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Sorry, yes what? There was a bunch of questions and only one of them was a yes/no :)

If you would have said "systematize" I'd wholeheartedly agree. You really gain nothing by automating everything, you just become a slave to your coding and the process maintenance instead. Lots of people with an IT background fall into this trap. If automation gains you an edge, sure, go ahead...

I don't think that's true. Retail traders have a whole collection of qualitative edges that are not accessible to the institutional traders/PMs (e.g. myself). The structural advantages of being in retail probably deserve a separate thread, but the main obstacle retail traders are facing is lack...

Completely off topic, but I have not seen VXX borrow rate above 1.5% since 2011 - if there is juice in the borrow rate, you can arb it via VIX futures. It's a pain (since you are rolling it daily ) but at some rate it makes sense. On topic, I think the OP is carrying a bit too much risk for...

While we on the subject, why not just short VXX? He'd get all the benefits without the negative drift of a leveraged ETF.

Well, I got nothing to sell, sorry :) I'll take a beer if you are even in the NYC, but otherwise my 2 basis points are free The second question is an important and interesting one and goes beyond option trading. Some years ago, one of my junior traders made a comment that "existence of...

No. Arbitrage is a relationship that is easy to lock in and collapse. It is rare and between stuff like violations of put/call parity and yes, it will be very quickly captured by electronica market makers. Instead, this is about the market price of risk. Implied volatility (which dictates the...

Don't be so sure. There are a few fund PMs out there that make a living selling event risk, biotech included. While you do get carried out sometimes, most of the time you do all right - if you diversify in both temporal and asset dimensions, you certainly can do OK over time.

These days short borrow fees on leveraged ETFs are so high that they are pretty much fully offset your volatility gains.

Right. You probably get better cost of funding and short rebates as a part of DITM option.

Maybe I am being stupid here, but assuming the calls being delta-1, for the same amount of dollar exposure you will have the same P&L as a margin or cash position. Your only P&L discrepancies will be from funding/rebates/TC.

Exactly. This is actually a better measure of probability at expiry then delta and is just as easy to calculate. That's how one would price a European digital bet and it gives a true representation of the markets view on probability (obviously, including the skew and kurtosis).

Actually, your best bet for probability calculations is to take two neighboring strikes as a spread (e.g. put spread) and divide it by the strike difference. That includes the skew adjustment. Using deltas as probabilities is reasonable as long as your tolerance is high enough - e.g. I'd not...

Simple asnwers are above. A deeper answer is that there is no clear-cut answer to this. The "fair price" for the option (the way CyJackX is defining it) is just an interpolated value with other option prices. There have been cases when calls gotten richer even though underlying gone down...

How is this different from any other "non-tangible producers"? There are people making 8 figures writing books or singing, is that wrong too?

You said you were vega flat, so I assumed you had a ratio calendar on: RTVega-neutral calendar in the index space is a complex bet. It assumes that you see value in term structure (i.e. fwd vol is cheap) and you see negative expectation in owning convexity (that is, gamma is rich). In that...

Since you are a rocket scientist, apparently, let me chime it too. A. Unless you are trading Vega end of the cuve, holding short delta is not gonna cover the convexity losses. B. Being Vega flat in a calendar makes your short root-time vega, which is as much vol selling as it can get. C...

Yup, 'em Canadians... They are selling extreme-tenor (10 years) overpriced vega and, coincidentally, also riding the delta (some sales were puts, some were longer-dated strangles, which are long-delta also). Statistically, it's a really good strategy if you have the components necessary to...

If it's anything like what HOOP was doing years ago, it's pretty sophisticated and it's mainly leveraging the insider knowledge of the insurance (specifically VA) vega flow. They were selling 10y strangles at implied vol ranging between ridiculous (lets say 25 vol) and ludicrous (30 vol). PS...

"Bulls Make Money, Bears Make Money, Pigs Get Slaughtered"