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Long JPM & WFC July13 ATM Straddles (@ 1.50, 0.99) (Short calendars could work here as well, given the favorable vega profile)

30 day is fine, when used with other durations as well. As mentioned above, a big outlier one-day move will show up as elevated vol. Run 10, 30, 60, 90, 120, etc. numbers and place them in the context of a vol cone.

I would recommend that you build your own volatility analysis tools in something like excel. However, if you want some cool stuff that is already built; check out Hoadley. Or you can always open a TOS account, fund it with $3500, and just use it for analysis. Then use IB for trading.

In a RUT July 745/775/805 Fly @ 7.75 (from yesterday)

Yeah I concur, slightly bearish short term as well. Market looks pretty quiet, settling into a range. But a rally from here seems plausible due to Europe calming down and a dearth of economic news. I have some RUT and NDX flies neutral to 760 and 2600 respectively, carrying slightly...

I have, and occasionally use, hoadley's tools. They are pretty good, but are better for volatility estimation rather than strategies. They pretty much pull historical stock data from yahoo, and applies various macros. However, one could piece something together for free that accomplishes the...

What's your time frame?

Added some Es 75/00/25 flies from 7.50-8.00 about an hour ago. Quick trade.

Haha, well said.

It seems like this thread has cooled off recently. Anyway, I just put on a July RUT 710/760/810 Fly @ 14.10 mid. Coupled that with a few July/Aug 760 Cal spreads @ 8.65 mid (1:2 ratio).

Might be waiting awhile. What's your thesis? Seems like we are churning between 20 and 30 for awhile, and will probably continue to do so. I have had on a JUN4 VIX 20/25/30 Fly for a few weeks that has been benefiting nicely from this. Granted those options are priced off of VIX futures as...

Gotcha. Yeah, I'm also in the 25/30/35 Fly from Tues. Up about 0.20.

Are you still holding onto that fly?

Nice.

Yeah, stock keeps drifting down. I am long a June 25/30/35 Fly from 2.25, not looking good so far

Since we're talking VIX... I still have a JUN4 VIX 20/25/30 Fly from 0.95 (placed the trade on 5/15)

Got it. Is there a way to somewhat replicate it? Thinkorswim doesn't have VIX futures. I guess one could use two of the VIX ETNs. Such short the VXX / long 2x VXZ (or use the XVIX, which does the same thing).

If one sells the Jun SPX ATM straddle and buys the July ATM straddle, how well will this replicate a Jun/July VIX futures switch?

Following

Anyway you can PM them to me as well? I promise to keep them confidential. Thanks man.