about losing a couple of $Ms...

I understand that several funds based on selling index options show their best performance to be when the VIX is falling or flat. They suffer when VIX is ascending. Have you taken this into consideration and are you doing anything to make your overall position vega positive? WRT Ansbacher...

Murray, Yes, I do a relative strength ranking of all the sector ETFs each Friday. When the overall market is trending up, I look at the strongest two or three sectors. Then I look at the charts of the stocks in the strongest sectors. Works well in an up trend. However, doing the opposite...

ktm, A couple of questions: 1) In terms of risk management, do you use a stop loss -- something like what Ansbacher does -- close the spread when the loss reaches 2x the orignial credit received? Or do you roll the spread away from the market? 2) Are you still employing credit spreads...

IV, if I understand correctly, X and Y should track very closely because the market is efficient. Where is 2.268 coming from SQRT (30/365) is not it....

I've attached a weekly chart of SPX, VIX, and some ATR indicators. The top chart is the SPX since 1980. The second chart is the smoothed (using a 40-week moving average) Average True Range -- ATR(10). If folks are unfamiliar with ATR please google it but it's basically an average of how...

rdemyan, Unfortunately, I can't give an example trade just yet -- need a few more days to work through this. But just take your current Jan spread and model it with a Day 1 hedge and put and call calendars to get overall positive vega, and see what your position does when the SPX moves and go...

IV has hit it on the head... again. I have read/heard this comment from at least a half dozen proficient traders (Dr. Z's posts on another thread, guys at TOS, others...). You have to catch the period in time where the average true range (easily available in most charting software) is...

I think we need to read IV's post carefully (the part about trading directionally and about there not being a good way to adjust a short strangle). Perhaps an alternate risk management strategy would be NOT to adjust/roll at all. After all, when you adjust, you adjust into risk at a time when...

Dr. Z, I think the number of adjustments can be substantially reduced if a couple of ENTRY rules are followed (my two cents here based on what I have learned): 1) If the market is trending strongly when the spread is initiated, put on a spread that follows the trend. 2) Don't put on a...

Coach, I'm rolling (market conditions taken into account) when I am 10 points from the strike as well. Yesterday I rolled a 1270/1280 into 1280/1290 when SPX was roughly 1260. Took a loss of 1.40 (not factoring in gains from other adjustments). Have you looked at rolling into Jan?

Coach, 400 SPX DEC 1215/1220 Put Spreads -- isn't that a bit tight?

Rolled up 1270/1280 to 1280/1290 today.

Murrary, Yes, the median condor adjustment gives a little more breathing room at the expense of more risk. I like to take this off the week before expiration. If you are in expiration and can't adjust without incurring a loss, close the position. [/B]

Kai, It was me. Thanks for the update. How about an article on double butterflies? COACH: [off-topic, sorry].

Coach, I'm showing the 1305 strike to have an open interest of 0. Is this correct?

Long vega, short delta -- are you thinking of put calendars?

Coach, I added some 1260/1265 call hedges today. Are you looking at putting on any call fly hedges right now?

MoMoney, "I think you can find an optimal way of sizing the position and possibly pyramiding etc. to remedy that situation though. The goal being to get roughly the same amount of credit as you would have done from FOTM but by having much less margin tied up overall during the course of the...

rdemyan, exit at 50% of max profit, DO NOT hold till expiration :) are the profit-taking rules I use. In terms of entry, you'll get less credit the closer you get to exp. Remember the equivalency that an iron fly is the same as a debit fly, only that in the former case you get a "loan" from...