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No offense, but I am assuming English is your second language? I am having a very difficult time understanding your posts. If I were you, I would have puke-covered immediately and moved on-- which I think is what you did do right? So you are now long a combo against the SPY stock position...

Your option numbers dont make sense. Your 10 call is $10 ITM, and should be valued roughly $10 higher than the 10 puts. In your example, your synthetic forward is $9, with the actual underlying at $20--not anywhere close to realworld values

I'm curious about this as well. Where's the value in trading these against each other? We do trade the VXX against the futures, but only as an extra venue for added liquidity when hedging our options trades. You can find the VXX formula, but it is adjusted daily as they roll the futures...

Really? Dude, he wasnt being a jerk. You are speaking your own language. Your #'s 4 and 5 dont make any sense to the rest of us. It's clear you are confused, but you aren't communicating well enough for us to know how or why. I suggest you don't trade. BUT, if you do, please trade in...

I applaud your iron balls. Unless my entire trading account is for speculative purposes, I'd never be able to sit on a short straddle in NFLX.

You are either overthinking it, or you don't know enough yet to ask the right questions. Assuming a static vol and static underlying, its easy to add in a day or 20 day's worth of theta. Find an options calculator, enter the option you want to evaluate, then change the days to expiration...

Great speculative play!!! I saw this and put the same fly on using NOV instead of OCT. I only did it 15 by 30 by 15 or so. Liquidity is poor in those back month futures, a large position can easily get too cumbersome to trade out of. I also traded 22k vix contracts today...this little future...

Wow, you are getting tore apart by the forum, and frankly you deserve it. Don't mislead the beginners by pretending you are knowledgeable. To eyeball a potential exercise, compare the dividend to the price that the OTM option pair (the put) is trading. If the dividend is greater than the...

Not true at all. This strategy is not only alive and well, but the exchanges encourage this strategy by eliminating costs for "dividend" strategies. It's an easy way for an exchange to pad its volume stats. Susquehanna is the master at this type of tiny-fraction-of-a-penny arb trading, and...

It seems like your biggest worry is the relative theta and delta risks of the nearer vs longer term ITM calls. Why don't you just sell the put while buying the call--eliminate the decay and normalize the delta of your (now) synthetic position to 100? Your biggest problem here will be...

This is very simple. When the dividend is worth more than the value of the OTM put AND your costs to exercise, then you exercise your call early. Since the ITM call will be close to 100 delta option anyways, exercising the call early will not result in any immediate risks that weren't already...

Options market makers tend to use a model that is more so a trading days model, whereas the VIX formula is based on a calendar days IV calculation based on the SPX options strip. I can promise you, there is no way to lock in the vix index price change you are watching from Friday to Monday...

The SPX is the last bastion of open outcry at the CBOE. The SPX is the only pit at the CBOE that still uses the old school method of disseminating only one MM company's quotes at any given time. There are about 5 different firms that rotate cycles to drive the wide screen markets. It's a...

You do realize this is the same as selling a put, right? The difference is that you will be charged significantly more in capital and interest charges--not to mention paying a wider, less liquid bid/ask spread-- to hold futures (or especially stock) against an itm call option, rather than just...

" -------------------------------------------------------------------------------- Quote from chrismontez: I started trading options on the VIX when they first came out. I noticed that the near month calls were selling for more than the far month calls. I thought I had found a sure thing...

Delta is not an exact science by any means. In practice, delta is nothing more than a hedge ratio. Every trader and large trading firm in the world uses delta--even the ones that dont trade options. All of them have a need to hedge illiquid risk. By definition, a delta calculation is required...

Please show me where he has said anything brilliant. He's been pushing his Mandlebrotian market ideas for ever, His entire premise is based debunking Gaussian distributions--which presents in his book as some sort of revelation. In reality, the financial world has been aware of the limitations...

I read Mandlebrot's book, "The (Mis)Behaviour of the markets." In my honest opinion, the book had no new information, no interesting perspective to communicate, and obviously had absolutely no useful tools or ideas for risk management. All he did was list a bunch of tired, 25 year old criticism...

The devil is in the details. Stoic, you do not explain what option price and underlying price you are sampling. Is it the mark value, volume weighted average price, last price traded, bid, offer, midpoint...etc? Regardless of your sample set, there would need to be some smoothing function...

These are excellent points. We are finally having an actual discussion in this thread. I think the exchanges should strictly limit the order to fill ratios of non-market-makers, and more liberally limit the non BBO/NBBO quote price changes allowed to market-maker companies. Besides...