Recent content by ruok

yep, i would be delta hedged on each leg, so it would be 4 trades (i.e. buy non-leveraged options, sell non-leveraged ETF to delta hedge, sell leveraged etf options, buy leveraged ETF).

I've been noticing that implied volatility for leveraged ETFs are higher than they should be based on implied volatility for their non-leveraged counterparts (e.g. IV on a Dow ETF might be 20%, while IV on a 2X leveraged Dow ETF might be 50%. Theoretically IV on the 2X leveraged ETF should be...