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Riskarb & Mav, Thanks for the clarification.

riskarb, I agree with you but am not clear on the term "convergence-risk"

Mav, Would you agree that because we're using front month options (t <= 30 days) where vega and gamma are low especially for ITM and OTM strikes IV movement (up or down) will have minimal impact on the position? The concern would be the effect of theta decay.

Learning to apply the greeks will take time and effort. The best books for defining the interrelationships are by Natenberg and Hull. Baird is a good in showing how they apply to various trading strategies. Howevever, none are easy weekend reads. I suggest you also read Maverick74's thread...

Yep, I was thinking of the VIP solution myself. This is where the servers/desktop machines are clustered (put into a group), given individual address but speak to the outside world through a Virtual IP address (VIP) that masks their real addresses. In the more sophisticated setting the load...

Without a doubt Baird is the book that truly explains the application of the greeks to trading strategies. McMillan and Natenberg defined the parameters but not how to use them to really understand the behavior of a position or possible adjustments. It's only after reading Baird that I...