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I like the trade...but only if you get out right before the FOMC announcement on July 31, which could be a binary event for the entire stock market. Looks like realized vol (a lagging indicator) for BYND has been declining since early July, while IV (at 100%) just up-ticked to its highest level...

Sticky strike vs sticky delta is more product-specific rather than maturity-specific. Also depends on the behavior of the underlying. Not entirely sure the degree of IV stickiness per strike depends on its DTE, something I would need to observe more closely. I think the point I was trying to...

The options on the micros are coming...the CME is no dummy. Their monopoly grows bigger as they start to dominate the retail space.

Also, I think shorter-term skews reflect more what the gamma risk (movement behavior) of the underlying will be like if it were to go to a particular strike rather than the overall IV risk. Whereas the longer-term skews indicate what the market believes the ATM IV (vega risk) will be if it goes...

I have found that the shorter the maturity (time to expiration), the more it's skew and overall IV behaves independently compared to the longer dated curves on the same term structure. The vegas are so small for these options that traders are often are more concerned with the individual tick...

How much market share has the new micro e-minis taken away from the popular SPY, QQQ, and DIA ETFs? The advantages of trading futures over equities are numerous. Wonder why the CME waited so long to go after the lucrative retail sector.

Yes. When put skew is steep and vol is high (a somewhat rare combo but happens), buy 1 put strike, and sell 2 further out put strikes. If vol is low and skew is flat (an even rarer situation), do the opposite, especially if you're bearish (bullish vol)....maybe even sell 1 and buy 3 for same...

If you're bearish, then you probably think vol is going up. Selling a 1 X 2 DN OTM put ratio would make big money if IV is low and it breaks like you think. But like someone mentioned earlier, a flat skew sounds like the ATMs are trading high. A extra wide Butterfly or Iron Butterfly is your...

Thanks for that sage advice. Not as big a fan of the "teenies", but your argument makes sense. Otherwise, I agree with everything you said. I do like getting long when it's getting annihilated, it's always overdone. And I hate chasing to buy it when vol is going up. Nothing worse than racing...

You said you didn't like to own the ATMs, neither do I unless I know we're going to move away from them. Did you always like being short ATMs vs being long the OTMs/wings - long the butterfly at all times? And were you always long OTM calls vs short OTM puts like most SPX groups.

I agree with your first strategy, but I don't want to manage a long gamma position on something I'm not watching every minute of the day. Plus I'm a terrible futures/stock/underlying scalper. I'd like to have something more passive, and not have to fight the time decay everyday. The put and...

Thanks Matt from Orats for doing all the heavy lifting for me, lol. I really appreciate it. Sounds like you guys have a nice back-testing product. Can I use it for other products such as gold, WTI and Brent Crude, grains, treasuries, etc.? If I were to outright just buy VIX futures if they got...

The VIX is getting low again and I'd be looking to get long vol if the cash index got to 10 or below. Not a big fan of inventorying option premium, but what long vol position do you guys think has the highest upside/least downside risk when the VIX gets historically low? Choices: 1. Buy VIX...

I trade a product that has a similar shaped IV curve to the SPX. I don't restrict myself to a fixed or floating skew but instead use an automated curve-fitting algo that generates precise and accurate smiles as fast as every second when there's enough bid/ask market data. Thanks to the algo, I...

Delta hedging is part art and part science. A good easy-to-read book on volatility and delta hedging is Trading Volatility... by Colin Bennett. Continuous delta hedging kills you on commissions. Hedging less often if you're short premium/short gamma, letting your deltas ride more if you're...

How did your algo do during last year's Q4 high vol environment?

Despite its popularity and the many offshoots derivative instruments and ETFs it has spawned, the VIX is really the only game in town when trying to take opinions on volatility as an asset class. Unfortunately, there are surprisingly no good tradeable VIX-like instruments in commodities or...

Although the direction, velocity, and size of move of the underlying completely determine the level of IV of the options I trade, I try to not have a strong opinion on the direction of the market. I would just trade stocks or futures if I wanted to pick direction. I'm trying to predict the level...

Even with all that's going on and all the uncertainty, we're stuck in a relatively low volatility environment. The tight bid/asks are great for the retail customer/trader, but awful for vol-scalping market-makers like myself. Although I can put on positions I like without giving up too much...

I don't believe you can. I have also looked into this and found only an untradeable VIX-like index listed by the CBOE. There are no OVX futures or listed ETF, which you usually need to have listed options. The closest thing you could trade if you wanted to speculate on the "volatility of...