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here is what we have been discussing. the implieds are 30d and the realized is 30d forward. These graphs will help you see where you sold vol vs what vol actually realized. any comments on changes?

ok. so for this we are going to assume both options are sold ATM or 100% moneyness, correct? i'll put this together shortly. Also, you want to see the forward 30d vol at the same point in time as the 30d straddle so that you can see if the vol you sold is higher or lower than what was...

I did you a favor since i wasn't being clear before. Here is a graph of implied vs realized vol. For Implied vol i used VIX as a plug and for realized vol I used 20D realized. Spot VIX is the weighted avg 30d forward implied vol. I choose to use 20D realized because 30D forward includes...

i was being slightly sarcastic. i still don't know the tenor you're discussing, and at this point i'm not sure if you do either. I was really going for was the whipsaw effect and you constantly being underhedged during volatile markets, that swag put into real words for me.

ok. it seems you're ready. go put the trade on. i still don't know the tenor

i know that those assumptions are faced by sellers and buyers, that wasn't my point. i still don't know what tenor you're considering and i was only trying to make you aware of the flaw in thinking there is "no jump risk because its 24 hours". it trades 24/7, but you're not there 24/7. and you...

i would suggest running the analysis yourself. you can use spot vix as a place holder for 1month implied vols and then calculate the 30d realized vol and graph the two. you can then look at any time periods you would like (2008, flash crash in 2010, u.s. downgrade 2011, bull market of 2009, etc...

i'm not saying you're the only one losing money, i didn't know your p&l was calculated on a relative basis. ok- es has no jump risk and you're computer is programmed to be hedging your delta continuously with no transaction costs. wake me up when we're back in reality

are you concerned with your gamma? or is this just a hypothetical?

what maturity are we talking here? are you going to be selling jun vol @ 22ish and hope greece doesn't blow up by then, because you know if we realize a 4% move between now and june expiry it will take a lot for you to make up your delta hedged position when ES gaps 4% while you're sleeping...

good trade

I know you know what you're doing. I'll have my chance to enter my trade later in the week when levels are even more attractive to be short this spread and your trade has become profitable. Do you have thoughts on the es rallying 20pts while the euro stayed under 1.26? Did that weight...

The switch did go to .02 and if my memory serves me correct, which i believe it does, i saw a trade go off at 0.00 on friday for a very small amount of time between 4:00-4:05pm, but it closed around 0.10 or 0.15. Quite surprising how quickly it widened back out to >1.25 with little change in...

i'm seeing it go at 1.5, so if i actually did want to take my position i would go somewhere else besides you ;D. if you don't mind prodding; why are you taking that side of the trade? the 20pt es rally into close? -oh, and whats your horizon look like?

just want to make sure my naming convention is right- when you say long, you're basing it off of the further out contract? i.e. long jun/jul means selling jun and buying july? interestingly enough, i was debating taking the opposite side of that *edit, i say debating only because at the...

because, silver is not gold.

i'm interested in taking a look.

i think he meant same directional view, i.e. doesn't mind taking the credit risk of the soverign. haha. *edit- but then again, he shouldn't have named it "risk" position.

oh you're right about the % of total loans. Only about 10-20% of mine are stafford as well, but that is because of the limits the set on how much in stafford I can take. That limit could be dependent on the families financial status. I am pretty well indebted. I have about 60-70k, thankfully...

from my understanding everyone has access to stafford loans. There are limits on the amount you can take for both the subsidized and unsubsidized. i believe the limits are $2500 each, i can check my loans, but i don't think its that important. i don't necessarily think stafford loans are only...