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OK, I get the negative expectancy due to slippage and commissions. But what about diagonalized positions where you're selling volatility (sell near month high IV and buy lower IV of further month)? Isn't it possible for such animals to have positive expectancy? :confused:

It's a long call time spread aka a horizontal spread. The margin requirment is the cost of the spread which is also the maximum loss.

If $3.80 is greater than the premium received from the sale of the May 38 straddle, the only way that the entire position could generate that gain would be a perfect May expiration at the 38 strike and a big bump in June IV and that's sooooo very not likely.

FWIW, had you rolled the calls down yesterday as I suggested, with today's bounce you would have recovered more on today's early bounce. Adjustments are the dynamic part of managing a position.

1) I'm confused. The title is "Transferring wealth into a tax deferred account" but now you want to move capital into the taxed account? Typo? It's not about looking for a tax deduction but that a tax deduction results from moving capital into a deferred account. Whether futures are...

Sorry but you have it wrong. The maxium loss for the position is the difference in strikes less the premium received. If I read your chart right, that's $3.44 and it occurs when all options go to parity which is probably 10+ pts away from the 38 straddle sold. The reason for this is that...

The maxiumum gain for the position will be nowhere near $3.80 since you have 2 June legs decaying for nearly 3 weeks. Assuming no IV bump helping the June's, you might get almost $3 but that's only with a perfect close at the short straddle's strike - a very unlikely event. Tho probably...

If this was allowed, possible problems would include deferring loss to a less beneficial year and losing the carry forward deferral if you die before selling the replacement stock. But it's not kosher. It's a wash sale violation and the IRS has ruled that if you or a related person do it...

Tho it's not the kind of position that I would have taken in a clearly directional market, if I had this beast I'd be looking at adjusting the profitable wings, particularly if you had any directional bias. If down, consider just the 38c and I'd start looking at the long put if price broke...

You might want to rethink that one :)

That's when you sell straddles. When it'moving like crazy you want to be long.

You might consider a short strangle as the core so that you have some buffer.

Naked straddle(s) is not a good idea for rudimentary option knowledge. You need more than that as well as disciplined money management. Selling the near month straddle is desireable for capturing the higher rate of time decay but you'll be happier with higher premium from a further month...

Model it correctly and you'll get your special some one to fawn over you :D

I think profit goals are arbitrary and meaningless. You take everything you can book, ride the winners, cut the losers. Some years you'll do fantabulously well ('08-'09). Others will be far lower. The results will have nothing to do with target numbers.

Sell the ITM call. If you've got a big enough gain on it and you're still bullish on the UL, double up on the OTM call.

ICO received a buy out offer for $14.60 so unless someone else comes along at a higher price or the deal falls through, it's dead money. Look at the IV. They're pricing it as DOA

When Natenberg gives examples for being delta neutral, he refers to the number of futures contracts to buy/short and to the commodity's price. One futures contract has a delta of 1 (or 100 if you're dropping the decimals).

We're in agreement about this. Predicting volatility is one thing. Playing it is another. I'm primariliy an equity trader now but when the things I do are slow (the stocks, not me :) ), I look for option situations (usually EA's) where IV is greater than HV and there's a decent skew b/t the...

Yep, there are many gradations of P&L when you have multiple variables (price and IV change as well as time decay). My response was geared to the OP's statement of buying verticals when IV is low. If IV expands big time, sure, there's some gravy to be had. But most of the time, it doesn't...