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Are these earnings/news play? What is the duration?

@destriero what is your work flow? Calculate the swaps in excel or something and then model in TOS?

Because you had a bias to the upside?

How does the third expiration play it's part?

It requires three expirations, interesting! I will be following closely.

When did you start this position?

Wow. Excellent results. Assuming that you are banking in on the realized volatility due to news, when do you put it in and when do you take it out? Thanks.

I see what you mean. Very helpful. Thanks you.

Thank you both for the explanation. Learnt something new.

Pardon my ignorance; but what do you mean by "COB"? Also reverse engineered by whom, the brokerage? I am also intrigued by the number of strikes by looking at your screenshots. My rudimentary readings into swaps suggest that you need a lot of strikes. You seem to be managing to structure them...

Thanks for the clarification.

That is very impressive. I need to learn about BP effect under PM. Regarding the following excerpt from Eifert's text that you posted, a short position in one market and an opposite long position in another market that allows you to generate returns based on how those values move relative to...

Sorry. I think I realized what is happening as soon as I posted that question. BP is not additive.

@destriero this thread inspired me to investigate variance swap. Thanks for inspiring us. Quick question. Why is PM account required? Without knowing much about modeling swaps, aren't you long a swap and short another one?

This one post is like a roadmap for a beginner. Thank you for your generosity and time, especially during your vacation. I am sure I'll come back with more questions. Kudos to your system's success on the YTD performance. Thanks.

I have started to read your journal. This topic fascinates me. Which book by Howard Bandy do you suggest? I found a few on Amazon. Also, how did your system do for the month of January? It was one hell of a ride so far. Thanks.

When you say short term, how many days/weeks are you talking about? I am playing with similar strategies inspired by destriero. Seems to me 40-50 DTE allows you to do some adjustments if your initial directional bet goes south by a lot.

Thanks a lot @destriero. Had to ponder on it a while. But it was well worth it. I guess, LVLD is more like a direction. With delta being hedged, it's mostly a volatility play. Looking down the SPX chain made it all clear. Thanks for the tip on valuation as well. Hats off to you!

I guess I am still no where near being comfortable with this stuff. I have been perplexed by this last sentence "...trade LVLD hedged with spot". If it is already long delta, how is delta 1 going to hedge the position? Or are we supposed to short delta 1? Tried modeling it in TOS. Didn't make...

Thank you. Makes a lot of sense.