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5 point wing is also important. SPY options are is American style. 1 point fly is highly speculative, IMHO. In order for it to work UL has to be in some range or at least come back to the original price within the life time of the spread.

According to the guy who taught me, iron is the key due to different behavior of OTM calls and puts. Plus liquidity is better (.03-.04 spreads are common). Commissions are a big factor, of course. He uses OptionHouse where 250 IBs would cost $162.5. (15c/contract + $12.5). That means a...

I posted this setup in another thread but here is is again: On Wed on expiration week (That's Sep 19 for this month) open next month (Oct) iron 'fly on SPY with the 5 point wide wings. The short strike (body) should be above spot price. (E.g. +140P/-145P/-145C/+150C based on today's price of...

@Put_Master: We all agree that excessive leverage is bad (LTCM anyone?) but why do youkeep arguing with a strawman? You keep saying that people put their entire account at 100% risk on a single trade or a handful of trades and then get wiped out. But why would any one do such a stupid thing...

Wednesday of the expiration week may be a day where some rolling activity starts - this is a bit of a mystery for me. Generally, when position is open OTM put and call have different values and deltas (put is more expensive and has a higher delta). This makes the whole position delta...

Speaking of 'flies. Someone showed me a strategy that is set up as follows: On Wednesday of the expiration week (e.g. Aug 15 for August) sell next month iron fly on SPY (September) which is technically ATM but biased to the down side (OTM short call and ITM short put). The wings are $5. So...

One of the ways to trade vega only (well, almost only) is to buy a LEAP SPY put deep OTM. E.g. Jan 14 100. It moves mostly when SPY IV rises or falls. Delta is close to .1 and theta is negligible.

Wow, so much fighting going on here. Take it easy, guys. Let's get back to the technicals. Adjustments - I have a rule of never averaging down or hedging a losing trade. If it's losing more than a certain amount - close it. There will be time for another trade. A winning position is a...

Interesting info so far... Here is what my summary is: Calendars look like butterflies but there is a key difference. Calendars are vega positive while 'flies are vega negative. Hence they should be used in the opposite situation (low IV - go with a calendar, high IV - go with a 'fly). R/R is...

Could you please elaborate on this? How did you manage to lose more than the initial debit?

Thank you for your answers. I see two contradicting ideas for time frame selection: SEP/OCT and OCT/MAR. For me it looks like the first one is better because it has higher theta and higher vega for an equal position size. As for exit strategies, I saved an order on IWM 79 Sep/Oct Put calendar...

I want to start trading calendars but there are several issues that hold me back. I am sure there are people on this board that have plenty of experience with calendars and I would like to get their advice on the following: 1. UL selection - I don't want to use individual stocks because of...

How did you come up with 7.2%? Just to make sure we're on the same page: the position is to be sold BEFORE the announcement not after.

I look at IV to see if it jumped already and if it did, I try to stay away from that position. Theta is misleading because it may be compensated by the rise of IV. Time to expiration is more important. Right now most of my candidates expire in September and that is a lot better than weeklies...

I consistently buy pre-earnings straddles and sell them just before earnings. That exposes me to potentially large market moves that may have nothing to do with the underlying stocks yet those stocks will rise and fall with the overall market and straddles on these stocks will rise as well...

I don't delta hedge except for rolling a position higher or lower if it has more than 20% gain and 2 or more days till the event. It does not happen often. To summarize, this strategy constantly exposes one to positive randomness (gamma). It treads water if the market does not move but it...

It does work. However, the primary reason for the straddle/strangle price increase is a pre-earnings stock move. IV rise is usually not the case although it plays role for certain stocks (e.g. AMZN, GRPN, DNDN). Generally speaking, IV increase provides support for the position while gamma is...

I think the key here is to minimize losses. Generally, trading about-to-expire options produce more losers than winners if the expiration day is close to the report day (Eg CSCO). In most cases this risk can be reduced by mixing monthly and weekly options. It works best when monthly options have...

@webicknell: Does OH platform allow for position grouping similar to tradeMONSTER? I played with their demo account but could not find the way to show combinations instead of single options.