very valid points, hope Nazz and others feed back on the issues you've brought up. I also plan to do something similar, except buy the NTM calls since I expect it to be hit and sell the further OTM calls which I do not expect to be hit. Thus collecting twice on the direction and level I expect the price to go. Now this situation occurs for me when say price at 715 and I expect both 710 & 720 to get hit and don't know by which order though. Therefore would be wanting to short the future at 715 with target at 710 and buy the 720 calls and sell the 730 calls... does this make any sense? how many 730 calls need to sell to cover the cost of the 720 call when price at 715 with 1 month to expiry and volit. at say 50%?
1) ?......715Call at 30......715Put at 105, correct 2) Regarding books, I started with Natenberg, then Cottle.