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I understand that. The risk profile is similar to 570 calendar. Both have maximum profit at 570 and start losing money below 570. The difference is that straddle is vega negative and calendar is vega positive. When IV is high, you want to be vega negative, so if the underlying reverses, your...

I'm thinking of using straddles as portfolio protection. The idea is as following: With RUT currently at 592, sell a straddle with 2-3 strikes below the current price. For example, Feb. 570 straddle would give you downside protection of about 4%. The beauty here is that you are selling high...

Well, not necessarily - depends which underlying you are using. If you use NDX for example, one spread is worth around $1,500-2,000. Buying and selling one spread would be about $4-5 in commissions - that's less than 0.5%. Using SPY is completely different story - it can easily be 4-6%.

The backtesting results include trading in the mid of bid/ask and $1 per contract commissions.

I found this webinar on CBOE website - http://accordent.powerstream.net/008/00124/presentations/SL20080515/index.htm It’s called Circus calendars strategy. Description of the strategy: Initial position: - 2x ATM Call Calendar Spreads - 1x OTM Call Calendar Spread, located 1/2 of...

It doesn't import quotes for options (or maybe I'm doing something wrong?)

MSNStockQuote("MSFT","last")

I'm using IB. I know they also have an interface but I wasn't able to use it. If someone can help it would be much appreciated.

I’m using MSNStockQuote function to get data from MSN Money to Excel. It’s not Real Time, but it’s good enough for me. However, couple of weeks ago it stopped working for most (if not all) ETF options (SPY, GLD etc.). So I checked directly in MSN Money – they don’t have data for those...

This was exactly my point - long VIX short VXX.

Well, it doesn’t matter how you call it, but is it tradable? VIX front month futures are usually very close to VIX. Lets take today’s prices as an example: VIX is 25.3 - up 17% VIX Feb. futures is 25.05 – up 13% VXX is 31.8 – up 9% only. You can create a synthetic in VIX Feb...

Did someone try to trade VXX/VIX mispricing? If you look at VIX/VXX chart, you see that VIX outperforms VXX in 90% of cases. VXX opened a year ago at 100.11, with the VIX at 42. 63. One year later, VXX is down 68.4% and the VIX is down 42.2%.

A quick update on my SPX trade (Mar/Feb 1125 calendar). Since I needed to raise some cash and it was an experimental trade anyway, I decided to close it. SPX was at 1,102. The spread was selling for 8.3/12.0 (the middle at 10.15). I placed a sell order 5 cents below the middle (10.10) and...

The high on Friday was 648.12 which is almost a dollar lower than settlement price. I was short 7 640-650 put spreads and covered it on Wednesday for $5.1 when RUT was around 644. I could hold to expiration and make an additional 2.8k, but I could also lose 3.5k. Was it worth the risk? I think not.

I took their free trial in Sep. 2009. Their track record includes all trades since inception in Apr. 2006. They claim for an average return of 55% per trade. According to the track record, the total portfolio profit is $70,188, based on trade size of $1,000 and average of 7-8 trades open at the...

CandleStick77, I would sign on every word from NoDoji post. There are a lot of very smart and experienced people on this forum who would do a better job. I started trading in 2003, but I’m trading spreads less than a year. There is still a lot to learn for me. On scale of 1 to 10, I would...

You are correct, but remember two things. First, a lot can happen in a year, and it is not very likely that the stock will be at 4.5. Second, if the stock goes up, the call will gain value faster than the spread.

DJX is approximately same size as SPY. The whole idea was to save commissions by trading larger underlying.

Any additional feedback from CBOE? I’m trying to buy the SPX mar/feb 1125 call spread. The spread bid/ask is 8.6/11.7. I started from the middle (10.15) and raised it by 5 cents every 5 minutes to 10.3, still no fill. P.S. As I’m typing this, it got filled at 10.3. 15 cents slippage...

The risk/reward looks good, but you have to remember that the probability of the maximum profit is only 40%. If you believe that C will trade above $5 in Jan 2011, why not to buy $5 calls? They trade at 22 cents, so you can buy 40 contracts for approximately same amount of money as your example...