csensen13

I've been reading a lot of the discussions about brokers and their commission schedules - that's important but I think the more relevant issue is the quality of order fills. I've been trading with ToS but lately I've been very disappointed with the quality and speed of their order fills, especially with SO-triggered calendars. Orders at the mid rarely get filled and then you need to chase or forget about the order. I'm about ready to start looking at other brokers - does anyone else have these kinds of issues?

Thanks Marco - I was going to ask about VXX then, before Hannes mentioned it - I guess VXX is an ETN though so it does not exhibit the "unusual" behavior that makes VIX such an interesting short trade. But would it be a viable calendar trade the way Kim is setting it up? (my guess is probably not, since the prices seem to be a lot more conventional, like any other ET notes or fund)

Marco - thanks for your insight on VIX - the trading is quite intriguing since it is different from regular options - quick question, since it appears that some brokers put the screws to an investor with "strange' margin requirements (as in TOS and OH), selling naked puts is a bit cumbersome - would you suggest (or suggest against) going long on calls? I know they tend to be more expensive than puts, but other than that is there anything else to consider?

For what it's worth, Options House also seems to require a $1700 margin/spread....then again they were the ones that wiped out 100K of buying power when RUT went ITM a month ago....

Chris, I really like your strategy ideas and appreciate the work and effort you put into them. I'm trying to get my head around all these possible scenarios and to understand the numbers, since it's always a numbers game. The max loss is the difference between the range of your long positions and the price you're paying to open up the position. So, in that case for the IWM example you're referring to above, the first calculation appears correct, but the other 2 seem a bit off: for the 72 call/85 put @ 14.68, the max loss would be 14.68-13 = 1.68, which is 11.44%, as you mention. for the 74 call/83 put @ 11.42, the max loss would be 11.42 - 9 = 2.42 or 21.2% for the 76 call/82 put @ 9.25 the max loss would be 9.25 - 6 = 3.25 or 35.1% I just want to make sure I understand the calculations properly, but after all, as you said, these would be the worst case scenarios and the point of the strategy is not to hold until expiration, obviously. Other than that, I think that in this sudden high volatility climate we've been in for the past week, any of these strategies would probably require a lot of management/rolling/readjustments, so probably the one using up the lesser amount of capital could be the more attractive one. Anyway, thanks for your ideas. Carlo

FYI - I actually started the GLD long dated trade about three weeks ago because I really like this long dated strategy and GLD has worked well for me in the past with calendars and general theta positive strategies. I started out a little more aggressively than Chris's guidelines in terms of the deltas of the short strangles, but it has really worked nicely with 10% returns the first two weeks when GLD didn't fluctuate too much - this week I stuck to the .30 deltas and have had to roll to different strikes because of the general market swings, but overall it's up 20% in 3 weeks - very nice strategy.

Not a bad idea - it's nice to compare notes about the prices when actual trades are triggered, but it's also good to be able to stay focused on actual comments and feedback on the validity of the trade - the only drawback is that then you have to generate 2 sections for each stock, but hopefully it wouldn't be too much more work.

I like the strategy in principle and look forward to feedback from others - but just a basic question: what are the margin implications of such a trade - you're long a DITM long-expiration option and short a OTM weekly - is it essentially like writing a covered call or does it have different margin requirements?

Is anyone still holding these? - I had a limit order on Dec 12.50 @ 1.60 which just hit for a very conservative (but nice) 11% return on a small position. But the stock looks like it's bouncing back nicely

thanks for the insight Eric - I have a pretty small position, since it's a new strategy for me, but it's fun to be along for the ride. We'll see...

Eric, the stock was briefly above 13 and then began drifting about 60 cents lower - do you think the short squeeze is yet to come, in your estimation? I'm holding a few Dec calls, so there is still plenty of time, but was curious as to what you were thinking.

Don't bring too many people on board though, otherwise the fills will become harder and harder...

Thanks Kim for the community you have set up and the transparency with which things are done on this forum - in my experience it's pretty difficult to find financial advice forums where the underlying feeling you experience is not one of being slowly ripped off. So given that no-one has the magic bullet to option trading (or any trading for that matter), the sense of honesty, participation and professionalism you have shown throughout is something we can rely on even during some rough patches. Let's go make some money.... Carlo

Hi, in the general attempt to keep learning the whole process, I went to the website linked above. Looking at their definitions they say Delta is: "A measurement of the change in the price of an option resulting from a change in the price of the underlying security. Delta is positive for calls and negative for puts. Delta can be calculated as the dollar change of the option that an investor can expect for a one-dollar change in the underlying security." and that's pretty standard, but then they also define it further as: "Delta can also be calculated as a percentage change in the option price for a one-percent change in the underlying security; this method of viewing the delta value is also known as "leverage." So their way to tabulate it is as % change for each % change in underlying price (sort of another way to define gamma?) Anyway, may be Kim can comment if this way can provide a better grasp of the effects of smaller underlying price movements.

sorry, I was looking at the wrong week - oops - would have been nice though

Am I wrong or does the 660/665/670 fly look like it could be sold for about 0.75 now, meaning roughly a 60% profit from the 0.45 entry point?

Hi, I actually monitored the 640/645/650 AAPL short butterly in real time as Chris did - starting at 1pm. AAPL traded between 644 and 646 up until 3pm and the Short Butterfly would have lost considerable money. Actually, selling the butterfly at 2pm or even 2.30, would have given substantially more credit. BUT - You would have had to wait literally up to 4 minutes before closing to make the trade profitable, when the underlying jumped a couple of point. The prices were fluctuating like crazy though, and I dare anyone who doesn't have a half million dollar account to hold on to short ITM AAPL calls up until 3.56pm!! If you were crazy enough to do it AND got the trade filled, then, you would have made a real bundle (at least 25% based on the margin required) - but I think this happend only because the stock started moving in the last 15 minutes - had it not done so, the loss would have been substantial - so definitely stay away from this thrill ride, IMO. The long butterfly, on the other hand, looks quite interesting and hopefully we can track it nicely in the next few weeks. At 1.00pm = Short Butterfly for 2.62 Credit (AAPL = 644.20) At 2.00pm = 3.39 Bid / 3.65 Ask (AAPL = 644.93) At 2.30pm = 3.64 Bid / 3.80 Ask (AAPL = 645.16) At 3.00pm = 3.34 Bid / 3.57 Ask (AAPL = 645.85) At 3.45pm = 2.97 Bid / 3.08 Ask (AAPL = 646.91) At 3.50pm = 2.91 Bid / 3.12 Ask (AAPL = 646.96) At 3.54pm = 2.96 Bid / 3.08 Ask (AAPL = 647.02) At 3.56pm = 2.42 Bid / 2.67 Ask (AAPL = 647.38) At 3.57pm = 2.14 Bid / 2.34 Ask (AAPL = 647.70) At 3.58pm = 2.10 Bid / 2.55 Ask (AAPL = 647.68) At 3.59pm = 1.86 Bid / 2.17 ASk (AAPL = 647.99) At 4.00pm = 1.61 Bid / 2.07 Ask (AAPL = 648.11)

That's more or less what I was thinking - just wanted to confirm with your expertise - thanks!

Chris, GLD is down to 155 at this point - you mentioned in the SPY calendar discussion that you usually don't let the calendars expire and, if necessary, you typically roll up or down the strikes accordingly - what do you suggest at this point with the GLD 157 calendar - overall it's down about 20% from the entry point - wait for a bounce up, hopefully before Friday or change the strikes?