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LMAO. Yeah, I have that on the brain most of the time, and it finds a way to make it subliminally into my posts :) BTW, hope your short dispersion portfolio is surviving the small correction we've been having of late.

Sure thing boss. Gotta love those Euro style XEO weeklies.

Verticals on the brain Phil:D Was the OP refering to b/a spread? To re-iterate and elaborate on Riskarb, mainly for my own benefit, the basic theory is that b/a spread widens as a reflection of the delta risk assumed by the market maker taking the opposite side of your trade. The...

A, I agree! For the same probability in terms of moneyness, you will pay more (receive less credit) on the call side. Combination of lognormal probability models and IV skew makes for a double whammy - though one might be a reflection of the other.

Boxing is the same as closing (offsetting) the spread. You lock in any profit or loss on the spread you had. There is no benefit to it outside of negligible fill issues - and is normally more benefiial done the otherway around e.g. you had an ITM debit spread that you wanted to close...but...

LMAO. Didn't mean to spawn twenty posts on SET...but perhaps a good thing. No surprises! Risk/reward between butterfly and IC If one were to compare iron varieties e.g. iron butterfly with iron condor, it would probably be easiest. They are both easily dissected (in the context of this...

Yes, could well be a nice buying opportunity here and we bounce. Who knows? I believe wild swings of this nature are to be expected in the coming weeks. That's just me talking out of my ass. However, all I really know is that SET knoweth not of support and resistance LOL. She can reach up or...

5 looong days to go...anything is possible with SET LOL. Not for me that trade. Good luck!

Thanks. Ask and ye shall receive. All better now :)

Cache, Can you do me a favor? Given that this thread has prospects of longevity, would you be so kind as to ask the administrators to alter the thread title by changing the spelling of Aggresive to Aggressive? I get a little "Monk" style tick/wince every time I see it. I try my best to...

Re-straddling is something I looked at in backtesting but got worse PnL for the period I tested with...but probably need to go through again with more accurate numbers.

OK big brain, I have a question for you: if you were running a long dispersion portfolio, would you negative gamma scalp the index straddle? OR, in general, if you accumulate too many deltas on the index straddle what is best practice in the land of Riskarb? Also, if you get a dispersion...

Congrats. Are you straddling/strangling or just playing puts? What criteria are you choosing for your basket? I can't justify the short dispersion to myself. Isn't index put skew working against you on this strategy? Or is it arbed away.

True. Infact, net debit on the long dispersion is small in the first place so no need to mitigate decay on the component straddles.

I would say yes! In a long dispersion portfolio, your basket should be a selection of stocks that have the highest probability to disperse i.e. end up having a stat vol > implied. Therefore, they make good candidates to gamma scalp going by recommendations in this thread if you can deal with...

Bad luck Nick - that's the way the cookie crumbles. Just get another cookie from Maverick. You'll have to answer a question though. I recently found out he is in fact the cookie monster:

>30% YTD not to be sneezed at! I'll be checking in next week after expiration to see the results.

Good luck, I'm sure you will get some useful insight from more experienced members here on ET to help you along your way. MoMoney.

I completely agree. You shouldn't get filled on the further OTM spread at the same price as the closer spread - but if you are being filled on a 10-pointer for twice that which you are being filled on 5-pointer as per Rally - that is precisely what is happening. The logical explanation as...

Well put. A 10 point spread that is worth twice as much as a 5 point spread implies the other embedded 5-point spread is exactly the same price as the first one and therefore the butterfly is free. That further implies the original 5-point spread is either worth more than quoted or the...