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Really? OK, what about sellers of OTM call credit spreads? How did they do? Did they get creamed? No. They made money. You're an idiot. Like most idiots, you don't know you're an idiot. And if I were talking about iron condors, I would have used the words "iron condor". Gah.

Really? Sellers of slightly ITM call credit spreads got creamed?

So much retardation, so little time. The last Republican president who did anything was . . . Abraham Lincoln? Memory fails me. (And no, I'm not a Democrat, but I can at least recognize that Democrats and their supporters tend to be smarter than the average house pet. The same most certainly...

What is the status of your long call in this scenario?

I'm talking about expectancy. We seek positive expectancy in spread trades -- i.e., over the long haul we expect our trades to net out at a profit. The opposite of positive expectancy is negative expectancy. How would your method ever show a negative expectancy? In the equation I provided...

Expectancy would be probability of short strike expiring ITM X max profit minus probability of long strike expiring OTM X max loss (with a correction for expiring in between short and long strike)

But my point is that some spreads MUST have negative expectancy. Your method doesn't allow that, as I understand it.

Yes, my short leg is ITM as is (of course) the long leg. I was just trying to grok your estimation of payout. Can you explain in more detail? How would your calculation lead to a negative expectation in any scenario?

Yes. You have a unique ability to miss the point. Look at the fucking math.

Not a typo. Take the similar put spread available now: FXI @ $42.76 Jul15 $45.50 put B/A = $2.97/$3.10 Jul15 $46.00 put B/A = $3.35/$3.55 Best case: $0.25 (buy $3.35, sell $3.10) Worst case: $0.58 (buy $3.55, sell $2.97) I bet I could hit within a penny of the middle ($0.415). Not...

Maybe they didn't.

Well, I model it, although IV is an input that is hard to predict. So no, I don't accept delta as an approximation of probability. Not that it's all that far off, but I don't use it. How would your method ever predict a negative payout? $ difference is positive, delta difference is positive...

Quoted bid/ask on the spread I purchased was $0.25/$0.54, and I bought within seconds at $0.40, so I don't know what to tell you. I do not filter other than I try to find the best expectation with the short leg probability ITM > 80%. I am just not the kind of guy who can stomach losses well...

The "sleep at night" issue has nothing to do with P/L. It has to do with whether or not one is worried about an ITM short leg getting exercised and the corresponding ramifications. Do your own homework on that one. As far as your examples are concerned, congratulations, you showed that debit...

I prefer TSI (True Strength). It is a nice combination of leading and lagging functions.

Sure, I might have the shares called away, but my broker will exercise the long leg to cover in that event. I pay attention to (scheduled) dividends, regardless. Doesn't mean a surprise won't occur, but it's rare. In my world, I am much more comfortable with the fact that the short leg can...

OK, fair enough. Now tell me why you make wholly inaccurate statements to try to defend your positions. All you do is inject noise into the argument.

Hey, look! You ignored everything else! Predictable. And no, those exact expirys would be stated as JulWk2, Jul15, JulWk4, and JulWk5. Learn the language.

That I can agree with. Yep. I do it every time. I almost always end up with the debit spread. A penny either way makes a difference on expectation (which might beg the question "how accurate is that calculation, anyway?" and I wouldn't argue). Eh, what? With an ITM debit spread, the long...

I told you the expiry. "Jul15". The July 2015 options. 3rd week of July. You're the idiot who thinks that "Jul10" means "10th of July". Negative. It means "3rd week of July, 2010". Use "JulWk2" or some variant to communicate to the rest of the world what the hell you're talking about...