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Nah, these are options that I wrote. I was receiving 04/09 expiration messages all the way through the middle of May. On the earlier question about roots... I don't know the answer. I just google around. ivolatility.com (and probably numerous other sites) also shows the mapping from stock...

Follow-up question... I've just noticed the multiplier on the VX future is 1000... meaning a single futures contract is $30k. But the option multiplier still seems to be "100"... selling one options ($3.50 each) = $350, for example. I *believe* this means that 10 VIX options contract = 1...

PZH is the options root, not the underlying. Did you have any options for PNC? Not meant to be a blanket defense for IB. I get weeks-old option assignment notices, and also mysterious margin exceeded warnings.

Great, thanks for that. I was also confused because of an entry in blog, which seems like a very authoratative source on all things VIX related: http://vixandmore.blogspot.com/2008/09/vix-options-as-catastrophe-insurance.html "For anyone looking to trade September VIX options, the...

Hi, I'm still trying to understand how to work with VIX futures/options. Let's talk about specific example: - VIXFF, Jun options with strike = 30, priced at $2.55. - VXM9, Jun futures, priced at $30.40. My understanding is that VIXFF will expire on June 17th, two days before...

You can back-test all day, you can look at charts all day... but nothing is like sitting in front of a monitor real time and watch the (lack) of action... I only started my automated strategy dev in the middle of the madness last fall. I backtested years back, but this is the first time I'm...

*The* fundamental assumption underlying the BS model is that (log) stock returns are normally distributed. They make this assumption because it's convenient from a mathematical point of view, not because it's correct. So, if you're going to generate random stock prices based on that model...

I'm almost amazed no one has come in this thread and turned it into an ego battle... :) Good input, re: changing IV. In my case, I'm purely using it as a hedge... if the SPX does *not* get stuck +/- 50 pts of 905 for the next month, my other positions should make enough money to compensate...

Gotcha... he's looking for $1 *per contract*, even as he averages down. All I gotta say is, wow. But I have to admit though, that sounded more terrifying before I read the ESPN mag article on the rest of his life. Sounds like par for the course, in that context.

Ah, that was the one number he didn't give, which I made an assumption on. But if all he's trying to do is close out $1k+ per deal (that was my understanding of his strategy)... why would he be trying to go for such a large margin above cost basis?

This guy is insane: <i>"On Feb. 9, I instructed subscribers to double down. I bought 410 contracts, bringing my total to 820. This lowered my good-till-cancel sell price to $2.00 -- still too high for the market, but now within reach. And I continued buying. On Monday, April 13, with my...

Very helpful, thanks.

I'm not completely sure I get you... you're suggesting that I scalp with ES at spot price instead of the future ESM9? My intuition is that the future will be more volatile than the spot, but will still be "tied" to whatever spot value is... so it should be a better choice for gamma scalping...

Gotcha, thanks. Did I just get burned on the ask/bid spread on my ES options...? I split the ask/bid pretty evenly, so I'm assuming I did okay. 905 on the put, 910 on the call. I'm not actually trying to go long the vol. My primary (equity option) strategy is sensitive to gamma if I'm...

Hi all, Starting to look into futures options... no experience at all with these. I was too busy during market hours to play with these, so am only trading after-hours. I just went long on a straddle on the June 09 ES... no problems there. Now I'm trying to place an equivalent position...

Nope. Keep in mind it's not "IB" that charges interest for shorting it... it's whoever actually has the stock to lend. IB is just charging you market rates for borrowing it. But whatever that process is for borrowing/lending shares... it's invisible to retail traders. So, we don't get...

There's no downside. This is exactly the question you asked earlier... why shouldn't someone holding a stock long (in a margin account) be getting paid, when the stock gets lent out? This is how you get paid. Selling the stock and buying the SSF is equivalent to holding a long position in...

If you're long one of these stocks, and expect to hold for 30+ days... you can take advantage of these borrowing rates by doing an EFP into a single-stock future: http://www.interactivebrokers.com/en/trading/pdfhighlights/PDF-ExchPhysical.php This is *exactly* why the single-stock future...

Yep, those threads alone make EliteTrader a worthwhile exercise for me. I had *no* idea that was an issue until I came across them. Now, I check borrowing costs for my short positions every day, ready to close out if needed.

Only a little bit, and it's not clear at all you'll get anything after commissions. C + K = S + P So... in the above case: $2.20 + $35 != $36.50 + $3.20... ... there's a free $250 in it for you if you: - sell 1 put contract (+$320) - buy 1 call contract (-$220) - short 100 shares...