I seldom take a spread home with me unless it is trending strongly in my favor, or I get hardheaded at the close and refuse to give up both edges to get out. Usually, I can leg back into the same position the next day. My typical position can be several hundred or at times a few thousand futures contracts, so sleep and anxiety becomes an issue for me when holding these things overnight.
Bone - thank for all the great posts, I was wondering if you would mind outlining where, when, and how, you got your experience and knowledge that has put you at the trading level you are at? By the way...Bloomberg terminals do kick butt.
I am an Engineer by training and experience, so spreads suit me well. I also have institutional trading desk experience. I have three trading friends who also worked at institutional desks - the Cargill London desk, the EDF Mann New York desk, the Lehman Bros. Chicago desk. (And whom are all spread traders) So, I have some idea about what the Commercials like to do. My original mentor made a large fortune spread trading futures - he recently sold his mansion on the North Shore for $10M, it's believed to be the biggest residential single-family home real estate deal in Chicagoland history.
GAT, Maybe I am missing something but your example assumes the IV's for the calls exhibit the same skew as the puts. I don't see why they necessarily would do that.
Call and put at same strike would /should have same or close to same Iv due to the conversion reversal. Ex june 80 c Iv close to Jun 80 put IV else arbitrage exists/