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If I'm not mistaken you compare 3 ATM to 100 OTM, right? So, in this case we have 3*0.81 vs. 100*0.146 or 2.43 vs. 14.6. Sure, total Vega is higher on OTM, but so is Theta.

Have you considered other Greeks? What's your Theta in both positions?

You might wanna be a bit more specific in terms of what instruments are you looking to trade and your style (daytrading, swing, position)!?

And this relates to options how?:confused: Forces of demand and supply determine the price so if the demand is greater than supply then the price goes up and vice versa.

Sorry, got no idea.

What are you gonna compare? Historical ratios? In order to arrive at a fair value of a stock using a Valuation Model you need make a projection of future cash flows, growth rates and etc. How's a program gonna do that? Or rather where are you gonna get those future earnings estimates?

Take your pick:CBOT Fed Funds Futures

I would take the new strike to do the calculation. ATM strike is the one closest to the price of underlying. With that said, if it is somewhere halfway between the two strikes then I'd average them out and use that number.

Hidden Reality is the updated Shoulda Coulda Woulda.

"The Option Trader Handbook: Strategies and Trade Adjustments" by Jabbour & Budwick. "Options trading: The Hidden Reality" by Cottle (Cottle's book is a bit hard for a beginner so start with the other ones).

In that case, you should be ready to fly on your own.:) :) :) I agree, it's a great thread and riskarb will be missed.

Bigmark, Pay a visit to CME, CBOE, NYMEX, CBOT and other derivatives exchanges' websites. There's plenty of info there.

That's the basic idea. Obviously for more insight you should look into riskarb's combo to fly conversion thread.

Usually theta is based on 1-day change.

#2 & 3 are too broad to answer. The premium depends on the strike price, underlying price, time to expiry and volatility.

That's a flatline not a trading range. It's a takeover stock, that's why it is flatlined (i.e. the true value of the stock is known) and that's why volatility is so low. Nothing to be made here, unless the deal brakes down.

Let's put it this way, if you start with 100,000 and double your money every month for 2 years then at the end you will have 1.68 trillion. Does that sound right to you!?

http://www.elitetrader.com/vb/showthread.php?s=&threadid=43661&perpage=6&pagenumber=107 There you go. MAESTRO is your guy. There are other pics of this monster in that thread, but you'll have to look through it to find posts by MAESTRO.

Huh, scalping with delayed quotes on Yahoo!? Are you kidding?

SPX is a cash index so options on it are index options that trade on CBOE. These are not the same as options on S&P 500 futures that trade on CME. So we got end-of-month options on futures NOT index options.