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It's an arb if you can store physical :)

I like that trade (not my mandate/AC, obviously). I'd sell a bit further out, like next month. Roll-down along the curve is in it's favor big time and it takes advantage of the bear trend.

Aaron is top notch and his wisdom is as good as it comes.

As opposed to read nothing, know nothing but have a loud opinion about everything. "Dude, do you even trade?"

It's actually pretty simple. Auction market is supposed to help determine where the final price will be with high probability. Since there is a clean, non-parametric way to get an implied price distribution from option prices, it's only natural to use them. Implied volatility, which is highly...

What the fuck is that supposed to mean?

Most large PBs would kick back the borrow fee. If I was in the retail world, I'd be more inclined to trade option combos to lock the borrow in.

A lot of time the stock borrow fees on levered ETFs are so high that they will compensate you for the variance decay (it is pretty easy to calculate the underlying variance implied in the borrow). If the borrow looks rich, you are bullish on the underlying and you have an account with a proper...

A quick survey :) Two hypothetical situations. (1) You find a wallet in the street. No documents, but it has some cash, about your monthly income. What do you do? (a) go buy yourself something nice (b) put it in your retirement/savings account (2) You win a lottery with a ticket you got as a...

Unless you are a market maker, what exactly do you need these for? Given that most of the price movement is due to delta, all you really get is quick-turnover layers of HFMM orders.

Really, dude? You'd pay 500 a month for some really dubious advice? PS. Note to self - I wanna be the guy providing these services

If you have such a good call on major asset volatility, you should be managing serious money. It is a very difficult game and I honestly don't know anyone who does it consistently.

Of course, as optioncoach says, if this was an objective process, there would be no market. Whatever objective methods there are (things like IV in RV distribution, IV vs IV_SPX*BETA etc), they are known and MMs use them already. You can come up with something better - hard but possible...

Danish Proverb: Det er vanskeligt at spaa, især naar det gælder Fremtiden. English: It is difficult to make predictions, especially about the future. However, if nobody was willing to make predictions, there would be no market period :)

You can do it fairly well using a combination of backward-looking analysis (historical volatility, history of events) and forward-looking analysis (is the world better/worse now, is this even drastically different from previous ones etc). The less en vogue is your underlying, the less people...

do the tests - historical data is on the CBOE website :)

marsman, this might be the edge you are looking for, if you can handle the hours...

The real question is - are you trading gamma (so actively delta hedging and paying/collecting theta) or vega (still delta hedging, but in long dated options where gamma is theta/gamma is negligible). Those are two very different trades - in the first case you are predicting realized volatility...

Point taken. Plus, I am having an unpleasant day (unrelated to trading) and definitely overreacted. Anyways, I am trying to say that big flows in long-dated options (for example, on the back of structured products or corporate issuance) definitely give you a signal, but the problem is how to...

Seriously, did you even read what I wrote? -- To impute anything from flows in volatility, you'd look at order flow and transactions in terms of vega (or root-time vega, which is even better). Synthetics or any delta trades will not factor into such an analysis. -- Trust me, when SocGen issues...