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Oh boy, I don't know where to start :) Perhaps we have different interpretations of: "the biggest % return" It appears that you consider deltas (the bigger the better) and static risk profile to be the only things that count. You may be missing the dynamic nature of options (prior to...

I agree the question is lacking some information that could have a bearing on the answer. Other than that, I really have no idea what you are talking about LOL. The OP's request was: "I'm looking for the biggest % return" Butterflies? Verticals? Beta against futures contract? DITM call...

Are you missing the leverage aspect from your deductions? If the OP wanted delta of 1, he/she could go long stock vs. synthetic or DITM call. Brain is mush so apologies for lack of coherence.

I was thinking about this for you but couldn't come up with anything. The APIs I know of don't supply OI data but I'm sure there are others besides ESignal that do - most likely will have to pay similar fees though. Given OI is updated daily, you can always manually download from Yahoo.com...

FYI, Mickey mouse exotics trading for the not so well endowed retail trader or for fun: www.betonmarkets.com www.clickoptions.com Country of residence permitting. Edge loss can be v.large! I'm sure there are others out there. Oh, FX exotics at various places e.g. www.oanda.com I...

Thanks Riskarb, OK. Do you normally model in some skew when you're pricing say by taking cues from the skew in vanilla? Yes, not good. Forget round-trips. Seems par for the course as far as single listed CBOE products go.... Hehe. Still, the main benefit I saw with...

Yeah, nice choice. Way to make options cool LOL. Do you get to push buttons with audio clips of JA saying naughty things intermittently? That would spice it up some.

LMAO. Just been listening for first time. Too weird putting a voice to the name. I'm seeing Phil in a whole new light LOL. It's all good :D

Try this link

Hey Riskarb, A few questions/clarifications to bring myself and perhaps others up to date: What are you using to price these exotics? Are you still using the UNIVDRV add-in from MBRM? How does it compare with the trinomial pricing on Hoadley.net? Are you still trading the exotics...

Thanks, Arb. Tax is a murky world indeed! Much conflicting information around. This article suggests that both SPY and SPX get 60/40: http://www.tradersaccounting.com/a_quest14.asp Resident tax experts feel free to disabuse.

Thanks. As you mentioned, if doing small ROM (FOTM credit spreads for example), commissions can be a very large factor: http://www.elitetrader.com/vb/showthread.php?s=&postid=939138#post939138 Essentially, your broker could end up making more money than you without any of the risk.

Differences (interpreted as pros/cons depending on your perspective): Settlement - SPY: Stock, SPX: Cash. Settlement Time - SPY: PM (Closing price of Stock), SPX: AM Settlement via SET. Exercise - SPY: American, SPX: European. Last trading day - SPY: Friday, SPX: Thursday. Listing -...

Hope you didn't get whipsawed too badly if you went short at that level. Now down -0.75.....make that up +0.25. Yikes! Exciting day ahead :)

If you're genuinely interested in trading weeklies, the best education is to try trading them to find out your own ideas. It's perhaps stating the obvious, but following someone else's style presumes you share similar objectives, risk appetite and even personality. There's no barrier to...

You mean there's more than one way to do it? Doh!

Excellent, another outlet for my verbal diarrhea and a chance to learn a thing or two. Look forward to it.

Yeah, I've had some success with some 10-wide OEX iron flies and straddle/strangle swaps (time flies) but you have to pick your weeks. More success from a long cheap gamma directional basis. You're right b/a spreads on these products are very bad...

Well, you've summed it all up nicely - not much to add! Weeklies are virtually pure gamma. As such, good for cheap short term directional bets or hedging. IMO, better for playing from a gamma (long) perspective rather than a theta (short) perspective. Although the theta is appealing, spot...

The briefest most appropriate response I can think of: ROTFLOLPMP, TMTOWTDI, WCTYBTWHTKY, TANSTAAFL