Recent content by Eric99

Yep. Murray is quiet. He must be shopping for a bigger boat!

Mark, How did you diagonals do today? I remember you put them on with less vega than does Murray. Did you do anything different in your adjustments than you usually do? And with the high vol, are holding off on new positions until vols fall?

Anyone interested in sharing how they handled today? I'm willing to post my day's adjustments/pain.

Wow. Vix at 10 thursday, now at 18.

I think I understand the question better. It's a question of ratios. If you sell the same number of long term straddles as you buy near term straddles, then that benefits primarily from a decline in volatility, but has price movement risk because the short straddles has more gamma than the...

Thanks, Mark. That's very interesting. Two things of further curiosity for me.... The 'extra calls' - I know you buy upside curvature that way but doesn't buying extra calls overwhelm the smallish credits taken in? Are they really needed given your "close at short strike" risk management...

Mark, From your last post, how do you add more call diagonals as the market rallys? In the past you've said you try to stay delta neutral (somewhat). That would seem to require adding put diags as the market rallys. As always, thanks for sharing.

IV can answer for himself, but he's putting on these trades in expectation of a large move in the underlying. His reverse calendar is only to hedge against the vol decline.

Thanks IV. I was talking about your second scenario: exit before report. In that case, your long gamma is nice but you don't get the profit potential of a dramatic post-report move. And you don't get the decline in vols post report. That's the part that has me scratching my head.... Is it...

Nice work. I was long the March ATM's and short Jan ATM's in a ratio favoring longs (tyring to stay theta neutral). It didn't really work. My Marchs' picked up about 4 pts of vol while my short Jan's picked up 13%. I hit my $ loss point and closed out. With hindsight, perhaps a...

IV, I had a question about an earlier post of yours. If you don't mind.... When you talked about doing an RC with earnings in the back month and exiting at front month expiry, I don't get how that works. If you exit before earnings, you don't get the benefit of a vol drop or the stock...

IV, Did you pick up a 2-3% vol increase in DNA? Which months were you long and did you hedge with any shorts? Thanks,

IV, I've been playing with diagonal backspreads and reverse calendars for IV moves. On several RC's I've tested, I'v found that the tenor skew change compensates for the 'time vega' to borrow Mo's term. I end up +- break even on trades structured with the earnings dates in the front...

I'll go to the Expo. I like to say hello to the TOS guys.

Coach, I did DNA as well. I was short Jan and long March with the intention of exiting prior to earnings (which I did today). I found that I should have bought Jan - or even Feb's. the IV on my short Jan's went from 20% to 36% while the IV's on my long March's went from 25% to 27%...