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Let's see if I have this right. If the OP is holding his option until expiration, he should be concerned that delta is highly sensitive to the implied vol, especially for very wingy options? Whoooaaa-kay :)

If you're short, IV may affect your margin but as heech suggested, its variations are fairly irrelevant if you're holding to exp.

Buying or selling to close is just cleaning up a position that you previously took, for whatever the reason. Buying to open achieves a stock-like position. The more ITM, the higher the delta and the closer its performance resembles the stock to the upside... but the maximum risk is less to...

What is a pure IC with some dynamic adjustment? I have a problem with dogma like "a strategy is a complete loser in the long run." Option strategies involve some degree of timing and direction. You have to adapt to current circumstances. When the market was collapsing in '08 and coming...

The objective of gamma scalping to to earn more from the scalping than you lose in time decay. As long as the underlying gyrates (repetitive reversions), you book gains. If the underlying does nothing, time decay gets you. If the underlying goes directional, you keep adding underlying...

As donnap suggested, it's the data that's erratic. If you look at the respective bid and ask of the options in real time, the synthetic will tend to track the underlying fairly well. Looking at either delayed or closing quotes is a waste of time for accuracy.

Calling the numbers I posted analysis would be an insult :) The only purpose of posting them was to refute the claim by many who post that max pain causes stocks to gravitate to the strike that causes the most pain. If that were the case, at expiration, one would expect to see a clustering...

Now you're talking about selling a naked put. It's two different positions and your P&L on the bullish spread were wrong. In your 2nd post on page one, you described buying a bullish call spread, eg. --> selling a higher call (maybe 10% above the current price). When you close the spread...

It's obvious from your lack of spelling errors that you are inexperienced trader. Experienced traders are always in a rush and have no time to waste on a spell chucker. :D :eek: :D

3 of 25 one time is a finite sample and means nothing. Conveniently, yesterday was expiration. I dusted off some of my very old macros and exported closing prices from my database. Breaking them into $1, 2.50, $5 and $10 strike groups would be a Herculean task and I have better...

No. Buy 100c @ 5.00 and sell 110c @ 2.50 = -2.50 FDX rises 10.00 Sell 100c @ 11.00 and buy 110c @ 5.00 = +6.00 Net gain is 3.50 not 8.50 For a pre expiry move of that magnitude, selling the OTM call is a drag on the position. In return for reducing your risk, it reduces your...

1) I have no clue what happens north of the border with Canuck stocks. 2) As for Murican stocks, in the days before $1 price increments when strikes were $2,50, $5, and $10 apart, I used to cull expiration prices on optionable stocks from my database and occasionally posted the results...

Some time back someone posted a link to a study that indicated that the effect of max pain at expiration was something like 15+ cents. My 15 cents is that market and sector direction as well as individual stock news are more likely to get you further than guessing which stocks might move that...

If you look each month at the distribution of expiration prices of nearly 3,000 optionable stocks, they lie fairly evenly distributed across the price spectrum. They don't cluster near strikes. Many have passed thru these and other boards claiming its feasiblility and existence. Lotta talk...

It's a question of time, price and IV... and fear vs greed. By 4 PM Dec. exp: With a big move, Dec does better (more gain) With a small move, Jan does better (less loss) After Dec. exp: Jan has a chance of doing better :) And then there's the possibility of selling expensive...

If the OP provided clear data and his calculations, the discrepancies could be determined. But he doesn't. So it becomes tangential speculation. It's usually best to contact the provider to determine their MO. For example, in their option chains, OptionXpress uses an average of the B/A to...

This has been a very frustrating, modest profit year and I think that feeling is compunded by the fact that the 2 previous years were a trader's dream. I too am exploring other strategies that I used in the past because what worked for me for 2 years has gone flat. Sometimes I find myself...

I'm in a similar boat - not yet 60, retired, risk averse and paying the bills from trading. For most of 12/07 to 7/09 I was trading high frequency (retail not HFT), often putting in 12-14 hour days. I had two stellar years, the likes of which I hope to see again in my lifetime... but I was so...

1) You close the position when it's most profitable :) 2) Since you sold the vertical, the buyer of your short put controls exercise. Exercising your long put will only come into play if you've been whacked by a drop in the underlying below its strike. The simple answer is that you close...