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Thank you for your answer Joe I am particularly interested by spread trading the Vix futures CFE stipulated that initial margin is 50$ and maiantenance 40$ on spreads. Now I have been analysing those spreads since May and aspread can vary from 5pts to 20pts in one week, resulting on a...

does the margin required fluctuate on a time spread (i.e. variation margin) or is it insensitive to the underlying price movements.

just discussing, even the obvious might ensue on something more interesting

any good articles on the relationship between VIX and SPX. found a few. Any models out there trying to explain the relationship? I ran a simple linear regression which works relatively well (R^2 of 82%) when the spx move by more than .5% ( in absolute value, daily returns) but the regression is...

any good sources for Greeks on CBs? thank you

I ran a simulation and actually if you dont reshort you're theta exposed, and if it doesnt move you'll lose time value. Of course the furthest the expiration, the lesser the theta but also the lesser your gamma. In absolute value they move together. If you reshort as long as it doesnt come...

if i start with both bull and bear 2:1 ratio spreads - short positions striked ATM - and the underlying moves to either wing strike - is there any reason not to cash out the profitable short and reestablish it at the wing strike? if the underlying moves far enough, one of the shorts will go to...

I browsed the web on conv arb strategies. Quite an interesting and vast subject. I found that strategy: Convertible arbitrage is undertaken through establishing a short position in the stock that the bond can be converted into. This practice, known as delta hedging, consists of dividing...

thats exactly what I'd like to discuss. Given the high premium on the vix futures resulting from the vix low level. Isn't there a strategy taking advantage of those high premiums. i.e. short second month/long front month, but which requires hedging against a sharp vix move up ( spot move). That...

Damir you trade calendar spreads on the vix futures don't you? Short front month/ long second month ? risk with that position is a swing up of the vix. How would you hedge against that? one way would be to purchase OTM calls on the vix futures. Unfortunatly they dont exist yet. so one...

use them both. futures can sell at a premium (which means theta) options can be used to protect against drastic moves of the vix. thats why i'd like to exchange on that subject ( options)

Took a look at it. nice book, very general though I had more in mind discussions about the skew , iv structure and their effect son an assumed sound strategy. Thats more the type of discussions I wanted to have, not general discussions on general startegies which each have zillions of...

I have been developping strategies to take advantage of movements in the IV . The idea is to create a strategy which is solely exposed to vega. This thread was created to exchange and discuss about this family of strategies ( IV play). The idea behind my strategy is to neutralize all the other...

been reading all of the last posts... fights, who'se wrong , who'se right. Quite frankly i don't care. Maverick had the guts to put his ass on the line explaining the details of his strategy. As all strategies of course it is not perfect. ( name of the thread might be the source of confusion)...

Another question, why not increase your gamma using a back month closer to the front month. You will gain less on the no move profit (if it stays at 100$), but would benefit a lot more in case of an upward or downward swing. fiannly your loss at 95 or 105 would be about the same. You would...

Nov 03 +1 put @ 95 -1 call @ 100 -1 put @ 100 +1 call @ 105 April 04 +2 put @ 95 -1 put @ 100 -1 call @ 100 +2 calls @ 105 finally got the time to read most of the posts. I simulated your position as described above. One question i am asking myself is the cost of such a...

Are you talking about a passive strategy, or a dynamic strategy requiring re-ajustements. Let's say you dont scalp your gamma, does your position require re-ajustements? Have you taken into account the skew and the IV term structure? and the their evolution in time? Havent had the time to read...

It is impossible to be positive gamma if you are theta neutral or positive. positive gamma requires negative theta and vice-versa. if you want to be theta neutral, you have to be gamma neutral. Simulate all the possible positions, you'll see. You're position must have a negative theta if your...