I don't understand the use of the term slippage on small limit orders. Stick with liquid names, top 50 mcap in tech. The problems that I see in retail are: Trading neutral at the inception of the trade. Trading a delta-pos, being right, and flipping modality (sign). Edit: You're short deltas in index and spot trades under your body strike and now you're long and losing on volcorr. Generally you're not going to be right on price and wrong on vol bc 90% of flow in flies is long (short gamma in verts). If you're wrong with the fly you're either neutral or trading illiquid stuff. A lot of the NDX components are untradeable but nobody is forcing you to lift an offer 5% off mid.
I talk to a dozen guys every trading day who make money in vol. Much of it in complex flies. If you're coming into this as "structure as edge" then yes, you are fn doomed. Personally, I trade more long vol than short, but a lot of the long vol is also in flies.
Yeah, I don't doubt you but I don't see how you were filling more than 20-lots (say RAES limit) in a credit long vert.
100 lots were the magic number...all i needed was to be filled at my price on one leg to slap on credit flys/verts and the occasional diag..
My impression is that there are a number of neophyte traders on this forum, who at times forget the basics of options and how they are put together with a mathematical formula. So I was being a bit cryptic in an attempt to get them to think deeper. Time decay with Options is guaranteed. That is what i meant by Theta probabilities, it is a 100% probability that when you buy a call option Theta is now daily working against you making a profit, just like it is a 100 % probability that Theta is now daily working in favor of whoever sold you that call option. It takes at times a nice chunk of luck, brilliant timing, or sheer genius for any call option profits, sometimes due to a price increase on the underlying, to out run that time decay. As you get near the end of the call option's life especially, you usually lose the time decay race. Regarding short put verticals, I saw a study ages ago, don't remember where, they had about the highest probability of success back then, but who knows now. In any case, I found I did best using them, seemed to align well with my risk management style and personality. Most of them have actually been profitable for me, but as stated, I usually just day and swing trade outright futures, especially centered around Money: Currencies, treasuries, and Gold, occasionally silver. That Focus group and method is my sweet spot.