Recent content by jtunner

Unexpected news can trigger fast moves esp. in liquid markets which are affected by world news 24/5. I think this is something that currencies and SP futures have in common as some of the most liquid markets in the world, so its not too surprising that they share this.

The issue here is getting historic daily option prices. Any sources?

In the above I actually meant to write SPY not SPX (which is perhaps the simpler approach), but your point is well taken with regard to forward pricing. In general, for a unit costing 2.00 expiring in the next month, I would like to plot the chaining strike price over time.

Robert, thanks for the reply and no, what I'm looking for is much simpler: I would like to visually see how far from the spot price I would have to sell the option in order to receive a 2.00 credit. This could then be plotted against the SPX spot on the same chart. The option price here would...

I am looking for software that, given a fixed price for an option (say SPX Puts costing 2.00) will plot the corresponding strike prices for this option over time (preferably on the same chart with the SPX stop price).

Would this depend on the current vol levels? ie. where VIX is currently at?

Could an experienced options trade comment on the following strategy: - Selling OTM PUTs (but not deep OTM units) on SPX/SPY for a credit - Buying deep OTM units (teenies) to hedge against a large and sudden move in the SP500 that one cannot react to, ie. adjust the short Put positions. In...

What is interesting is that their fund was already down -4.74% in January. For those trading at the time, were to crack in the short vol trade already starting to show?

Which is why I am wondering why they apparently chose this approach...

I do not think that anybody here would argue that similar events haven't occurred before. It would also appear that LJM was as leveraged in 2008 as in 2018. It would need to be in order to profit from the tiny option premium offered by OTM options. Also, if you look at the LJM profit chart I...

Right, the profit curve curves up over time, however it does seem that this is what LJM betting on for protection, or?

As of Jan 31, 2018 LJM had the following Put positions: - short Puts from 2,160 - 2,680 (~46 mill) - long Puts from 2,665 - 2,805 (~22 mill) (https://www.sec.gov/Archives/edgar/data/1552947/000158064218001814/ljmnq.htm) So it appears they were hedging with a classic 2:1 ratio put spread. But...

Any idea as it why only OTM puts were bid up? This points to a more technical/systemic issue rather than a move driven by fear that would take place across the skew, or?