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Either you're not understanding me or I'm not understanding you. I agree, terminology is important, hence the reason for me being 100% consistent with everyone else on this thread and with the terminology used by Market Delta. I'm aware that aggressive is applied to market orders and that...

Simplistically: if the last trade is at the ASK price then a buyer has crossed the spread and is deemed to be aggressive. If the last trade is at the BID price then a seller has crossed the spread and hit the bid and deemed to be aggressive. The footprint is just the categorization of...

Erm, are the extra legs functional? Do they move etc.? Does the chicken have any control over them?

There are some pseudo-footprint implementations for Tradestation and others floating around e.g. Amibroker (I could be making that up) Alternatively, you can leverage the MBTrading API to implement your own but I'm sure that's not what you want to do! You can get (virtually) free market...

Yeah, I've been venting my frustration ad nauseum over at www.rottentomatoes.com I preferred the original: Infernal Affairs. If you haven't seen that then I have now suitably lowered your expectations of The Departed and you are sure to love it even more like 98% of everyone else. Last OT...

With your big brain, can't you invent a Matrix style knowledge transfer mechanism thingy? NEO: Can you fly that thing? TRINITY: Not yet.

The best? So, about 2 pages long then LOL. I obviously meant reversion rather than regression. WTF? :confused: Front month credit spreads do not have a lot of VEGA and the main risk is obviously GAMMA but the point I was trying to make is still valid I believe. That's a good question...

In defence of FullyArticulate, not that he can't defend himself, he did qualify the strategy in his original post: "Do this on a day when earnings are expected after market close which could really move the markets." I'm not sure he was suggesting this was a sure-thing strategy that could...

OK. Once was funny. Like the name of some new home gym equipment. The second time demands a spell check! :D Yes, I'm bored. Yes, this is way off topic. Yes, I make spelling mistakes all of the time. Bite me.

I think the reference to an OEX future was just meant to illustrate the concept. OEX and XEO options are largely priced based on the movement of the SP/ES futures (with an appropriate adjustment) as it is easier to hedge with them rather than buy/sell the 100 component basket...but I'm sure you...

distro = distribution e.g. Normal/Gaussian distribution.

Which bits in particular: There are some abbreviations: Vol or Vols = Volatility/Implied Volatility Corr = Correlation Vol-swap = Volatility swap There are some common financial/quant/trading terms: Term Structure, specifically in this example the Volatility Term Structure...

Under the right circumstances e.g. http://www.elitetrader.com/vb/showthread.php?s=&postid=1028813#post1028813 It's called thetamma.

No, Mav's still using the old schmamma technique. I use decamma. Performs much better than schmamma under 26 sigmas. MoMoney.

Long stock = long CALL + short PUT It doesn't matter which strike. If you buy a CALL and sell a PUT at any strike, the position should behave like long stock i.e. stock at 73 is irrelevant. Turn your 2 x stock into: 2 x long CALLs + 2 x short PUTs (you can decide the strike later...

Wow that's expensive! I wonder if it's possible to negotiate better rates with them or see if they have alternative commission schedules? I can't remember it being discussed on ET before or even suggested, at least not recently. :D

Perhaps, or perhaps people weren't convinced by the last rally. You'll notice VIX has made higher lows on each rally.

In reference to volatility and decay, you could think about it this way: you have the exact same number of long and short options in the collar vs. the vertical and at the same strikes.

If the two positions are synthetically equivalent then applying identical trades to both positions will result in two further synthetically equivalent positions. Rolling up the PUT in a collar is selling out the existing PUT and buying a higher strike PUT as you stated: these two trades...

http://www.elitetrader.com/vb/showthread.php?threadid=78187