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Why is that? I have been trading SPX butterflies fairly regularly of late and usually get filled at 10 to 15 cents off mid.

VVIX

Got this guy from a rescue--can't imagine living without him. He's a Greater Swiss Mountain Dog and Border Collie mix.

That is because your break-even point on a butterfly at expiration will always be inside the wings. I suggest looking online as there is a lot of basic information about flies available. By the way, congrats on seemingly deriving the idea for a butterfly from scratch without prior knowledge.

I'm reminded of what the wizened old trader in Reminiscences of a Stock Operator said when someone asked him a question: "It's a bull market." I feel you though...I was short overnight and got killed on the gap open this morning, and if it happens again I will get killed again tomorrow.

Then you certainly will not need anyone to repeat the suggestions above regarding alternate strategies. Good luck! “Experience: that most brutal of teachers. But you learn, my God do you learn.” - C.S. Lewis

It sounds like you are very wedded to this strategy, so I wish you the best and truly hope that you make money using it and do not blow up. For what it's worth, though, in my opinion: - Using 17K in margin to make a hundred bucks is not a good use of margin. - Your crash risk is enormous...

You can use the stock screener on Finviz.com: http://finviz.com/screener.ashx?v=111&o=-pe

A heartbreaker if I ever saw one. But, fwiw, I say go for it. Fly out a few times, get to know her, and if the relationship gets to that point and your gut says yes then move out there. You're young: attack life, live with no regrets.

I applaud your exploration of different option strategies, but in my opinion this looks pretty overcomplicated. You do not include what the legs are, but at first glance to me it looks like some type of variant on an SPY put backspread, without the potential for unlimited gain and with unlimited...

I am not yet at the point in my vol trading career where I would be ready to trade variance futures, but to me it seems a real shame that the exchanges have not been able to operationalize a product accessible to retail traders. I have to believe that the demand would be there if there was an...

+1 Atticus is really throwing down the gauntlet the last couple of days...first GoC, now Jack. Let's see if anyone accepts the challenge.

"Where Will it End? China's Looming Credit Crisis" http://online.barrons.com/article/SB50001424052748704878904578541251070413678.html#articleTabs_article%3D0 (can view for free by searching from Google) Pretty scary stuff. For example: "Yet even with the overbuilding, market prices of...

Don't feel bad, I also had a (very small) short vol position going into BBRY earnings today. The r/r in my opinion was very favorable, and it was a killer trade last quarter when the stock re-opened unchanged. I don't have an opinion on the CRM fly except that paying almost half the intrinsic on...

This is insane gibberish, and is typical of what Jack has written in this thread. I have to wonder if he is just laughing his a** off as he writes this stuff, knowing that someone somewhere will actually think he's serious.

From what I understand (and Atticus and others please correct me if I am wrong), the reason is due to index skew and sticky delta. Sticky delta is the phenomenon where the entire skew curve moves with the spot price, such that a strike with the same delta will have the same implied volatility...

The best way to go about analyzing an idea like this is to put it into your trading platform's risk profiler and see what the p/l graph looks like. I have attached it from ToS. In this particular case, you are paying so much for the downside put (which is all time value right now as it is...

ToS has the data you are looking for. If you desire, you can also use Excel to download that information from ToS, e.g. with DDE (there are threads here about how to do that).

Good luck!

Sure--that is how the implied volatility surface is calculated. This may be helpful: http://en.wikipedia.org/wiki/Volatility_smile Any trading platform will calculate the implied volatility of an option for you based upon the current price.