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Does this sound like Karen the Supertrader? If it's too good to be true...

Take a look at USL. I believe it has equal weighted holdings in the first 12 months of WTI, so that eliminates a lot of the roll yield penalty of a contango market. Maybe not as liquid as USO, but a more generic diversified tracking ETF of WTI. http://www.uscfinvestments.com/usl

Never understood why option sellers will continue to aggressively sell premium even with the VIX below 15. You are essentially doubling down on your long equity portfolio near the market highs. You should be doing the exact opposite to protect your paper gains in your long only/retirement equity...

By default you're already short the VIX, by just being naked long equities in your stock/retirement portfolio. The "free money" to be made was back on the March lows when the VIX was printing close to all-time highs at 80+. In this new market regime where there's so much uncertainty and zero...

The VIX cash was printing close to all-time highs of 80+ during those 2 dates. It had no choice but to come off, given that it was probably priced at a significant premium to realized. Also, VIX calculation is heavily weighted toward the OTM SPX puts. If you're long the VIX you're also long SPX...

When the VIX is historically low and printing close to 10, the MMs are all long options (long gamma and vega). having been forced to buy premium during the entire vol collapse. If they aren't long then most vol players are trying to pick the bottom in the VIX and initiating long gamma and vega...

VIX flatlining between 10-15 level (like from 2003-2005) is the death knell for day trading. Markets are tight, almost choice, and realized vol is likely below implied. Gamma is cheap but everyone's long it, so that keeps the underlying in an even tighter range. You have to cover your decay bill...

CBOE floor became a ghost town after the dot.com bubble burst in 2000. Finally went back to the CME in 2004 to chase greener pastures. Hard lesson learned during those low vol CBOE years: You can't inventory long option premium waiting for the big move which may never happen, even with the VIX...

Don't typically look at differences between IVs in percentage terms, but rather in the magnitude of the divergence from a meaningful average. Thinking in % terms wouldn't work for IV spreads/strategies that could fluctuate between positive and negative. When looking at overall IV (VIX), ATMs...

Utilizing your "strike slope" + "derivative" methodology is probably an effective way to generate vol curves for illiquid expirations, or large areas of a smile missing bid/asks. Why don't you just use more reliable OTM IVs vs ITM IVs, which many MM's and mass quoters won't make markets in due...

Do you have a link to the formula used for calculating the "Derivative - curviness of the strike skew"?

OHLC You can get OHLC IV market data as frequently as every minute, but you may have to wait till after the close to get it. They'll charge you significantly more (30%+) if you say you're with a prop group, hedge fund, bank desk, etc. So tell them your an academic, student, or part-time retail...

You can thank the Fed for destroying volatility and making life miserable for all short-sellers.

My understanding is that delta or N(d1) in the BSM is a decent approximation for probability of expiring in the money. N(d2) is what you really want. This guy gives a decent explanation: "N is just the notation to say that we are calculating the probability under normal distribution. D2 is the...

Track the IVs on a per delta basis in Simply track each IV on a per delta basis for both EOD for big picture, and intraday to monitor and trade the extreme daily moves. Use historical expirations for assets that need seasonal adjustment, and constant maturity for apples-to-apples IV...

Traders who only brag about their winners own a fraction of what they want you to believe they're worth.

"You’re either the one that creates the automation or you’re getting automated..." - Tom Preston-Werner

Those calls are probably the sale of the century.

Buying option premium is all about timing. Nothing worse than sitting on longs and watching your position bleed money everyday, while waiting for the inevitable. It's like Chinese water torture...

Yellowjackets were non-member lowly clerks, floor opioid dealers, and a handful of off-hour strippers used to attract order flow and entertain desk brokers. Everyone started out as a yellowjacket...except maybe Don R. Wilson (DRW)