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To hedge gamma you'd use other options. You can reduce it by selling a put vertical rather than a naked put.

10 doesn't have anything to do with this! An option can be exercised at any time, particularly when it is trading at parity. Look at it this way, if you sell the option in the market you'd have to sell at the bid of 9.4,which is under parity (this is an illiquid option on an illiquid stock...

The call is $9.6 ITM, and the current quote is 9.40 bid - 9.70 ask. It's trading at parity! What richness are you referring to!?

SPAN margin calculation is not a simple one. You can read more about it on CME.

IWM is an alternative to RUT, especially with penny b/a spreads.

Actually, the opening settlement is what saved my RUT IC!

Yes, mine!:D However, thanks to the Fed it wasn't as bad as I expected.

See here.

Why is correlation such a problem for you? You can find the theory on portfolio correlation on wiki You can also create a time series of portfolio returns rather than individual stocks, then you avoid the whole correlation thing, cause you already have portfolio data.

The markets never stop to amaze me, I make one prediction on ET and it blows up in my face!:D The Aug settlement prices are: SPX - 1,450.11 NDX - 1,876.33 RUT - 802.72 So that's 1 out of 3 (thanks to the Fed)! :D

Yes, that's right. This is a parametric method, which makes an assumption about the returns distribution, which is OK for linear instruments (i.e. stocks and futures), it doesn't work for non-linear instruments (i.e. options), however.

Correlation is an important factor in portfolio volatility/VaR. 99% VaR is 2.33 times the st.dev. of the portfolio.

Max loss probability is simply the probability of the option expiring OTM, i.e. the stock settling below 100 at expiry. Similarly, the probability of hitting breakeven - i.e. the probability of the stock expiring at or above 112.26. You have stock price, time to expiry and volatility, hence...

A higher strike call cannot be more expensive than the lower strike one. It's probably just a stale quote or something.

Yes, but RUT is 10 times the IWM so a 0.05 spread in IWM is equal to the 0.5 spread in RUT.

See here. There's a link to another thread in there as well.

I don't think it is, it's a requirement to open a margin account.

You cannot submit a fly roll as a single spread order so you'll either have to close out one fly and then open the other, or you may try to talk to OX about this.

UBS and the like, but you need a sizable account to trade those.

As I said above, you cannot net vega across expirations cause the term structure of volatility can have non-parallel shifts. You can net all the other greeks, though.