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I am surprised that, out of all people here, you find this entertaining enough to start a sarcastic thread.

If you have a reasonably dense and liquid option chain, you can imply a probability distribution directly from the option prices. Obviously, the CAB/tick wings will look out of wack, but you should ignore them anyway. It makes for an interesting (and very educational excerise) to compare implied...

Are you implying that after large moves in index (market), you would want to be long dispersion? That is, you would be better off owning single stock gamma and selling index gamma against it?

Really? Do you actually see signs of any of this? I especially would like to see "interest rates skyrocket" over the past few years :P Can I deposit some money at "skyrockted rates", please?

In the idiosyncratic world (e.g. single stocks), the above almost always true. In the beta world (e.g. index or bond futures), realized vol is a good predictor of future realized vol. Also, in cases of extreme macro events like 2008 and 2011, even after the move, a lot was hinging on the...

When short-dated vols are high, it does not nessesarily mean that they are cheap. You can get some serious moves and be protected well by shorting vega against it. Since I am bored senseless today, let me elaborate. The conventional volarb wisdome goes along these lines. When implied vols...

It's a tricky issue. On one side, when vols are as elevated as they were during the '08 or '11, there are a lot of opportunities. On the other side, pure convexity selling might be a poor choice, even to the upside. Short high-strike vega, long ATM gamma is, in my view, the right trade in this...

actually, the biggest 1-day move in the past 10 years has been to the upside: max 11.58% 13-Oct-08 min -9.04% 15-Oct-08 Experience shows (personal and otherwise) that volatile moves to the upside are more painful for variety of reasons.

I will give you a hint - "You must be of non-Christian faith!" :D

Option trading is like that, you're can chose a slow bleed or a bullet to the head. Daily losses are hard to remember, though rememer having some pretty serious gyrations in both the fall of '08 and August '11. Like one day I'd be up 5-10 and next day will give 5-7 back - all worked out well at...

Yet another great product from CBOE! "flores para los muertos!"

(a) I suspect that unlike most posters in this thread, a larger chunk of my income falls into the upper bracket (b) I have to admit paying taxes is pretty painful and once I am done with federal+state+city it certainly feels like I am a minority shareholder in my own life (c) I would not...

I was gonna post the one from BarCap, but it has the same content.

Over 45 degree incline, obviously. Less then 45 degrees is slow incline. Over 90 degrees is instant incline. Pretty clear to me.

I am talking general terms here, just a generic idea that you can play relative value within the curve fairly well and hedge out sources of variance. As for the 1 vs 6 (or about), actually both directions have worked for me past year. It's like gamma vs vega - in some cases you want to be long...

Mav is right (there, I said it :) ), you need to do a little basic research on how VIX futures and VIX options work first. There is a very nice primer about VIX futures and options from one of the dealers, I will try to post it here tomorrow.

I was merely responding to absolute-sounding statements that Aug VIX futures can not be a good hedge to a short position in the front (in either other VIX structures or in non-VIX vol). The OP should, obviously, do his own homework and I sure hope he does it regardless of what month he's gonna...

Not to be a dick here, but a simple historical analysis will show you that there is a stable (more or less, depending on the sophistication of your model) hedge ratio between all futures in the VIX term structure. So yes, you can hedge 1-month vol with 6 month vol and capture relative value this...

"LOL"? Seriously? If you have a good reason to be short the front you can hedge it with the longer-dated futures (options) in the right hedge ratio.

Disagree completely. Most of variance of the VIX futures curve comes from the correlated moves in the same direction. The only difference is that when the back is far less volatile and thus will move less, but it will still move in the same direction. Backwardation based on inversion (that is, a...