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http://www.ivolatility.com/eda.j

be careful , MO . The January dispersion would of be a huge loser when Index ( I do DIA) and almost every component went the same direction. Three out of four legs ( except of short put on the index) were a losers. In the matter of fact , reverse dispersion is the way to go lately ( two months...

I'm tracking vols and stock's movement around report time for five years now. If anyone would see the results they would of be shocked to find out that vols/ABS % change ratio is the same from qtr to qtr. And all this happened while VIX went from mid 30th to low current levels. But here is why...

I like to meet the vols seller and ask him WHY this trade looked soooo good to him yesterday. straddle was at 90c (on the bid) , that's represents only 3% from the stock's price with 3 1/2 weeks to go . BWT , MSFT did moved 5% just last qtr , I guess some have a short memory .

the JAN 07 vols are down 700bp from top of 36 ; I closed almost all short strangles from yesterday and this morning.

on the other hand , don't belive anything you read if message number is "666" , lol

I am not sure if Risk meant to enter short combo with possible future conversion on the reporting stocks ( and such a movers as ISRG) in this journal. I don't see how the the buying 90-120 hedge will help you from here. The "right" move would of be to buy the stock around 118 in the pre market...

correction , make the loss on MSFT four to five times now (down almost 11%), unreal

BA and AKAM don't have to move 30% for combo's seller to have a catastrophe. Watch the action on MSFT 27.5 straddle today. Who ever sold this "inflated " IV combo , will need to spend three times more money to buy it back. And stock moved only 8% , far away from Katrina analogy.

Now you talking ! Potential high reword with "graceful" exit in case it didn't worked out !

maybe you should just closed it and move on. You do realize that you can lose more than 410$ on this trade , right ? Even if you planing to close all at May expirations

I agree that this game is not easy lately (low vols), but its not dead yet. This quoter was the weakest ever ( for my 5 years) in the vols runs (and availability of reverse calendars) into the reports , but this fact is also created some unbelievable opportunities to go long straddle/strange...

this strategy don't works so well since VIX broke 20th. The average vols on optional stock's universe is about 33 now ; do you really want to short at those levels into report ?

why ? do you have stats on this ?

not at all , also looking at Jan 07. Vols are lower , but the same gain in vega (if vols will collapse). I will probably take small position tomorrow morning , to hot now.

Anyone thinking of shorting AET vols at those levels ? 35-40 strangle looks good .

I see. But regardless how complex are your additional calculations , this is still a three part process: 1. Recalculate greeks on position/portfolio level with changes in stock price( by having auto update/feed of one cell ONLY) 2. Keep auto checking for conditions " ready for adjustments"...

I would be very uncomftable to trust delta adjustments/gamma scalping executions automatically , if you have both calls and puts. But if one of your legs is a stock and all adjustments done by buying (selling) the stock , its a different story. JMO.

Sle , with 14 stocks ( excel row entries) you can do use Cell formula (rather than VBA ; as I understand , you want to stay away from). Complete all your algorithms across one row and then "drag and fill" it for 14 row below. I don't do auto trading , but I do all my calculations this way (...

nice going , CL