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If you find a prop firm that lets you put out short prem and the haricut to do it with....you let me know, yes? :)

It did happen. Just as I illustrated. If the market had kept going higher, just a little bit he was gonna be in deep doodoo. The SPY is exempt from this because of compitition.....mainly the advent and popularity of the ISE.

I just got .55 cents on the Oct 127/129 SPY call vert. Remember I'm legging these trades. Now I'll wait patiently until the market shows me I can safely put on some put side wing spreads. My example of .40 was conservative. Basically I've got little against the SPX. I trade it...

No...the example I gave is on the SPY. If it's the SPX you pay one tenth the comms because you're doing a 100lot and bring in roughly the same amount of prem for the month. The diff is -3.6K advantage SPX But don't get caught up in that. It's not commission that matters. It's when you're...

The commission is a slight disadvantage, admittedly. But say you do 1000 all around on an Iron. You get .40 on both sides, that's 80K you bring in. Assume on average you get to keep 85% of the prem you bring in, that's 68K for the month. Further assume that you pay 1$ per option (I pay...

You gonna buy or sell those verticals?

See that's exactly the way I trade. I'm always legging and picking direction and building positions over the course of the cycle. I rarely if ever put on an Iron all at one time. But I'm also not always short gamma and vega. I trade many other types of positions to massage my risk. But...

Generally speaking anything that is multiply listed and has decent liquidity. SPY, NDX maybe the IWN. You could also look at options the SPU. Huge prem in those. But it's different animal altogether. The multipler is $250 and it's only on the Merc, vols and skews are different and the...

They do a good job for their customers. You'll be well served with them. They're more expensive than I like to pay but they're good nonetheless. But now that you've heard the gospel look around and explore other indices. You may find other instrument more to you liking. Credit spread and...

You said it yourself, "not the SPX." end of story That's the reason they don't trade the SPX. Or to be more accurate, that's the reason they don't teach their retail customers to trade SPX credit spreads or Irons. They, in their capital (managed money)account trade the shiate out of them.

You do realize of course that you have to normalize for contract differentials between the two instruments? Plus, the spread is going off at .55 and there no liquidity even there. THis mid-point stuff is a strange concept that one should not take too seriously. Or you'll rudely awakened...

This is my point. It's highly highly unlikey that you could get that .65 cent spread right now. You may ...but over the course of a trading career you won't This is due to the SPX being exclusively list on the CBOE. They have no incentive to be competitive. BTW: now it's .50...and you...

There's no problem at all. There's no criticism either. Just pointing out that there are more efficient ways to do this strategy. re arbitrage: Hart9000 said he used the SPX because of the nice OTP prems. I simply pointed out that if he looked he'd find the same prems in other more...

You can lead a horse.... I wish you nothing but continued success.

Prems are gonna be the "relatively the same" across all markets. You will not find any arbitrage profits. Compare the same strike in SPX and the SPY and you'll see. Perhaps you may see that the SPY is a better deal at times but who knows.

AS you may or may not know the CBOE's order book is time preference only.....NOT Time/Price preference as one would expect. Orders that may at one time appear as "marketable" can soon vanish from the broker screen in the pit with no recourse. Generally speaking small time retail traders...

Gamma is the opposite of theta. Lot's of bang for your buck. If you're right and it moves in your direction the rise will more than make up for your theta decay

I rolled my Sept call spreads too. Next week could get real jiggy.

I thought replication would be cheaper over the longer run than dynamic, but maybe not. I'm just scratching the surface on exotics. I had to break out an old text book to refresh(Hull). But he only has one little chapter on this. I need a more thorough text. Anyway....good work. Good...

Ah yes....July. It was a nice hold though...but that risk management went right out the window. But that's gamma week for ya. I was in the same trade sweating bullets.