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For your first question: Why would the breakeven of a straddle be the implied 1SD move from the IV? The expiration breakeven for a straddle is purely determined by the price of the straddle. Say the stock price is 100 and straddle is 20. The expiration breakeven range for the short straddle...

In addition to what's been said, Advanced Equity Derivatives by Sebastian Bossu has some useful information.

this seems like a brag thread, tbh. we're all happy for you that you did well selling index put spreads. the market has been on a rip since the December cataclysm, and as long as it stays that way, your strategy will continue to do well. so pray and hope for the best.

Looks like their API will soon have free options data as well. That would help lower the barrier to entry for retail "quants". Right now all we've got are subpar broker APIs or overpriced BS like CBOE's datashop.

Didn't trade KHC, but a move like that justifies why we get paid risk premium for being short vol through earnings. Also serves as a reminder to always buy wings.

Closed out SYMC for 1.45. Not a great fill, but it's a profit of 0.43 per spread. No other trades for me today.

Most of those got filtered out of my screen because of the spreads and/or the lack of weekly options.

I got filled on the 17.5/21/24.5 iron butterfly on SYMC for 1.88 cr. It's got a ~10% breakeven range. Decided against CVX in the end. The straddle premium on that has gone down since I last posted. The only one that looks cheap today is AMZN, but I'm not trading that.

Forgot to post yesterday - Went short vol on GE,X,MO,IP (butterfly) and NOC (put calendar). Closed all now. Wins on IP, NOC, losses on the rest. NOC was a big winner (made about 70% on that trade). Put me overall up on the day. Turns out I closed X and MO too soon, as they came back quite a bit...

Closed all. Took losses on T, ANTM,TROW. Gains on HES,MCD. Overall down for the day.

I might be interested. Let's discuss over PM.

I've been following this journal for the last few weeks. Some great content on here. Thought I'd pitch in myself. The entire thing is written on Python. I source data from an unofficial Robinhood API. Only the option prices (can't trust RH on the greeks, etc.). It's great because I can compute...

I am short vol on T (ATM butterfly), MCD, TROW, ANTM, HES (ATM calendars):

The straddle is smallest at the money, so this should work: strikes[which.min(calls + puts)]

SPX is down 14% from ATH, but the VIX has barely got going. Based on VIX's historic beta relative to SPX, this should be above 30 now, at least. What's going on here?

just to add a dose of realism to this thread:

Yes, a 3SD move would be 100*exp(+/- 0.6), which is 54 and 182. The tastytrade numbers are clearly off here. That's because they're assuming the prices are normally distributed. But otherwise their logic seems right.

The difference between normal and log normal only becomes apparent for larger IVs. For 20% IV the actual 1 SD implied move would be 100*exp(-0.2) = 81 and 100*exp(0.2) = 122. That's fairly close to what you have. The approximation works because the first order Taylor expansion for exp(x) is 1 +...

Could argue that if vol doesn't behave as expected that's a warning sign. VIX rising prior to the Feb 5 crash was a tip off to traders who were paying attention. A model could help set a baseline for what's expected.

Could you explain why this would be overhedging? For instance, suppose I have a 50 delta VXX short. I want to hedge this with an SPX short position. Using the last 100 days of data, VXX has a beta of around -4 vs SPX. So, in order to hedge, I'd open a short position in SPX with -200 deltas. This...