atticus' "ship it" vol trading journal

[atticus]

Quote from Doobs789:

Liking it. Nov contract should come in. Can get a good price right now.

Yeah, even was easy. It was a dime bid for a short time but closed at even money (mid). Maybe -1.40-60 at some point along the cycle. Very confident in this one. Not much in the up n out skew, but enough to sweeten it.

I am in from +0.02 avg. I'll stop it out at +0.55.

 

[doubleshot]

Got fiiled or some vix r/r at .08 debit--- got filled on equal amount at 0 on close

 

[Doobs789]

Quote from atticus:

Yeah, even was easy. It was a dime bid for a short time but closed at even money (mid). Maybe -1.40-60 at some point along the cycle. Very confident in this one. Not much in the up n out skew, but enough to sweeten it.

I am in from +0.02 avg. I'll stop it out at +0.55.

0.10 on the mid. Some skew in it.

 

[atticus]

Quote from Doobs789:

0.10 on the mid. Some skew in it.

Yeah, Nov went out at 18.00 on futures.

 

[cdcaveman]

Why not long the switch

 

[Doobs789]

Quote from cdcaveman:

Why not long the switch

Which duration? I don't see any edge there.

 

[cdcaveman]

Quote from Doobs789:

Which duration? I don't see any edge there.

Oct/Jan.. ? Jk

 

[Doobs789]

Quote from cdcaveman:

Oct/Jan.. ? Jk

Yeah, would just stick to the R/R. Benefit from the Nov contract coming in.

 

[cdcaveman]

Why has Nov kept such a bid is my question

 

[Doobs789]

Quote from cdcaveman:

Why has Nov kept such a bid is my question

It's been hanging around the 18 level for a few weeks. Could be elevated due to the election which is in that contract month. The takeaway is that it seems too high, as atticus mentioned realized vol should be lower going into the election.