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tremendously helpful response, thanks! the part about the greeks makes sense, especially the delta.. and you're correct, we aren't trading skew outright, we're adding the directional component and using the skew to create positive expectancies and unique management options.. we've got good...

risk-reward-PROBABILITY... the amount you're risking and the amount you stand to gain are irrelevant without being factored against the probability of success to calculate your expected returns...a spread could have a 90% chance of success, but if you're having to put up $95 to make $100, it's...

i see what you're saying, but what i'm getting at is that if you wanted to buy 100 shares of SPY today, then you're going to be better off selling the put than buying the stock.. if you're monday morning quarterbacking, then sure, you could say "well, i would've been better off waiting"... but...

you don't see an advantage in entering a stock at a lower price? sure, if you get assigned, you're paying more than you would if you bought the shares at that moment... but buying them when you did, when you sold the put, you'd have been paying a higher price than you are now...

there's a variety of reasons skew leans one way or the other... it gets complicated fast... as to the collars, yes.. MMs do it, traders and investors do it, HFTs do it, hedge funds do it... also, it doesn't have to be all collars... some people are buying puts, some people are selling covered...

skew increases as you go OTM.. also, the vol curve flattens the closer you get to expiry so its neutral at the time of expiry.. so the closer to expiry you are the more neutral the skew will be.. if you're trading skew, that mean reversion of the skewed vol curve to the neutral vol curve is...

i dropped a couple but they mighta got overlooked and tbc, the first quote is speaking about trading a bullish debit spread in a stock with positive vol skew

the presumed reason selling puts on indexes works is because the volatility in indexes is skewed to the put side.. people are hedging index longs by selling covered calls and buying puts.. this pushes the price of calls down and the price of puts up.. as a result, the puts are overpriced...

reading back thru what you added in the edit @Same Lazy Element i think what i'm doing is in the same vein you just suggested: using the skew to find an asymmetrical risk-reward profile in my directional assumption.. again, the conversion only occurs after a strong move in my direction.. up to...

i'm not running straddles and my thesis is not wanting to run a fly.. i'm talking about running bull spreads in call skewed stocks then converting to a butterfly/synthetic straddle on a rally.. it's basically conversion/reversal, but using skewness and stock moves instead of the bid-ask spread...

deep in the money

okay, just to make sure i'm understanding what you're putting down: what i'm doing is essentially chasing the same concept - setting up a skewed/positive EV bull trade that i later convert to an arb'd synthetic straddle if it rallies - but you prefer to do it as a risk-reversal because of the...

word! i'm-a extrapolate on that tomorrow.. thanks for taking the time to discuss skew with me.. i learned a lot from some of your earlier posts, especially about reversal and conversion.. i was running a lot of hard collars against long stock in call skew, didn't realize till i read your stuff...

just trying to explain what i was doing, seemed like you thought i was running straddles lol i agree with you there, i tried my hand at legging out of ICs/straddles and it was an exercise in futility haha when you say a bull r/r and convert position to a synthetic straddle, i "think" that's...

that's generally my strat on diagonals.. i use the synthetic ratios more, but i like diags for how adding the time dimension helps negate absorption risk.. i like narrow spreads for the efficiency in skewed vol environments, but i only like em as hedges, not as stand alone trades... that binary...

okay, so i just realized there's a miscommunication... i'm running bull call spreads, not straddles... a 90/35 bull call spread... stock breaches the 35 delta short, that's when i convert to a fly... i'm taking directional trades here if it's negative vol skew then i prefer put ladder spreads...

if i'm understanding you correctly, yes... $10 call spread, cost $4.00, stock breaches short, roll down $2 to collect a credit likely around $1.10, sell eight $1 wide bear spreads at the short strike for $0.50 on the $1, bear spreads cover the initial trade cost, the roll down on the short...

ouch thats painful.. i ate complete shit this past six weeks, i feel the pain, just nowhere near that position size.. eight figure vol trading sounds like a drinking problem waiting to happen lmao i'm mostly synthetic ratios ATM, 90/35 delta bull spreads with 25 delta long puts to create that...

thanks for the reply! ATM is definitely not a bad place to be esp if you're trading vol, why wouldn't you wanna capture that max extrinsic? i need to look more into SPX, just haven't been at a level where i can play in that arena yet i'm not entering narrow ICs to open tho, to clarify.. i'm...

technically since december, so about 5 1/2 months... i say we because i have a trading friend who's been exploring the field with me, helping me map out the strategies and quantify the results... i did exceedingly well till the beginning of april, then i learned some real harsh lessons in how...