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Synaptic, Best thing to do is examine how the PnL behaves for the position using a suitable position analysis tool of which there are many to choose from. When between the wing strikes, the fly is short vega and short gamma i.e. the fly wants the underlying to sit still in order to make...

You've had some bad luck with ES entries/exits yesterday/today! Whats the min risk/reward you go after on the no-touches? Assuming 1:1 is limit.

Just a price gap that needed to be filled...it has now been filled so we will see if we rally from here to close above 200SMA. Otherwise.....look out below! :D

Pesky gap at ES1248 needs to be dealt with.

Sounds like a good name for a movie: "Back to the futures" :D

http://www.investopedia.com/terms/o/otcoptions.asp No strength in this market A! All rallies being sold......

Ahh, cunning. Presumably that is an OTC vanilla straddle with matching tenor. [EDIT: What else can it be? LOL - but what are the prices like compared to listed equivalents? ] Vote we rename thread to: "Suck all knowledge from Riskarb till he dies"

I forget what the "greek" is for this 2nd order derivative: gamma of gamma? Any ideas? I read it somewhere... IIRC gamma of vega is sometimes called volga!

Does this mean you'll be exposed to pooled-risk with folks running other sub-accounts?

Retail can use ES options (amongst others) to mitigate some of the Reg-T woes.

Yeah, I think you'll both be OK by expiration if you can hold your nerve in the interim. We could throw time into the mix - but that doesn't require forecasting - it just happens...and in only one direction. Of course IV can be viewed as synthetic time. So best case scenario is to have...

I think you were spot on with your forecast of higher volatility in an earlier post - and todays price action seems to be a good reflection of that. Good for daytraders. With your several months of experience of attempting to leg into spreads for better than fair value, overall do you think...

SPX coming your way any day now LOL.

:D I can't think of a profession I would be less suited to. Just the other day I nearly bought a T-shirt that read: "Do I look like a f@#%ing people person?"

Hi Nick, hows your double diagonal going? Not quite as sideways as you'd have liked this week huh? Nice to see the journal is still ticking along. RE: gamma scalping - this really is best done in the last two weeks when kurtosis kicks in IMO so I would say the recommendation does not apply to...

It's possible to complete the reversal by going short underlying here once you have gained on the synthetic to lock it in - is this not worth it? Or does the convergence risk overwhelm the lock. Obviously it's not a true lock due to the split-strike synthetic. Your trade could become a big...

You mean straddle here not wings right?

Ha! Well since, Riskarb is charging for educating me, I'll just pass on the costs to you for translation services LOL. Have a good day all, I'm off. Aardvark, I'll get back to your questions tomorrow if OK. MoMoney.

You have to use your imagination when deciphering 'arb speak. Riskarb squeezes a lot of information into very few words = knowledge compression and high efficiency. A (long) fly is short body, long wings. A (long) time fly is short body (near month), long wings (back month) a.k.a...

Yeah, it's the one with the cunning title: "riskarb's trading journal" :) You are aware there are threads other than this one right? LOL :D (just ignore me!) [EDIT: I see, you could have just been confirming the name of the journal you found - still, I'll leave my post for comedy value]