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Ha! I don't have a public journal but if I do, the working title is still "Disaster Trading Inc." I don't want to pollute others' journals with my trades so unless I start my own that is the way I'd like to keep it. This doesn't preclude me polluting others' journals with my ramblings though...

LOL I probably didn't construct my description very clearly. Adjusting the short strike is entails buying a vertical - whether that is done in two separate trades or in one. My point was it might help to visualize the position as "taking off a vertical from the table" rather than "adjusting...

Not coach either! You are right to consider it illogical to be nervous about adjusting a 1375/1405 spread vs. having two seperate spreads: 1375/1390 and 1390/1405. They are both the same. As for point 2) Adjusting just the short leg is the same as buying back a vertical e.g. on your...

Something about markets remaining irrational longer than traders can remain liquid comes to mind... Welcome to the thread A.

Probably not much use right now but in theory www.opentick.com support both level 1 and level 2 historical tick data for options...getting it to work is another matter LOL. They are having teething problems on the historical data front. You get what you pay for. MoMoney.

That makes sense. I misinterpreted in my head.

Yeah, if I was a less honest man I would have deleted my post and saved myself the shame :( Want that radio! LOL.

Agree, on the academic nature of continuous replication - though I would have thought "chunk size" had a non-insignificant impact on replication. ....but I'll take your PhD over my ninth grade math any day LOL

IV impact on PnL. [EDIT: Seen the error of my ways LOL]

LOL. Have no idea what I meant either. Essentially, if one were to hedge continuously a la Black Scholes then theoretical PnL would be zero OR if implied vols were below statistical vols then the realization/crystalization of that would be reflected in a positive PnL. However, continuous...

Surely model frequency impacts on the replication error as per Ursa. In this instance you want a positive replication error > execution costs in addition to crystalizing the stat/implied differential. What am I missing?

Breaking News: Maverick's true identity is revealed as the Cookie Monster

Good points. More of an issue with short gamma scalping though even with the long gamma scalp, haircut treatment on the long straddle would be preferable etc. RE: futures options, indeed is much better. Retail Joe has access to SPAN too. Therein lies the rub. The strategy requires skill...

The options chain is what you see when you go to the trade page. Enter a symbol and expand the month you are after. The list of options you see is the options chain. MoMoney.

I think even IB commissions are too high to make this worthwhile in general for Joe Retail. In addition, Reg-T is very limiting. If you're at a JBO and have sub 50c/contract commissions with market maker haircut - might be worth looking at as a more routine strategy. To answer your...

Just enter the OPRA code for the option as the chart symbol or from the options chain, right-click->TOS charts-> etc. MoMoney.

Are you adding to those SPY puts from last week?

LMAO. Wonder who it could be. Someone has too much time on their hands :D

Alas, channels are in the eye of the beholder. Behold, random channel generation for your entertainment :D

LOL. Despite your disclaimers - you are still bound to get the odd unhelpful comment! Ratioing the number of contracts on each leg would be done for specific reasons e.g. to be delta-neutral or to fit a specific volatility/direction forecast. If both legs were placed simultaneously as a...