For your first question: Why would the breakeven of a straddle be the implied 1SD move from the IV? The expiration breakeven for a straddle is...
In addition to what's been said, Advanced Equity Derivatives by Sebastian Bossu has some useful information.
this seems like a brag thread, tbh. we're all happy for you that you did well selling index put spreads. the market has been on a rip since the...
Looks like their API will soon have free options data as well. That would help lower the barrier to entry for retail "quants". Right now all we've...
Didn't trade KHC, but a move like that justifies why we get paid risk premium for being short vol through earnings. Also serves as a reminder to...
Closed out SYMC for 1.45. Not a great fill, but it's a profit of 0.43 per spread. No other trades for me today.
Most of those got filtered out of my screen because of the spreads and/or the lack of weekly options.
I got filled on the 17.5/21/24.5 iron butterfly on SYMC for 1.88 cr. It's got a ~10% breakeven range. Decided against CVX in the end. The straddle...
Forgot to post yesterday - Went short vol on GE,X,MO,IP (butterfly) and NOC (put calendar). Closed all now. Wins on IP, NOC, losses on the rest....
Closed all. Took losses on T, ANTM,TROW. Gains on HES,MCD. Overall down for the day.
I might be interested. Let's discuss over PM.
I've been following this journal for the last few weeks. Some great content on here. Thought I'd pitch in myself. The entire thing is written on...
I am short vol on T (ATM butterfly), MCD, TROW, ANTM, HES (ATM calendars): [ATTACH]
The straddle is smallest at the money, so this should work: strikes[which.min(calls + puts)]
SPX is down 14% from ATH, but the VIX has barely got going. Based on VIX's historic beta relative to SPX, this should be above 30 now, at least....
just to add a dose of realism to this thread: [MEDIA]
Yes, a 3SD move would be 100*exp(+/- 0.6), which is 54 and 182. The tastytrade numbers are clearly off here. That's because they're assuming the...
The difference between normal and log normal only becomes apparent for larger IVs. For 20% IV the actual 1 SD implied move would be 100*exp(-0.2)...
Could argue that if vol doesn't behave as expected that's a warning sign. VIX rising prior to the Feb 5 crash was a tip off to traders who were...
Could you explain why this would be overhedging? For instance, suppose I have a 50 delta VXX short. I want to hedge this with an SPX short...
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