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Just Closed GS calendar for .81. ROC = 29%

FLT July/Aug 220 P for 3.95. Filled Current positions. JPM 109 June29/July13 for .55 GS 230 June29/July6 for .63 IBM 145 June29/July6 for .26 MPC 75 July20/27 for .23 VIAB July 27/Aug 17 30 P for .34. FB July27/Aug 17 205P for 1.80 FLT July/Aug 220 P for 3.95

VIAB July 27/Aug 17 30 P for .34. Filled FB July27/Aug 17 205P for 1.80 Filled

No. Shorting the VX is a play on forward vol. Thanks for your contribution tho

Theres an Short vol delta hedged ETN "XIVH". If you look at their graph tho they clearly were over levereged in febuary. I don't want a product like that.

I am looking for a product that can replicate a variance swap. I want to trade realized vol vs implied vol for a given term. I can do this by selling a straddle on ES/SPX and delta hedging but that is to costly and my PnL will have a large variance. Trading VIX is just a play on forward vol so...

Take it easy on me here. I can not see the edge in trading a stand alone fly. Yes you are short gamma (usually overpriced), but to realize over priced gamma you need to delta hedge. Flys get directional very quickly. Vega is very low on flies and so a decrease in vol will usually not compensate...

I look forward to seeing how you manage this amzn trade. I am keeping an eye on it. Good luck with that trade. When you look for a stock to pin, does Open interest play a role? Or do you like looking at support/resistance

Closed UPS for 1.57 (scratch) Vol came in but spread widened and I got and could not get a fill above 1.60. No calendar trades today working on some spread sheets to help me find trading ideas quicker

The amzn fly is not very wide compared to its average daily move. Maybe our deffinitions of wide are different. Again, thank you for sharing Des

How wide do you like to get on your flies? risk of 1:1, 2:1...? I understand short gamma is a +ev trade BUT buying the wings is a -ev trade so does it not cancel out?

This is long correlation/ short dispersion. If you want to be long dispersion you do the opposite. Long the street vol and short the index vol. You should vega weight them if you are doing dispersion/correlation trading. IMHO.

Hey Beer, Even if FDX does have a big beat/miss that would actually increase the earnings expiration of UPS even more ( UPS would most likely follow suit and therefore vol needs to increase). So I think it's a win win. Anyways we shall see tomorrow :D

FWIW NFLX June 29 385/405/425 Butterfly is another trade I have put on today for 5.95. Flat skew 40.1% vol locked in. I think this is a +EV play. Vol could come in as much as 15% over the next few days. There is a trade I can't seem to get out of. Maybe you guys can throw me some Ideas. I am...

Hey everyone here is a great trade I have found. UPS 115P JUNE 29/JULY 27. For 1.54. Reason FDX has there earnings out tn so it makes sense for the IV in front month of UPS to go up. However It has the same vol as the earnings next month. Tomorrow we should see UPS front JUNE 29 go from 24%...

Yes I am using black Scholes. There is a thread I started on calculating earnings vol. Google "Jump vol elite trader"

Ill keep you posted

What do you mean by pretty tight? I am using some of your methodology for these trades. (Comparing IV with forward vol). I can send you R code if interested on how I value them. I clear with IB. My transaction costs vary. Im averaging .37 a contract (providing liquidity and getting a rebate). I...

I am going to start a calendar ONLY journal. Most will be a 1:1 long calendar. The strategy will be finding value in the term structure. Calendars are a bet on forward volatility (the future implied vol). I trade almost every day. Returns will be posted daily. I am doing this journal to...

After reading the section on you in the book traders of the new era some of my questions have been answered. You state you are more likely to sell vol if skew is high. But skew decreases as vol increases. Can you elaborate a bit more there?