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Unexpected news can trigger fast moves esp. in liquid markets which are affected by world news 24/5. I think this is something that currencies and SP futures have in common as some of the most liquid markets in the world, so its not too surprising that they share this.

The issue here is getting historic daily option prices. Any sources?

In the above I actually meant to write SPY not SPX (which is perhaps the simpler approach), but your point is well taken with regard to forward pricing. In general, for a unit costing 2.00 expiring in the next month, I would like to plot the chaining strike price over time.

Robert, thanks for the reply and no, what I'm looking for is much simpler: I would like to visually see how far from the spot price I would have to sell the option in order to receive a 2.00 credit. This could then be plotted against the SPX spot on the same chart. The option price here would...

I am looking for software that, given a fixed price for an option (say SPX Puts costing 2.00) will plot the corresponding strike prices for this option over time (preferably on the same chart with the SPX stop price).

Would this depend on the current vol levels? ie. where VIX is currently at?

Could an experienced options trade comment on the following strategy: - Selling OTM PUTs (but not deep OTM units) on SPX/SPY for a credit - Buying deep OTM units (teenies) to hedge against a large and sudden move in the SP500 that one cannot react to, ie. adjust the short Put positions. In...

What is interesting is that their fund was already down -4.74% in January. For those trading at the time, were to crack in the short vol trade already starting to show?

Which is why I am wondering why they apparently chose this approach...

I do not think that anybody here would argue that similar events haven't occurred before. It would also appear that LJM was as leveraged in 2008 as in 2018. It would need to be in order to profit from the tiny option premium offered by OTM options. Also, if you look at the LJM profit chart I...

Right, the profit curve curves up over time, however it does seem that this is what LJM betting on for protection, or?

As of Jan 31, 2018 LJM had the following Put positions: - short Puts from 2,160 - 2,680 (~46 mill) - long Puts from 2,665 - 2,805 (~22 mill) (https://www.sec.gov/Archives/edgar/data/1552947/000158064218001814/ljmnq.htm) So it appears they were hedging with a classic 2:1 ratio put spread. But...

Any idea as it why only OTM puts were bid up? This points to a more technical/systemic issue rather than a move driven by fear that would take place across the skew, or?

1. Do you mean that the low vol. environment should have been a warning to them that a high vol event was more likely to occur? 2. I'm still not sure I understand why their fund did not survive the Feb 2018 event but survived past high-vol events. The article attributes repricing of the short...

Thanks for this article. So, in short, selling deep OTM options without leverage is not viable (ie. too little income), and these options repriced in Feb 2018 to a level that nobody ever expected, leading to margin calls? I guess this entire fiasco points to the fact that OTM Puts might not be...

Same. sle if you could elaborate for those who are not as familiar with the options space...

Perhaps some of the more experienced option trades could answer the following: I still do not understand how LJM could lose so much in Feb 2018, when it survived Aug 2015, Summer 2011, Oct 2008, etc.? Not only did it survive these previous events, the fund's returns all for those years was...

How about a reliable return of 40% on max 5 mill with the options strategies you mentioned? Is this in the realm of what is possible?

I know what you mean. :) Btw, what is the average duration between when you are filled and when the 'bubble' occurs? In other words how long to you have to wait until the position starts turning a profit? There may be ways around simply migrating to high priced issues.

If I understand correctly, you accumulate a position over a period of time as the stock starts selling off so you can maximize liquidity for your long positions? (i.e. you start scaling in as everyone else starts bailing on long position) JT