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Ah, I see. I rarely read journals here unless I am really bored, but I feel it's the view, the analysis/motivation behind the view and the expression of the view that are interesting. E.g. you'd say "vxx is rich here because the roll-down will persist given the shape of the curve, thus i am...

More importantly, what is the point of not discussing your trades/methodology (without getting into proprietary aspects) and only posting your p&l?

Ha. I drive a 7-year old Honda minivan, my dogs would not fit into any normal car :) On a serious note, your best bet is to go through the following sequence - (a) read a good book on options basics that includes the details of pricing and ituition of volatility. There are a few of them...

In general, there are three "streams" of learning/figuring it out. First of all, you need to understand the complex nature of the product you are going to trade. A good introductory book like Option Trading: Pricing and Volatility Strategies and Techniques by Euan Sinclair or Option...

VIX futures, see here: CFE

The options are priced off the VIX futures curve - the futures are down, the curve is flattening a little.

dunno, man - it's not realising that :) this said, comparables (e.g. FB) have opened higher and drifted down IV-wise.

Delta is not a statistic. It's a model output :)

Ok, how about a simple calculation. He traded the options tied in 10% delta. So, if his net size is 17500 contracts, he is short 1750 combos ($300-$340 million of notional). Let's assume, for simplicity sake that he's not going to change his hedge and just rides the 10% detla (if he's hedging...

Dude, this has NOTHING to do with stats, this is simply understanding the risks/sensetivities of your options position. You, obviously, do not understand the concept of delta and, as a result, do not understand how it relates to P&L. Anyway, on that note I will conclude my participation in...

ok, for the last time - he is short delta against the position. if S&P rallies, his option position will make money and his futures position will lose money. In fact, if the market drops 10% tomorrow, he will make money on his position and if the market gains 0.25% every day (which will take us...

Dude, I did not realize you changed your handle - sorry for snubbing your PMs!

You mean they pin the current level when the vol is really high? Duh... how do they pick the wing strikes?

Yup, i think this was 20ish delta at the time.

Well, while the risk-reward is assymetrical, chances are that the market is going to realize less then 10 in many cases. Also, there are so many call overwriters out there that call vol is frequently cheap. The dealer probably has other sh*t on the books that would help him - maybe he's long...

There is no such thing as "placement of a position", you are making up stuff. My example was to illustrate that you can have flys that are highly directional positions. But of course there is. It is a proper distributional bet where you are buying the part of distribution you see as more...

Dude, it's a delta-neutral trade, it was put up tied by a dealer . He is betting that either implied volatility is going to increase (re-striking of the vol surface as we rally further, additional risk coming to the market etc) or that S&P realises over 10 vol from today to march expiration. If...

Let's take an example - SPX Nov13 1250/1500/1750 put fly. Yeah, that's neutral all right. Some people should think before they start posting shit...

This was traded tied (i.e. delta-neutral, just like the spread today), so no, we don't know what you meant...