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Hi all, Just curious if anyone has thought about ways of taking advantage of the huge explosion in various proshares 2x/3x style ETFs. (I know many are working arb-type strategies involving index ETFs, commodity ETF roll-over, etc.) My understanding is that these leveraged ETFs aim for 2x...

Hi, I'm just looking over the open interest for some of the ag/soft options. For example, CCU9: http://quotes.ino.com/options/?s=NYBOT_CC.U09.E It seems pretty noticeable that almost all of the put OI is at the lower strikes, while the call OI is at the higher strikes. I'd be...

Just to answer my own question... It looks like CQG has an API solution that should work, at some cost. I'm not clear, but TT's API should also work. I'll follow up on this thread if anyone expresses interest.

Hi, I'm interested in automated trading of future options. I currently have C# setup via Ninja for trading future underlying + equities, but they don't support options natively. I've looked at a few options, and they don't seem to work: - I believe Patsystems is future only. - RCG's...

That seems really interesting. But I'm not wading into that pool and adopting a new platform like this without a lot of people around me. Who's going to take the first leap?

314... Just to continue the conversation we were having way, way back when... Are you familiar with the Rithmic API...? It seems interesting as an execution engine, because it specific targets low-latency engine. I'm just wondering if I invest time in refactoring my code for a new...

I'll just refer you to this forum for starters: http://www.elitetrader.com/vb/forumdisplay.php?forumid=48

That one's easy. Short ZC and ZW until they're close to zero, or margin runs out at discount broker. If the latter happens first, move to new discount broker before check clears, repeat.

You're right. I think it was Mark that said it was "near certainty" 5 cent options would turn to catastrophe. I'm still torn on the risk/reward, and I understand both arguments. You've clearly reached your firm conclusion, and I'm not at all trying to talk you out of yours. I'm still...

Actually, I'm also short the calls at 10... so it's basically a repeat of the other question: should I cover... I'm mostly joking about not sleeping at night. My stomach has become mostly immune due to continuous practice, although the first few weeks I was a nervous wreck. I've got the...

If they were *not* after the nickel, you'd see 0.05 bids throughout the entire option chain, at any strike where there was open interest in the other direction. And you don't see that. I don't believe that market makers pay 0.05 a contract to clear out the deep OTM/ITM options on their books.

How do they hedge for OTM options with delta close to zero, especially as we get close to expiration? That's exactly the same scenario as what I'm facing here. They do have large* overnight risk. *"large" is your word, not mine.

Having years of experience + knowledge of hedging tactics is a positive. I'm here to learn from that. Hell, I *have* learned from that. There's a lot of conversation that I've sat in here, just absorbing concepts... only to have it crystallize into "knowledge" and understanding months down...

For my strategy (in its current form), the longer I trade the more I lose. There's a sweet spot on the theta curve where I believe I can hedge for less cost than the premium. This is why I have so much cash on the sidelines, rather than putting them into August positions immediately. As I...

I delta hedge, but I don't do so with the attitude I'm hedging away risk. I realize my positions are risky... again, I start with ATM positions, so I'm losing money on every trade, every day. (On my equity leg... I lose anywhere from $3k, on a decent day, to $15k on a bad day. I should post...

About 0.3%-0.5% of gross each month... assuming leverage of about 3x1, ~1%-1.5% of my equity. It had been 0.5% when I just blindly took liquidity, but I've lowered it by half by trying to use limit orders when the opportunity is available. But the downside there is of course increased...

Thank you for the well considered response. It's still very much an open debate in my own mind, as well, which side of the risk/reward balance this decision falls. But I simply don't agree it's a catastrophic risk... ... what keeps me at night isn't the probability of APWR gapping back...

I think I've come in here with a reasonably humble attitude. I'm very open to learning on every angle. However, I have to say, there's a lot of dogma about the way things "have to be". I don't think there's a lot of free money out there, but the assertion that my code will lose a thousand...

Well, granted, I might lose a few extra nickels because my code isn't optimal... but it's not going to be dollars.

Maybe you didn't catch this, but my custom developed application currently hedges *at the money* options. So, I don't view options coming back ATM as catastrophic events at all. I wouldn't be selling on a prayer that the underlying stay far OTM. It's within the realm of possibility that...