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The answer to this question depends on what your expectation for vol is over the remaining life of the options. If you're trading SPX, 30 points OTM with 1 day to go in a 15% vol market is very different from 30 points OTM with 5 days to go in a 25% vol market. Options are all about time value.

jonny1lot- Just because that is what happens in practice with you does not mean that's how it is for others. EliteTraderNYC- You can delta hedge with other options. In fact this is better anyway since you can neutralize or at least manage higher moment "greeks" (ie vega) with it. This is a...

You could mitigate risk via some type of delta hedging strategy for the condor. This of course is far more difficult in practice than it would seem; however, done right it can really enhance your trading.

Again maybe others have had success with something along those lines. That's a bit too granular for me, so I can't really comment on it.

You're not crazy. Most people describe volatility as being mean-reverting over a fairly clear defined range. There are caveats to this, such as sampling frequency, formula choice, etc. Just recognize that while that's often true, jumps happen. In the last month there has been a dramatic...

Actually I gave back a bit of what was a profitable day for me on that move. Note that I said nothing about P&L before. My point was that the move itself was not unreasonable based on current market conditions. I make no prediction about direction, and while I have to make some judgment call...

That size move is just about in-line with what you'd expect in a ~30% realized vol market over 1 hour. I think you may be creating a story that isn't there.

With VVIX hitting all-time highs, I believe the market is saying it really could go either way here. VIX closed around ~40 today. One month from today, realized vol could have come in at 50, 60, 70+ no sweat. In that subset of scenarios, the options are still cheap. Or...we could be about...

If I'm not mistaken, index skew should be expected to flatten during severe declines/market panic. It's the convexity effect. The overall vol level is repriced dramatically higher. Think how the distribution of gamma changes with vol. Low vol = thin high peak near the money dropping off...

cdcaveman- Wouldn't this be extremely dangerous? Maybe I'm wrong but to me it looks like this spread would leave you short vol-of-vol since you're short two and long one. You're basically shorting the tails of the distribution.

This has basically come down to a debate of whether or not to calibrate to market prices.

Ok you do realize though that if someone is delta hedging a position, and they are calculating that delta with Black-Scholes, they are implicitly pricing with Black-Scholes.... Hedging and pricing are essentially the same thing in vol trading. The entire continuous time Black-Scholes model is...

rmorse- I believe this model is popular for American equity options, particularly for addressing dividend issues. I'm not saying there aren't other models out there, many of which are also used heavily in practice. My point was that discounting Black-Scholes as completely worthless is a silly...

Thanks for giving us such powerful, new information. Yes, Black-Scholes is a MODEL (who knew?). Yes, empirical evidence shows it's assumptions are violated. But if it's such a piece of junk, why has it stood the test of time? Why is it still being used today by plenty of very smart people...

I don't trade a lot of condors, but depending on strike spacing and width wouldn't skew play a big part in the net premium you bring in as opposed to the level of vol?

I'd like to hear people weigh in on how they view the VIX used in a context of trading volatility. Useful? If so, how? I personally think it's a great data point to use within a larger analytical framework of determining a vol forecast. Thoughts?

"For SPX options, there is a function, say g(VIX,Price,Strike,DTE,PUT or CALL) that will return an "IV" number within 50% of the true "IV" number given the Strike is in the 20-80 delta range." ***BANGING MY HEAD AGAINST THE TABLE*** Dude....your map g is NOT a function...as newwurldmn...

The VIX value is a discrete approximation of integrating the implied risk-neutral distribution. It incorporates the entire option chain. It is not a point on the surface. What are you trying to do?

Maverick: I agree with you. As this was a gamma scalping thread, I meant to buy the calls and then trade them neutral to isolate the vol. But the original discussion was about buying ATM calls and hedging with stock. Yes, I agree, I like to spread options against options in a delta neutral...

Got it. Thanks for clarifying.