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Yes.

Do you have an idea what your average monthly return on capital is? I trade mainly rut and use spread to increase my leverage. I like to compare the result of your span margin leveraging with my rule-based margin. I used to write naked calls and puts, but I use spreads now to increase my...

I also trade mainly RUT. Though it has a tighter b/a, its still hard to get the mid esp when it is close to expiration. Being more volatile, it has a lot more premium when compared to SPX.

It seems to me that we have to close a CTM vertical at a right time (usually before expiration). That means we suffer from two slippages (or two b/a spreads). However for FOTM vertical, you usually hold it till expiration and so suffer from one slippage.

Coach, How is your CTM position on SPX?

You make profit because of the faster decay of the front month, and a much slower decay because it is 3 months away. Your strategy is similar to my DD. Funny thing is "you found DD hard to adjust, whereas I found calendar hard to adjust". For calendar, my adjustment method is keep adding...

Calendar is a hard strategy IMO. You want IV to increase but the spot doesn't move much. These two are conflicting and so it requires a special market condition to make profit. I personally don't like to use calendar as my major strategy, but i like to use calendar for hedging partially.

RR, Calendar has a very special characteristics by itself. The profit zone is small, and the max profit occurs at strike. The calendar is a IV play and not a strong directional bet. It is best to put the strike at the money (or very close to it). If you put a calendar far away from the...

RR, I don't think it is wise to open multiple calendars at the same time, but I will add calendar based on market condition when appropriate.

bto rut jan/nov 850/780 call x 3 @ credit of 0.3 trying to maximize my leverage.

sto rut nov 780 x 3 @ 1.75

Thanks for the info. Based on the data provided, it is not random. I believe it is some sort of temporary market manipulation by giant option players. The down set has a larger (around 2x) deviation when compared to the up set. The set - close is not a normal distribution and is heavily...

It is not a pure gamble. It is an intelligent bet based on statistical info. I will never do a pure gamble. :D

As pointed out by Mo in the past when I started looking at diagonal, diag = calendar + vertical. Mo probably can give you more ideas how to long or short put calendar or call calendar based on vol skew.

Good info! How many months out of 49 the settlement was lower by 4 points? It will be nice if you can show us the distribution. I like to find out if there is any statistical implication.

stc nov 810 call x 9 @0.15

Murray and Coach, I appreciate your discussion on 'haircut' strategies. However there are a lot of retail "newbie" who might follow blindly without understanding the disadvantages of those advanced 'haircut' strategies in a retail account. Why don't you start a new thread on haircut...

TS, As active trader, I have the same commission structure as yours. Being an active trader in Fidelity has nothing to do with the routing speed, better fills, or better support. Period. I agree that Fidelity is a good company for "investors", but not for "active option traders". BTW I...

I think it is Fidelity. I use Fidelity too and it seems to me that the order is delayed most of the time. Fidelity is the worst broker among the three brokers that I use for option trading. You usually get the worst fills with Fidelity.

Mark and Murray, I like to contribute some of my studies on diagonals. If you have a wider strike difference, sometimes it might have a negative vega. The strategy will be totally different. Since I play both narrow and wide strike difference, I can adjust my vega play to fit market...