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I might be wrong, but I don't really think anything that sells for 287k could be considered luxury.

I am having a hard time interpreting your numbers - are these annualized monthly returns on the capital? In that case your returns are solid but not stellar, considering that your capital allocation is so small. Are these actual monthly returns? Cause if you are talking actual monthly...

Since real assets have the ability to be created and destroyed, the system is not stationary. A caveman that invented and produced a stone ax created economic value that might have been spread through the system, for example. The smartish conclusion is that the majority of investors will be...

Aside from operational advantages/disadvantages a large firm offers you social interaction with other traders. It is pretty important to discuss your trades, ideas, look at what other people do etc.

Dude, 2000 65 puts is 13mm in notional - that's like retail size. I just don't see anything to talk about. And btw, for them to make money, the stock would have to be below 64.7 or so, not 65 :p

In general, to forecast realized vol you would use daily and high/medium frequency underlying data, in your case S&P. This said, I've yet too see good volatility forecasting tools that take into account multiple aspects of the world, except of the ones that were developed by traders themselfs...

Given that the majority of people here will be trading shorter dated options, the value of vega p&l (especially intraday) is going to be very small. An IV database that has been made consistent time-wise and strike-wise is very useful indeed, especially for strategies where you are mixing up...

I will try to attach a spreadsheet tomorrow - posting from an iPad now.

Does not sound good. I am flying down there is a couple weeks to check it out, I'll report here...

I will say right away that I am a true urbanite that was genetically engineered to hate every place of outside of Manhattan. Also, for the past 6 years I was battling some health issues and was pretty much living in the hospital so there wasn't much choice in terms of residence. So, be nice to...

Personally, I think your best bet is to buy some vxx put spreads or even sell VXX calls. For practical purposes, it expresses all of your views (the range view as well as low vol view) and you take advantage of the VXX roll decay.

Delta just means how far out of the money you set the strikes for your iron condors. I guess since you have been around almost three years, you know your market real well...

Not for ATM straddle vs OTM strangle, no. ATM straddle vs ATM straddle, yes, it's going to be almost exactly 1:1 rato

No, the returns for both will become more volatile. There is like a million reason why people sell vol and why people do not. If I where you, I'd first figure out why your statement above is incorrect.

If you know the range, you best bet is to sell puts at the bottom end of the range and sell calls at the top.

What was the exact view you where trying to express?

I am a bit rusty on the whole terminology, but I think selling ATM straddle and buying OTM strangle is an iron fly, while selling a strangle and buying a wider strangle is a condor. And no, if you are not delta hedging, it's more a distributional then volatility statement.

Anything aside from variance swaps (or other vol-specific structures) will sooner or later have a directional component. E.g. if you trade an iron condor and market grinds up, you will find yourself short and losing money rather quickly, even if your volatility forecast was correct.

Out of curiosity (I trade rate vol mostly anyway, so i am not gonna "steal" your super-system), what delta strangles do you general sell and what delta strangles do you buy for protection? Also, when you say a while, how many years is it?

An interesting bit I picked up from the SLV thread - it appears that the OP is short front month ATM straddles and long back month OTM strangles in a 1:1 ratio. Personally, I would have done this root-time-vega flat, that is, found a ratio that (at least day 1) had made me flat vega / sqrt(time...