Recent content by samer1

I have again created another option structure that I will put on after Friday's close, when a short TLT OTM put position will expire. I will be interested to see how this thing behaves. It has some vol risk and there are also some shifting vol smile effects.

Hi Kroponer, Thanks a lot for your input. I read it and I think you might be correct. I have to set up the trade first and see how it behaves under different market conditions. I agree with you that the white line will go down in case of a vol spike. I even think that the red line will go...

Yesterday, I have created another option strategy with a very nice pay-off profile. Once, my OTM puts on TLT expire, I will trade this one.

The high margin can be circumvented by switching to a margin account. For me, the crash risk is very limited. The white line in the graph represents the immediate PnL line. As you can see it goes higher as the price goes down. If you have another strategy that can generate premium and has...

The strategy consists of three legs and 15 option contracts. I think the commissions are acceptable to get this pnl profile. What I want to achieve is this: - Profit over a wide range of prices. The light blue area shows the 68% percentile of the price. As you can see, the strategy will...

Lots of option players are into short premium strategies like iron condors, short strangles, short straddles, short otm puts, etc... However these strategies suffer from two developments: -) Short gamma -) Short vega If the market crashes, these strategies will blow up. I have been...

Yes, it is highly complex. I agree... However, what I want to say is this: Lets suppose ATM IV of VXX is 80%. VXX has a strong trendiness. Lets suppose you find a stock that also has an ATM IV of 80%. It is very likely that this stock does not have the strong trendiness that VXX has. So...

I agree with you. However, as I said there are many variations. One might go long a bear put spread on vxx and long a bear call spread on SPY....

Rocky, thanks for sharing this idea with us. I totally agree with you that VXX is totally sexy. What I like about VXX is its trendiness. It is in a permanent downtrend. Now to your idea: Your idea about VXX and VIX is interesting but very complex. An alternative might be the pair VXX...

It is one hundred percent. So if you short a call, and it expires worthless, your account increases by 100%. The number is misleading. Hence, one should divide the performance number by 100 to have some realistic result. I do not have access to option prices. If I had access, I would have...

Backtested strategy: Each monday do the following: 1. Sell an ATM call option with a maturity of one month. 2. Buy an OTM call option (1 std. dev.) with a maturity of two months. Close the position, once the ATM call option expires.

I have created a backtesting tool for option strategies in Excel. I use the historical volatility as an input (instead of implied volatility). The tool can use up to four option positions. Enclosed you will find the return of the following strategy: Maturity: 1-month Every monday, you...

So the same problem should also apply to commodities... In case of commodities, you have some commodities in backwardation and contango... If you look up Hull's option book, I think it does not discuss this point... However, vol futures behave differently than commodities... since vol by...

I understand your point... I believe that the skew of the IVs of VXX takes into account the downward drift. Remember in Black Scholes the stock is also assumed to have an upward trend which is equal to the risk free interest rate...