OCT12 (+p143-2p144+1p145 = 0,10 debit market price)
I will defenitely paper traded in several forms; put, call and iron flies. I assume the 5 point wide wings is also crucial? Anyway, I was...
Does it have to be an iron fly? How about put-only-fly or call-only-fly? I assume bid/ask spread plays a major role when it comes to open/close...
That's just me. I am turning to vol trading because I am sick and tired of betting on the price direction.
Well, I still prefer bleeding from being long/short vol instead of being long/short the underlying.
Now you're talking!
I am not saying I'll make money without risk. Just wanted to follow the OP and see if flies are good way to go long/short volatility. I do have...
That's my point! Also, I'd like to point out that short volatility positions such as the short straddle, have the potential for large losses...
I am sorry, what gains should I cap? Those generated by the underlying move? I don't want to capitalize on that, it is just not my goal!...
I think it depends on the maturity of the straddle; a short-term to me looks like a gamma play, where on the longer-term (3rd further out options)...
I am wondering if flies are really the best way to go long/short volatility. Have a look at the attachment I have a question for you volarbs!...
Here is an atm dec12 +put+call straddle purchased by the end of july and that's it!
Here is an otm dec12 put purchased by the end of july.
On the right scale you get the long atm butterfly dec12 purchased by the end of july; on the left scale you get the dec12 index future.
Sounds interesting! Yet, I am way more fascinated by long-term strategies. To me, going long an atm dec12 fly is similar to short volatility...
How about warrants, I mean when corporations issue new share as well as warrants to purchase new shares, those warrants should not be affected by...
Say I am long a long-term fly (pure short vol), can it actually go to zero way before expiration?
I have been collecting options settlement prices for a couple of weeks by now and did backtest an ATM long Put butterfly DEC12 starting from...
Also, as far as vol.arb is concerned, I often hear of terms like relative value, dispersion trades and directional volatility; while I think I...
I was having a look at this: http://communities.cboe.com/t5/What-s-On-Our-Minds/This-Week-in-VIX-and-VXN-by-Russell-Rhoads-CFA/ba-p/3589 I...
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