i bought the apr/may/jun fly @ -0.20
the spread looks very wide relative to the rest of the curve and is above historic averages for this part of the curve. atticus, you seem to...
I see no prob with what sle said- i work on an OTC desk and thats where i learned the lingo. I dont think sle needs recognition to feel his post...
you're right. thanks all for clarifying the notation. now that i've got everyone's attention... are there any opinions on why the jun/jul...
i'm aware of #1 and #2, no one seemed to have a problem w my notation here, but i will agree with you on the fma part, that would be confusing. i...
i did list them in order, but i just used month names (fma feb mar apr). if its not clear ill just type the months next time. to question #2...
i sold jun/jul @ 0.86 anyone have any thoughts on that part of the curve relative to the rest? im curious how others are viewing it.
here are two useful papers. older by GS: http://www.ederman.com/new/docs/gs-volatility_swaps.pdf newer by JPM:...
you're on the right track. yes the implied is derived from the underlyings option market. i think you need to go one step back... how would you...
I just realized my post repeats what sle said a page before.. sorry bout that.
Cdcave, implides do matter if youre trading in and out before expiry. As you approach mexpiry the contract should converge to its fair value, or...
are you still planning to get this on today? just curious - im interested
has anyone put an order in on these yet? spreads are wide and volume looks nonexistent... but just curious
thx guys. i don't think my timing was so good- but honestly i didn't like the outright jan, nor the april may, so i really just wanted out.. i've...
i'm flat. sold jan @ 18.45 (basis of 16.65) sold apr/may @ 0.60 (basis of 0.74) pnl journal to date is 9.7%
i closed the fly today. honestly, i dont think the execution was the greatest, but i don't see the same dynamics in my favor as i did when...
they blocked this at my shop too... i requested an exemption. hah
agreed - thanks for the sheet
i havent looked on IBTWS yet, but i see it on bbg. any idea why it shows the jan settlement at 764.16 (27.64 vol strike) but shows quotes at...
today i lifted a jan vix mini at 16.65 and got hit on the apr/may switch at 0.74. current position: long the jan mini long the belly of the...
Separate names with a comma.