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actually while theta does go up, gamma actually goes down...

The delta component would be small. The mtm component dVega/dSpot can put you in sufficient amount of pain, but I assume you are calculating as if you are holding it to expiry.

Wrong side on delta - certainly. "AND IV crush" - not sure about that. Even with the decline in IV, had he played it delta neutral, he probably would have done well enough on gamma to make money. PS. with an options expiration on Friday after the earnings, the right trade would probably have...

These are very different trades that look at very different risks - if you are selling the front VIX vs back VIX, you are an outiright seller of risk (unless you do some risk-neutral ratio). If you are trading gamma vs vega (root time vega flat), you can't say right away if you are a seller or a...

Isn't that always true? Anyway, I am not trying to sell anything here, so the word "easy" is relative, similar to "it's easy to run a marathon, just train for a year and suffer a lot". Here some thoughts, if someone wants to get involved in this sort of stuff: (1) Historical data. You can get...

Actually, I'd disagree here. The consistency in vix term structure dynamics is pretty high and it makes it easy to create beta-neutral trades that leverage on dislocation of the term-strucuture. Not as easy as just punting, but a reasonably-low volatility way to extract alpha.

Stable flys are good ways to generate carry, if you do them risk-neutral. I would think flys are not volatile enough to properly play dislocation of the term structure, but what do I know... True, though risk-weighted curve spreads do show extreme dislocations every once in a while that is...

It's sort-of kind-of the roll-to value, like the spot LIBOR for Eurodollar futures. I would not watch cash VIX the day before expiry, but if you calendar-adust spot vix and the futures, longer-term it's a good enough indicator of the roll down P&L.

VIX near term and VIX far term

given that most of the movement of spot vix is due to the movement of the spot along the skew, you can just buy/sell futures against the delta hedge. Not exactly a "true" riskless arb, though.

well, and it certainly does (special opening quote print minus previous days averages to 9 bps since 2006), but you are pretty exposed during the expiration. I, in general, try to liquidate all of my expiring option/futures the day before cause there is no edge is trying to guess what the...

Words of wisdom, courtesy of my old boss from BT, my he rest in peace: Legging a spread is like spreading your legs - you might get fucked

I think it's you who are being silly. If you have a 5+ Sharpe strategy with good other metrics that scales you can approach any quant fund allocator and get a few bucks to start. This said, through my years in the business the only people I've see that generate real-life returns with Sharpe...

Let me ask you to confirm - are you are generating profits with a Sharpe ratio of 5+ and over 2 profit/mdd ratio on a strategy that appears to be relatively unconstrained capacity-wise? In that case, why are you running an advisory business and not flying private airplanes with playboy models?

How about you do us all a favor and do not talk to ANY of us, at least in the options subsection? It would save a lot of your valuable time and spare myself and the others the embarrassment of being measured against your CFA knowledge base and your MENSA-worthy intellect.

I would take any predictions based on 4 periods with a large brick of salt. If you look at the long-term history history for Dow Jones IA, median realized volatility (1m rolling frame) is approximately 14%. There have been, however, lengthy periods where realized came in half of the median...

hmm, CFA you say? ... you got a stock priced at $20 and a vanilla european call struck at $20 ... the stock pays a scheduled dividend of $1 (as per CFA curriculum) and thus moves down by $1 to 19$ ... what do you think the delta of the call is on the day before div? what is it on the ex-div...

Hmm. Actually, I would say that a fixed strike risk reversal is a cleaner skew position for a variety of reasons (to start, a vs-atm or vs-gs would actually start gaining vol exposure if the market moves upward enough). Anyway, THIS is an interesting question that I'd be happy to argue about.

An approximation is an approximation and if you know where it starts breaking, it's good enough. For example, I would frequently use spot swap rates weighted by duration to find the forward swap rate - I know it's an approximation that might be off by huge amounts on a steep curve, but in most...

Ok, you've convinced us that you are a big swinging dick and that I am actually a teenager posting on ET from my moms house. However, the points I am trying to make for a noob (and I will reiterate them for you): (1) Delta of a vanilla option is a reasonable approximation of probability...