Recent content by option911

I think the key is to pick how you get long or short your delta depending on the IV of the options

As a former floor trader I can tell you that everyone scalps gamma differently. Some use the options, some use stock, some use STD, some use delta. You never know it is really trader to trader. One thing traders need to know is what their daily 'nut' is. There is also some interesting data...

that won't solve the gamma issue

This is a piece I wrote for SFO, if you have futher questions feel free to message me via T2W http://www.sfomag.com/ArticlePrint.aspx?ID=1465

Generally no, however there are ways to mute it, things like weighting your vega can help with that, although that subject can be a little dense

I would advise anyone who is 'thinking about covered calls' to read the relevant risks associated with options. I always tell people this, would you trust me to trade your money, If I had your knowledge? if the answer is no, then go read.

Vols and the model are completely different subjects. The issue is there puts and calls dont add up because they dont allow for cost of carry. They just run a .25 rate in their cash indexes. In their vix products they run the vol of the cash vix which is borderline negligent. The list goes...

The best charts I have seen are on livevol, which isn't free but is pretty some great information. TOS charts would be great if their IV's were correct (which they are not).

I am selling some premium into this vol uptick, but I think we might see the VIX get above 25 and ATM IV over 23 at some point this week. Interestingly though, realized vol is the lowest level I have calculated in several months. How are you guys holding up.

did you notice a P&L swing from Wed to Thurs at least, or some quick change in decay?

so you are saying that despite implied volatility falling 2% on the indexes you didnt notice any change in your positions. you are either not trading or in some crazy kind of iron condor ive never seen in 10 years of trading.

How did you guys make out coming out of QE2 it was really interesting to watch how the IV's moved. Ended up more like and earnings play than a market trade

RPEX, Ill be honest, I dont have to pay for anything because of my roll as a mentor. LiveVol is probably the only product I would pay for (aside from myself of course:-)

The best vol analysis out there right now is LiveVolPro (which does cost money). It has been worth every penny and thus far is the only vol software I would pay for. Every other program out there has in some form or another vol analysis. TOS is okay, but they have screwy vols, OX is alright...

Dave, I would say it was tough depending on what trade you entered and what you entered. Butterfly's have been awful and so has the NDX (thank you aapl) over the last month. But, SPX and OEX condors have been pretty manageable. Currently, I am in an OEX Dec IC that we are following in the AM...