Search results

Drop the vol in the calendar to 100% at day 60 and see what happens. You are such a clown.

What? No price variability? You mean convexity. These things move huge. You just shit yourself. These are not rate-arbs (short/long dated index futures spreads). So Corn futures flies don't move? Beans? Gas? It's not ego. You just confidently stated that the Earth is flat.

those are the fucking futures spreads. No optionality. FFS. Why is this in options? a futures fly is long Oct, short 2 Nov, long Dec.

Before I leave this wonderful thread. The time fly was a better trade with long wings in the back and short body in the front. Much better gamma/dgamma position. Meaning, much greater return on the cash-requirement. This is what you want.

You have witnessed a homicide. Your nick was just murdered. You should take the deal and enter witness protection.

I am not referring to a strike. Those are vols."Edge of three handles." 26-23=3. We're discussing the vol-diff. It's implicitly a discussion of calendars which are same strike.

You're lying to yourself. That's exactly why you bought the calendar. The vol-switch is the voldiff between two x-series (tenors) and not the y-series (vertical/strips). It's your argument.

Regarding the index vol-switch in cheap stuff (deep OTM). You buy a calendar at an edge of say three handles (b23 x s26). The problem is that ATM is 20. You're explicitly long strips under the mkt. Mkt rallies, strips fall. On paper your skew helps as your fixed strike vols are rising to skew...

So you made $19 per on a four lot? Nice. Most ppl that discuss the vol-switch are referring to moves in the index-surface and are pricing the risk-reversal. I don't think for a second you know why you made $0.19 on your FDX calendar. Does it matter? You bot it because you thought it would pin...

QS was Dec 2020. Congrats on making $300 all in on the vol-switch. You would have made 5X your cash in the bear spread. lol you should have bot a double calendar!

The long-switch (Svol1/Lvol2) is not making you any money outside of pre-report divergence. The Street assigns a fixed premium figure to the post-earnings move so the implied is the variable. That’s why the switch blows out before the report. Vols trade top decile so you never hold a calendar...

lol ignoring gamma? Let's assume that vol (strips; VIX, VOLQ) is negatively correlated to (index) price. You're implying that you're long the vol-switch; short front, long back, 1x1. You're long vega. 100 beeps in the 1W ATM SPX call is worth $3. SPX rallies 10 and the call gains $5. You're...

I sold it at 19900 before the retrace and ultimately the upside BO.

Time as synthetic vol. There are a million use cases. But yeah, timing earnings-releases where the vol-switch inverts. Long CPI vol and short pre event. Street assigns a premium figure to fixed-delta and again, the vol-switch diverges.

Calendars are short gamma and long ve. So you want vols to rise absent movement, unless they are traded OTM, and those conditions are generally in opposition. Either trade them LVLD or tethered to spot/futures.

Tell us, oh wise one, about the relative performance this year of BTC vs. USD priced in say JPY? I'll hold. Inflation you say?!

I've been holding my breath! $40MM wasted! I am freeeeeee! https://www.nytimes.com/2022/09/14/us/politics/durham-inquiry-trump-russia.html

omg. no. NO!

lol no, it doesn't.

I was referring to vanilla corporate-wallets like cbase, etc.