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Counter trend position on an underlying that just keeps trending. All dips are being bought. What can you do? Win some. Lose some.

When I saw the title of the thread I was convinced it was started by the one-man Market Delta + Market Profile evangelist 5Pillars..... ...but it has been started by someone else :D Look forward to the discussions on this topic that ensue. MoMoney

Must be taxing to have to scroll all the way down past Politics and Religion to reach those critical forums: Hook Up, Announcements and Feedback.

Murray, nevermind. I had a look at the presentation from the link provided by Damon. I see the PUTs and CALLs were different tenors. Excellent presentation. MoMoney.

Are you talking about collars here (matching tenor on the CALLs and PUTs) i.e. synthetic bull verticals: limited risk/limited reward? I'm missing the connection with haircut :confused: If you don't want to deal with the e-mailing you can always upload your presentation to a file hoster...

Excellent point.

Agree, it is possible for the advanced (technologically) retail trader. I believe Metooxx who used to post regularly on this forum did/does some form of automated options arbitrage.

Bitstream, has anyone ever confirmed that NickBarings is actually Nick Leeson? One of his first posts on ET was: " I have learned my lesson ; " Never add to a loser" I am happy I found this board, I already learned a lot."...

Sitting on bids and asks in the same series is a privilege reserved for market makers. Spoofing is also against the rules. So, presumably you were doing so on different series?

Received follow up e-mail. I had invited him to review this thread and comment on trading style etc. It was obviously a long shot. The polite response was: Thanks a lot for the email. My policy is not to follow the sites about my ideas, not to read, and not to respond. The only things...

Auto-responder says he's currently busy with book till September 2nd (past)...so probably running behind schedule LOL.

No idea. Might e-mail him if he still responds to gamma@fbr.com.

Yeah okay, forget I said pseudo-dispersion. There is no correlation or stat arb facet to what I understand Taleb's strategy to be. Then again, I'm just making this stuff up.

All that follows is pure speculation and not based on any knowledge of Taleb's operations or strategy: I'm not convinced he waits for the large sigma moves to take profits, though that is when he'd make a killing naturally. Much smaller moves could be capitalized upon on a regular basis...

Erm, not since FOMC and locked in some profits shortly after IIRC.

Doh! Perhaps 1 more contract would have done it LOL. Good short now. See what the 3 O'Clock bots have to say about it.

If by DD you mean double diagonal then I believe this suggestion has been proffered before. One way of looking at it is: a diagonal is a credit spread, hedged by a calendar. You could certainly look at hedging credit spreads with a smaller number of calendars. MoMoney.

I'm going long and taking out the gazillion stops at 1348. It might take 2 or perhaps 3 ES contracts to achieve this since everyone and his dog is short. As riskarb would say: feel the power! :D

Writing short term CALLs on DITM LEAPS is similar to the traditional covered CALL (naked PUT) strategy that everyone knows well. Writing short term CALLs on long OTM LEAPS is a different variety of diagonal. You can think of it as a long calendar + a short vertical. The credit from the...

Long Jan 08 100 CALLS: $6.60 Long Jan 08 100 PUTS: $2.30 Knowing when to admit you're wrong: Priceless. There are some things money can't buy. For everything else there's Mastercard. (Sorry, I couldn't resist :D)