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Yes you will notice some decay intraday, especially in calm markets. It's hard to predict exactly how much the decay will be, as theta occurs rather erradic.

Been there done that. Trust me, it will pass.

If you think it's expensive then short it.

So the only way to set midpoint prices for a limit order is to write an API? Are you sure there isnt another way? I looked at the various IB order types, they have something called "pegged-to-stock", in which an options order price continously adjust according to this formula: Option B/A...

But that requires a manual re-adjustment of the price, no?

1. How do you display the combined greek values for your entire portfolio? In the portfolio window, I am only able to add a DELTA column, but not gamma/theta/vega columns. 2. How can you build a combo order with more than 4 legs? 3. How can you view the combined greek values for a position...

After experimenting a bit with IB TWS for options trading, I can tell you right away it's not good if you're looking to trade something more complex than the occasional vertical spread. IB might work fine for options if you got your own API though.

Great, well it all makes sense now, thanks for your help everyone especially newwurldmn cheers

The bid/ask is correct, and that's what matters. Last prices are often misleading, especially if there is little volume.

Thanks for your answer, So straddles aren't needed, just short upside calls and dowside puts basically. Good to know. So one simple question: Say I short an OTM call, stock moves up, and it becomes ATM. I've lost money. But I was also short a put further down, which was ATM, but is now OTM...

Thanks newwurldmn, this answers a lot of my questions. However, regarding #5, say I want to replicate a variance swap. What I'll do is basically short straddles all over the place, at equidistant moneyness, say $5 or so between each straddle. Now here's the thing. The straddle I short ATM is...

Yeah, to be honest, I've been thinking a lot of the problems I see has to do with IBs data feed....I know it's extremely unreliable for charts and T&S since it's aggregated. Wouldn't surprise me if something is up with the options feed as well. Also, does anyone know how to make IB TWS...

Looking at IB options chain data, as mentioned in my first post, calculated theta is actually above extrinsic value for all options that are very near expiration and even for some options that are further from expiration, spesifically DITM/DOTM options. All other options seem somewhat accurately...

1. I realize they are more of an expectation. The question is when can you expect them to be right? Why isn't extrinsic value respected in the calculation of theta via Black-Scholes? It would be quite easy to integrate a function that disallows theta to be above extrinsic value. Why hasn't any...

Yeah russians would probably be your best bet. They know their stuff when it comes to software and coding.

1. Why does it seem that some options with no apparent extrinsic value has a theta attached to them? For example, yesterday I saw NFLX Jan 20' 12 120P being worth $33.9. After some calculation, I found the put had an extrinsic value of $0.12. Next, theta was exactly -0.04. Since the option...

Yes it's from the Wilmott forums. So you guys have any spesific examples on how to go about with this?

I found this on another forum. I know how to build a positive gamma and volga independently of one another, but I've never thought about combining them. The idea seems good, but my uncreative mind can't come up with anything...so, any suggestions how to build such a position?