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1. Delta hedging is the first response, but if the market maker can complete a reversal then he/she will do so immediately. 2. If who buys the calls? The market maker!? What makes you say it doesn't show up in the volume figures? Volume is the number of contracts traded, each contract has a...

The model that you use doesn't really make a whole lot of difference when you don't know what inputs to use, namely VOLATILITY. GARBAGE IN, GARBAGE OUT.

The fair value of an option is the mid point. In option pricing the biggest smudge factor is the volatility so if you're looking for the EXACT, TRUE, 100% FAIR value then forget about it, it doesn't exist.

As it has been mentioned above, Theta is non-linear, so you can't just multiply theta by # of days. If the stock is at the short strike in the last week the time decay is massive.

Hard to borrow stock!?

My guess would be incompetent broker, or maybe it was a cash account or something similar. I guess you'll have to ask your broker for a reason if you still experience this problem.

Can you be more specific about your position? Was a long stock and a long put or was it something else?

No, as long as there's time value (more than $0.25 as a rule of thumb) in the option the probability of it being assigned is fairly low. A butterfly makes all its money in the last week so it is a trade off between more profit and higher gamma. Ideally, you want to hold it for as long as...

Can't wait to have options on these. Double whammy!:D

You cannot exercise a stock, only an option can be exercised! Clarify your question!

OK, but not as much.

You're right, time decay is a big hurdle and if you go further out in time to mitigate time decay then the problem is that the volatility of the back months doesn't rise as much, sometimes not at all, going into earnings so you won't be able to caputre that spike. It is the front month options...

I agree, the likelihood of Q's moving 5% either way is next to zero, unless the fed does something "crazy".

NO, I mean, you can't have all writers, there's an equal amount of writers and buyers - each contract has two sides!

Some do and some don't.

You can't have all uncovered writers. Each contract has a buyer and a seller.

Anyway you put it, it still sounds like a software problem.

A straddle/strangle is basically a bet that the realized volatility will be greater than implied, or, in other words, that the market has mispriced the straddle/strangle.

OK, it's not the friendliest website on earth, but there are tons of good info here.

No, the call is usually more than the cost of carry because of time value, but when time value gets to virtually zero then you can get cost of carry to be more than the call.