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You would be better off starting with spreads to isolate other greeks you may not want to expose yourself to.

thousands! oh my! ... check out Amibroker.com.... single license ~ $350 TO BUY and own forever + IQfeed $70 monthly for streaming data...this will at least enable you to chart spreads. Here is my code to chart SPY vs other tickers. SetForeign("SPY",True); //load SPY SPY5mOpen = Open...

just doing an "eye test".--- see the slope between 1999-2001 vs 2015-2017? most likely due to higher iv's then vs now... also see the steep drop in 2008? now what you have in 2017 going forward..( just " heuristic " analysis) is not a good environment for writing straddles bec your profit is...

I don't think it is a big issue per se BUT by isolating it through wing purchase turning short straddle into flies, you might be sacrificing profit potential for better manageability of the trade since 1) you can sleep at night knowing your losses are capped 2) margin relief..I just wanna be...

i would'nt say flies kill all the profit.. it does a good job in isolating vega so you only have to worry about other greeks since flies are vega neutral (generally). There is nothing more frustrating than getting things right such as direction, and magnitude only to see your $$$ leak due to vega.

the bid/ask spread w all these legs will kill you... also it is not a matter of win/loss % but the payoff when you are wrong. It is also human nature to ramp it up when you are batting .750 which straddle selling offers. This means it will take a lot of discipline to stick to your position size...

without even getting into the actual spread. I can tell you off the top. You will not get this pnl Profile without taking on leg risk. The reason is the spreads. The NBBO for MFC Nov 20 call which is the most liquid being at-the -money is .65/.80 ! You might try to split the diff and end up...

PnL profiles get more precise the closer you get to expiration because then it becomes a simple exercise of the debit/credit you put into the initial position vs. the bleeding out of the extrinsic values of the option legs as it moves towards expiration day. Anything before 1-2 days before...

Give me example(s) of too good to be true analytics ... spreads? expiration plays?

cc..listen to the last 3 posters. They know their stuff... seriously..

thinkorswim .. check their ondemand

I would start by looking at historicals of the crush post earnings announcement. You can create a whole science out of this trading method. Charting vol updrift then crush , charting straddles to determine optimum entry, straddle scalping AFTER the earnings if vol crush is too excessive bec...

Cf. there are tons of books about diff ways to hedge- $ neutral, Beta neutral, options,etc. Check out "Trading PAirs" by Whistler. I am sure there are countless others-some free.. I do think it is a very crowded space though...

I think one way of arbing what you talked about is to buy the spot month future and take delivery of the physical commodity, pay for the storage fees,etc then sell the future in the back month and deliver your stuff then. I think that kind of trading is done more by the"trade houses" (at least...

Gonna defer talk about futures spreads to the experts out there (not me for sure.. lost tons of $$ on it in past life) . misterkel, I assume you are talking about futures spreads like Long May/Short June Cotton, or long Heating oil / short Crude oil. We are talking about option spreads on 1...

unless u were in the good 'ole days at the floor in a soft options pit about to release a crop report OR breach a multiyear resistance and IV is at 80 where every strike is ATM. Flies for credits ! :-) so it has happened.. in this age of computer arbitrage prob never again....unless you leg...

I remember that thread- that was a nice one about layered entries,etc. Sprinkling across price spectrum (assuming you have legging in competency is a great way to systematically "harvest" those 1:49 bets... seriously.:-)

Pekelo. if you stumble across 1-2 of this occasionally , it is a good thing.Now when you start "sprinkling" across price spectrum- then it can become a full blown trading structure.

Good analysis JackRab. However, if you have the ability to somewhat predict direction or magnitude or some legging in ability to put on a bunch of these sprinkled across the price spectrum ,then you got something going. You don't even have to wait for 6 months. 2 months later you will make a...

I just loaded the legs and the market on that fly is 3.55 natural and mid mark at 4.77 which means you probably get it closer to $4 credit then you get cuffed closing it out...