Theta

[clarodina]

Generally what is the duration for a trader holding shorting front month options for theta to accumulate enough to override directional loss and vega loss and yield a proper profit assuming three scenarios 1) trading range 2) directional but whipsaw 3) very directional with little whipsaw. Implied volatility increase on average amount.

 

[Martinghoul]

Senor clarodina, I think there you got handed some sound advice in another thread. I would like to second it, i.e. suggest that you run, do not walk, to the nearest bookstore and buy yourself an options book. Failing that, borrow a book from the library. I will add that, as the next step, given what you're trying to do, I'd get intimately familiar with Excel.

My Z$2c...

 

[TheoHornsby]

Quote from clarodina:

Generally what is the duration for a trader holding shorting front month options for theta to accumulate enough to override directional loss and vega loss and yield a proper profit assuming three scenarios 1) trading range 2) directional but whipsaw 3) very directional with little whipsaw. Implied volatility increase on average amount.

You need to calculate the implied volatility to historical volatility ratio. Click this a few times until the answer becomes obvious:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=213519