Long JPM & WFC July13 ATM Straddles (@ 1.50, 0.99) (Short calendars could work here as well, given the favorable vega profile)
30 day is fine, when used with other durations as well. As mentioned above, a big outlier one-day move will show up as elevated vol. Run 10, 30,...
I would recommend that you build your own volatility analysis tools in something like excel. However, if you want some cool stuff that is already...
In a RUT July 745/775/805 Fly @ 7.75 (from yesterday)
Yeah I concur, slightly bearish short term as well. Market looks pretty quiet, settling into a range. But a rally from here seems plausible due...
I have, and occasionally use, hoadley's tools. They are pretty good, but are better for volatility estimation rather than strategies. They...
What's your time frame?
Added some Es 75/00/25 flies from 7.50-8.00 about an hour ago. Quick trade.
Haha, well said.
It seems like this thread has cooled off recently. Anyway, I just put on a July RUT 710/760/810 Fly @ 14.10 mid. Coupled that with a few...
Might be waiting awhile. What's your thesis? Seems like we are churning between 20 and 30 for awhile, and will probably continue to do so. I...
Gotcha. Yeah, I'm also in the 25/30/35 Fly from Tues. Up about 0.20.
Are you still holding onto that fly?
Nice.
Yeah, stock keeps drifting down. I am long a June 25/30/35 Fly from 2.25, not looking good so far
Since we're talking VIX... I still have a JUN4 VIX 20/25/30 Fly from 0.95 (placed the trade on 5/15)
Got it. Is there a way to somewhat replicate it? Thinkorswim doesn't have VIX futures. I guess one could use two of the VIX ETNs. Such short...
If one sells the Jun SPX ATM straddle and buys the July ATM straddle, how well will this replicate a Jun/July VIX futures switch?
Following
Anyway you can PM them to me as well? I promise to keep them confidential. Thanks man.
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