Destriero/Atticus Vol Journals.

[markuzick]

It depends on the timeframe of your trade whether to go with a call or a call fly; the fly doesn't have as much delta; it loses value past 80; and the call sells for more for the simple fact that it's worth more - if it wasn't a fair difference in price, it would be easy money to sell the relatively overpriced call and buy the relatively underpriced fly; but wait: that amounts to 2 short 80's and 1 long 90. Why would that be a good strategy?
I like that flies can be used to exploit IV strike price contango though!

 

[ironchef]

After reading up on this fly thread I tried to model a few cases to see the interplay of various strikes, underlying and IV. The analysis was too complicated and time consuming for me as I only have Excel to work with.

For ATM, 132/231 seemed directional, 121's more or less delta neutral? So, I still need a good opinion (of delta, gamma, vega, or IV) to make money.

Conclusion: No free lunch for us retails.

 

[El OchoCinco]

The analysis was too complicated and time consuming for me as I only have Excel to work with.

 

[SumZero]

After reading up on this fly thread I tried to model a few cases to see the interplay of various strikes, underlying and IV. The analysis was too complicated and time consuming for me as I only have Excel to work with.

I suggest you install ToS demo. You don't need an account and allows you to do pretty decent stuff. Works for 60 days.

 

[ironchef]

I suggest you install ToS demo. You don't need an account and allows you to do pretty decent stuff. Works for 60 days.

Thank you for your suggestion. I will try it out. I did install IB, tried that for a while but decided not to - old habit dies hard.

I have been with Schwab for years, migrated to their OptionsXpress platform then back to Schwab... Can ToS do more than Schwab's StreetSmartEdge and StreetSmart Central?

 

[El OchoCinco]

ToS has all the option analytical tools you need to trade almost all op strats.

 

[destriero]

TOS/TDA's desktop app is decent. IMO the iOS app is the best available. I would like to see the phone app stop the error code when building verticals, but otherwise it's very solid. On the desktop; allow for stressing of vol x strike.

 

[ironchef]

One of you taught me how to program in VBA in Excel and that helped some but it is still very cumbersome. Perhaps I should go back to Fortran?

 

[El OchoCinco]

Would be nice if you could program and create a cool video game but if you use ToS analyzer you can easily do FLYS and similar vol trades.