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Indeed we do...sorry mate!:) I should've checked the forum you posted in.

Variance futures are not the same as the ES (i.e. e-mini S&P 500)!

Sure there are, but that doesn't mean I can see it. In other words, if I see an opportunity then I'll trade it, and if I don't see it then I won't trade it. Maybe opportunity is not the right word, but the point is that the margin requirement shouldn't be high on the list of things to...

I find it amazing that you look at the margin requirement to decide whether you should trade it or not. I mean, this would be the last (well, ok not exactly the last) thing I would look at. The more important thing for me is whether there's an opportunity in a particular instrument or not, but...

Trading what? Stocks, futures, options, spot fx, all of the above? Which markets specifically?

The two are closely related, wouldn't you say!? So let's put it this way. Scalping has a very small profit target. So if you are to make any reasonable money you need to have a high frequency of trading, otherwise it doesn't make any sense, or does it!?

"High frequency scalping" :D Scalping is high frequency trading by definition. It's like saying "ice skating on ice".:D

I may adjust occasionally, however, I'm not a big fan of adjusting losing trades so it is a "set and forget" type of system. I'm not looking for any particular delta, my approach is based on estimating future volatility and then selling 1 st. dev. away from the current spot price.

As I said, if you are looking at the quotes then the reason is the change in volatility. Also, you have to account for the bid-ask spread and option's delta.

I didn't say you cannot develop a succesful strategy based on selling or buying, it's just that taken at face value, selling options has no edge over buying them. In other words, selling options blindly won't work in the long run, because of efficient pricing.

Assuming you are looking at bid-ask quotes and not last trade price, then most likely it is the change in volatility. If, on the other hand, you are looking at the last trade price, then you shouldn't do that cause you don't know when the last trade was.

And if he's not then there's always next time!:D

On the discretionary side, I don't limit myself to a particular strategy, I trade the one that suits best my particular outlook. On the systematic side, I have a system that trades iron condors on a monthly basis.

Just to add to what others have already said. The reason there's no edge in buying vs selling is that options are priced very efficiently these days, so you cannot beat the market by just selling options (or buying them, for that matter).

There's no edge in selling options vs buying them. It is very easy to achieve risk free return, just buy t-bills!

Options are not designed for daytrading due to lower liquidity and higher slippage, so overall it would cost you more.

From CBOE: The exercise settlement value, XSR, is calculated using the opening sales price in the primary market of each component security on the last business day (usually a Friday) before the expiration date. The exercise-settlement amount is equal to the difference between the...

I didn't say it was a good set up, just that it is similar to a dispersion trade. Also, a dispersion trades the components against the index not SPX against SPY or OEX.

I'll shave off even more than hrokling! Looks like we got competing market makers here!:D

I'm pointing towards the fact that a weekly option on SPX will have 7 days to expiry when it's listed, the next day it will have 6 days, then 5 and so on. So again, I don't see why your system would work only with exactly 7-day options. After all, the difference in greeks is not that great!