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Better off with a MA/ Breakout approach as you can backtest/WFA...

You do realize if they gun the stock after the close,you can sell stock and instruct your broker to exercise the call or choose not to exercise.. Auto exercise is not based on after hours close..You have to instruct the broker to exercise is an after hours run up.. You are worried about...

I buy short options back at expiry if they are within 1 percent(apx) of the stock price.. Imho,paying .01 is a no brainer

If you are Day trading,you obviously cant afford too much slippage,so thats a factor.... Are you looking for leverage and trading with tight stops?? What sort of move relative to ATR are you looking to capture? I have only backtested options on longer time frames. I cant backtest intraday...

Then its a much tougher question..It appears you are a backspreader(not an insult).. Backtesting(orats) would be the best approach

You are asking a loaded question.. Are you buying ONE 70 Delta call vs ONE 40 Delta call?? Or are you buying equal deltas,i.e. more of the .40 Delta call.. Or are you looking to spend the same dollar amount on the 40 Delta call as you would spend for the 70 Delta call...equal dollars...

WTF am I doing :)

Des speaks in a way I have never encountered.... Before reading Des posts,I often pray to the trading gods to give me the strength and brainpower to decipher what I am about to discover :)

I have been at this a long time, traded on derivatives desks and hedge funds,am pretty good at this game and have often found Dest posts next to impossible to decipher...Never heard anyone use his terminology.. With that said, there is some gold in his posts,and he's generous in sharing his...

On 3/8,it looks like he posted a P and L of 5,630,620 for the day..

Even if the stock is impossible to borrow,I believe you can sell stock and same day exercise. Haven't done it in a while,I think it's called short exempt.. If I am right,unless you are a complete numnuts,you would never sell a deep call at at a30 dollar discount to parity,especially in a short...

Ill PM you

Were you on the AMEX?? XMI??

Yeah,those were the good old days with Morgan Stanley executing huge buy programs on the bell with the futures tanking 2 bucks after.. Boxes would trade 2 bucks over,reversals the same,and there was always some schmuck selling the boxes based off carry..

Once you short stock against the ITM call,wide option bid offer is meaningless..In fact it works in your favor should you choose to offer out the same strike put on the offer..

If I trade direction,I trade with a stop.If I sell high vol,I Delta hedge from initiation.I don't let Delta get out of line to gamma.. If the short call I sold explodes in vol,then I would consider Delta hedging as a vol play.Its no longer a directional bet..I accept the loss and have a new...

Asusuming we are talking ITM,how would a market maker make money buying an option at a discount from parity and why would he exercise it immediately?? Let's not talk carry costs..

We have a winner:)

You not quite getting it....You sold an option to be short,because vol was high or both..It was a directional bet.You are dead wrong on direction,and now if the stock rallies in your face you want to start delta hedging?? FWIW,I was a trader of Equity derivatives at IB's,a market maker on the...

I am fundamentally against trading straight direction and option repair. Its wrong on many levels. When you say constantly buying 15 delta calls wont work over a large number occurences,you are really asking for 2 things 1) A well diversified portfolio of stocks to run a backtest on in...