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My understanding is that one of the requirements necessary for a call to be a qualified covered call is that it not be part of a larger straddle. Rev. Rul. 2002-66 has concluded that a stock, long put and short call (a collar) are all one straddle, and the call should not be treated as a...

I'm currently buying ES boxes as an alternative to bills. Yield is about 20 basis points higher. Others buying boxes? Which contracts?

IB only allows purchase of bills in the securities side of the account. Unrealized cash from futures options is in the commodities side.

I'm a futures options straddle writer that typically carries 30 to 40% of my net liquidity as unrealized cash, on which I’d like to earn some interest. Does any one know which clearing firms allow the purchase of T-bills in excess of net liquidity? Spoke with Wedbush today, and they do not.

Very helpful - many thanks!

Good explanation - never thought of it that way. So basically, lognormal says that the underlying is just as likely to double as it is to be cut in half, and a long neutral straddle should gain the same amount either way. Since the absolute amount to the upside is doubled, I would have to...

Add and compound the dividends, but subtract inflation. After you back inflation out, at an average of approximately 3% per year, I believe the real return still comes out to be somewhere between 6 and 7%.

Great thread - thanks for taking time to put all the pieces together! I know you said that options were pretty much out in the beginning of the thread, but I was curious as to whether it would ever make sense to use them strictly as a means of reducing risk and smoothing the equity curve...

What turned you off to futures trading on OXPS, and who do you use for futures trading now?

Good point! It would be interesting to see if they used monthly ATM strikes, similar to those of the Ibbotson study commissioned by the CBOE for the BuyWrite Index: The BXM Index: The CBOE S&P 500 BuyWrite Index (BXM) is a benchmark designed to track the performance of a hypothetical...

I have heard of several studies showing that systematic covered writing generally results in 30 to 50 basis point performance loss vs. buy-and-hold, but with significantly less comparative volatility, and higher resulting return/risk ratio. Can anyone point me to these papers? Thanks!

My guess is that, if the trade is made with the market makers, they probably wouldn't provide any tighter market for the synthetic straddle. Just thought that, based on what I’ve observed with equity options, if you’re willing to become one side of the market, where your price is...

Opened a ticket, then my ADD kicked in and I called them. No NY FOPs! Here's the ticket: Details Ref# T823949 Date/Time 2008/04/17 12:50:33 Status LV1 Summary Open outcry futures options Date/Time Sender Comment 2008/04/17 12:50:33 steve037 I was hoping to get some...

Will do - appreciate the info, xflat!

Thanks for the response, blackjack. Yes, IB does have some pit futures options, but from what I can tell the only ones I can trade are those that have side-by-side electronic markets. I never traded anything on IB other than using TWS, and was told by chat personnel that they only supported...

I'm curious as to how to get good straddle fills on futures options, and my experience thus far with equities and ETFs leads me to believe that legging into synthetics can often be preferable to limit orders. I was hoping to get some input or advice on whether a similar situation might exist...

Hi Danny. I use IB's volatility order ticket with auto delta neutral hedging quite a bit. Do you guys offer a similar order type? How about peg-to-stock with programmable delta update? Thx, -Steve

The whole series in groups of novice, intermediate, and advanced seminars on eBay, starting bid $1: http://cgi.ebay.com/ws/eBayISAPI.dll?ViewItem&ih=015&sspagename=STRK%3AMESE%3AIT&viewitem=&item=250102625156&rd=1&rd=1...

Let me know what version you have. Thx, -Steve

I'm looking for an equity/index options scanner with as many of the following characteristics as possible: • quasi real time – 20 min delay maybe • percentile IV scans based on variable number of trading days • scan for IV less than a threshold...