Search results

What was your avg days to expiration for this and what delta did you like selling on the index?

Garman & Klass model used to calculate HV to reduce some of the earnings noise.

Neutral as in Delta Neutral? Than yes. Yes I have thought about it but, as you have mentioned I would need to go further out to get the vega/gamma needed to make it worth while. What is your take on shorting index skew and buying street skew? I look for realized vol correlation of street vs...

This is great!! Here are my basket/trades I got filled on today. Trade 1. Short QQQ combo 175 Aug 10 @ 4.81 Long QCOM combo 62.5 Aug 10 @2.13 Vega neutral (for every 3 QCOM, 1 QQQ) Trade 2. Short IWM combo 165 Aug 10 @ 3.51 Long GS combo 240 Aug 10 @ 5.83 Vega Neutral (for every 2 GS, 3 IWM)

That's good insight, but when do you pull the trigger to close the position? For example "the SPX trade was going great until..." yet you are still holding the position instead of closing it. I have read many of your threads and have seen you take off positions the same day because you are wrong...

Des couple questions for you.I know you have mentioned before that you don't delta hedge your positions once they are put on. Would you mind explaining when you realize you are wrong on the trade?

Do you have a position on NDX? or QQQs?

Thanks. My position is down 5% as AMZN is testing 1900. Taking the QQQs with it. Do you think the QQQ will fill in this gap by 10 am?

IB, the AUG 10 expiration. Not to sure why I did not think of the Iron. Thanks

Des I am trying to get filled for the 132 Put Fly. 20 lot for QQQ 171/181/186. Mid 4.53 and b/a 4.29/4.86. Any ideas on how to get better fills with this? No liquidity on the 186. If you could go into getting better fills with 132 flys it would be much appreciated

Sells a 1 month rolling put and call ATM and buys delta 5 calls and puts. Holds a money market fund from the credit received Edit** 5% OTM

We can all agree that, the SPX IV is systematically overpriced as stated in the comments above. I'm sure we can all agree the SPX has excess Kurtosis. So why does systematically Buying butterfly's on SPX do so poorly? If the answer is drift, would buying just OTM butterflies be profitable...

hmm, I am just reading a paper on the Kritzman's ratio and it is confusing me how this could be rising while the CBOE implied correlation ratio has been falling for the past several years....

Why is single name vol not systematically over priced like index vol is?

Earnings is 1 jump, so you dont need to use a jump model. That being said you have to have a model for this. I can't imagine doing it on experience. To many numbers involved

If the earnings is not confirmed the vol is usually not all there. So the "best" time to buy the vol would be before the earnings is confirmed. That is a whole other discussion all together with different risks

As secret sanata mentioned. The vol ramp is an illusion. The expirations that expire after earnings have 3 "different" vols priced into them. The ambient volatility (volatility leading into the earnings), the event vol or jump and the diffuse vol(the volatility that the stock will experience...

hmm this has me thinking. Some companies (with low earnings) usually move on the revenue surprise, not the earnings and therefor should be grouped by the dispersion of the revneue estimates and not the earnings. Ill share with this group my findings once I get back from the cottage

This makes alot of sense I have noticed that some of the analysts, have not updated there expectations for months while others have been revised. This could be very time consuming to sort through ugh..

Was that the implied jump increased going into earnings or the jump was much higher than expected after earnings?