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And how could one profit off this fact that options sometime increase 54x? This is useless without any strategy, which I think we all know there is none......because you have to account for all the times you buy those 0.02 options and make nothing. Which would probably happen around 54 times, if...

The TOS sim is not realistic at all. TOS cant even calculate greeks properly so I doubt they have proper sim software.

You can neutralize gamma, for instance via ratio calendars that are gamma neutral. Then you neutralize theta as well and are left with pretty pure vega exposure... Im not sure why not more people do this, it seems to give a pretty clean vol exposure. BUT I found that you have to trade very many...

Probably, today was ugly. 1987 crash followed by 30 year depression next week? I think so, time to load up the shorts :p

1900 seems like a magnet here...market just have to reach it before they go anywhere else. Psychology...

The short fee is charged daily by IB. So if the fee is 3% then you will be charged (3 / 365) each day. In addition you have margin interest, which is also charged daily. I remember studying this extensiely some time back were I thought I had found a decent strategy, but it was proven to be...

Here's someone claiming selling ATM straddles outperform VAR. The VAR got killed in 2008 (as you said wiped out 3 years of gains) whilst ATM was barely touched and recovered remarkably quick: http://www.surlytrader.com/volatility-selling-strategies/ I e-mailed the guy trying to get a hold of...

1. It considers the assumptions that bars can be "factually analysed". 2. Again you're making pretty broad assumptions... Look I dont intend to start an argument, I am simply stating that markets are much more complex than what you portray here. What money flows where is incredibly complex...

Sure, being short black swan gives occasionally ugly drawdowns like with Buffett, but overally it should be profitable. Lots of literature on it.

OK, I think you're making some pretty broad sweeping assumptions here... I always laugh at the conspiracies of "dumb money" and "smart money"...and the idea that data arranged into bars somehow contains any valuable information vs. other arrangements. But that's just me.

you black swaners crack me up. people have been predicting the end of the world since the beginning of times. and since the world never seems to end, underwriting the positions of those who think it will should be immensely profitable.

Not disagreeing with you, however I almost never see your exits...so I can't really reach any conclusions on your methodology. By the way it would seem "shorting in a bull mkt" requires nimbling profits (eat like a chicken) to avoid big losses. That means even if you pick the top, and mkt...

On IB you can look up T&S history. Barely any volume went through at 88.00 for a short time before it went down again. I don't question your entry, but seriously dude, I have to ask.. everytime I see you post in this journal it's always a short entry.. and I almost never see you posting exits...

"Gamma scalping" is just a fancy way to say deltahedging. When you deltahedge, the majority of risk goes to volatility. The strategy you propose is very well studied in the literature, and overall the returns on blindly shorting vol is a tad bit better than long equity, but that's it. BTW I...

Jesus, these markets turn in the blink of an eye...

Butterflies that far down for so little credit would be super sensitive to transaction costs..

just use the equivalent otm option and sell/buy shares, same as itm and dont have to worry about b/a spreads.

DdeltaDvol and DvegaDvol kill you when it moves down to short puts. Realized can come in below and you can still lose money. You can use options wherever to bet on rv vs iv but you need as much theta/gamma as possible and atm offers the most of it. The problem if you use otm/itm is that once it...

Honestly VXST sucks for now, B/A spreads are way too large. I dont know how CBOE expects us to trade under such conditions, it's no wonder their products fail... Theres' probably plenty of opportunities in VIX. I'm more systemic, looking at broad historical data to see if I can find anything...

Yes, bull put spreads...if it goes down to my short option in the spread i'll either take the hit or roll it into a bear call spread to the upside, getting enough credit to try and make back losses. if it continues down i'm good, if it goes up and hits my bull call spread I'll roll it to a bull...