Recent content by tplast

Do you say this because you get better premiums on the puts vs the calls for the same OTM distance? It may be so, but the put buyer will benefit from the corresponding increase on volatility on a down move.

I don't think is that simple. The magnitude of the gains/losses must also be considered, not just the probability of profit. Instinctively I would say that at any given time for any give option, both the seller and the buyer have an expectancy of 0. Otherwise the options would be mispriced.

On the SPX, but more precisely I was thinking about an increase on the VIX itself. I was thinking about it as a directional bet on the VIX going up and playing the difference on sensitivity to VIX changes on the different months. But I didn't fully considered that the VIX vols increase when...

I don't have a problem with debits but I feel that you have to be right about more things with the long options than the CTM spreads. In any case, is always a good idea to compare different strategies and choose the one with the greater expectancy. In this case, that may have been the puts...

Yes, you are right. And I must confess that I didn't even price the puts. I guess because I don't really expect any big drops.

Thanks. Yeah, normally you want to short calendars at vol peaks but VIX calendars are weird and I see this as a low risk bet on a increase of volatility. This is my thinking (please poke holes): buy NOV 12.5 @ 0.2 NOV VBI ~= 11 sell DEC 12 @ 1.0 DEC VBI ~= 12 So, I can sell it for 0.8...

I'll hold them with a 2.5 stop. I may close earlier if we get a good drop.

rally, what do you think of the short VIX diagonals/calendars here? DEC VBI is pricing 12 and the NOV contract is already tracking the spot very closely. edit: I'm thinking long nov 12.5 short dec 12 calls

Just finished legging into 20 ES NOV 1400/1405 call spreads for 1.7 credit

Thanks. I was missing the fact that IV will keep increasing as earnings approach. I was thinking sell expensive straddle first, buy cheap wings later, profit!. That's why it was on the too good to be true territory :( I don't have the guts to hold them naked into earnings. I guess I'll...

I thought you were talking about the ITM strikes because you mentioned a debit. In any case, it is exactly the same play. I like the idea of buying the wings right before earnings. The max profit would probably be less, but waiting after earnings may be too late.

You can convert them for a credit by buying the 30 puts and 40 calls instead of the other way around. You end up with the same profile.

Coach, can you expand on the timing of the short straddle to fly conversions? You are selling the straddle ahead of earnings and then buying the wings to convert it to an iron fly right before the announcement?

You wish ! But unfortunately: So no money printing machine :(

Well, not exactly but compared to the magnitude of vega.