Recent content by tooriginal

why is it path dependent if you're not delta hedging?

Have you looked at ways to hedge the the non-earnings part of the earnings straddles against declining market volatility? Vix puts, short index straddles?

IWM July 19th/26th forward vol in 16s Does this look ok?

right that's exactly what im saying. near term fVol behaved like in your chart but only several bid asks spread of variation as opposed to yours which seems to have levered up perhaps by selling further dated vol and OTM wizardry.

yes post earnings forward vol is what i was referring to, traded pre-earnings.

i dont have the expired options data at intra day but near term forward vol behaved similarly to your spread

i caught the plebian (ATM) version of your setup i believe

I counted 4 parameters which seem arbitrary and likely to result in overfitting but I would be happy to be shown otherwise. I would like to see zero parameter choices, that is, for each parameter and each time value, compute the optimal parameter over a rolling window and only then forward step...

the iv declined post amd earnings but the earnings implied move was fixed at 12% for around the 8 prior trading days. it looks to have bottomed today and has since risen to >10% since my first post. im betting we see 12% implied move before earnings. the realized vol has been comfortably above...

ambient vol of about 50% and implied move of about 9.5% look very low for ARM right now.

Selling implied move at 91st percentile. Bought back short strangles for about 25% return on risk.

well it was 11.5 pre fomc for the april 19th and 21D realized has been between 8 and 12.5 over the past 90 days so 11.5 seemed comfortable to sell. YTD my short index vol has lost slightly with today giving the bulk those. And then how else do you hedge a long vol portfolio systematically?

yes i do as you describe and target zero gamma for individual stocks when possible. then I look at beta weighted portfolio and target zero portfolio wide gamma by shorting index gamma. you could in theory back out the index vol from the earnings contracts but that is even noisier then outright...

I attempt to hedge long vol w/ short index vols and both have lost today under my hedging scheme at least.