atticus' "ship it" vol trading journal

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Quote from atticus:

Yeah, it's just ok, IMO. I can't get too excited about a Dec spread in Oct. I have some deep duration stuff but I don't even look at it unless vol drops a ton in a week. The symmetric fly is $0.80 mid (14/17/20) which is meh.. You're not going to see gains quickly if vol collapses as you're asym (BWB) here, but it's how I would structure it as you don't want the upside risk to the debit.

Nov and Dec vols are not great. The neutral Nov fly looks terrible here, so I would probably avoid this one.
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i would assume that you know .. i'm not trading vix options.. but VIXY options..the etf.. i'm not trading the dec volatility directly like in a risk reversal in the vix options.. i'm leveraging roll cost in my favor.. and i'm breaking the wing so it almost has no cost to me.. even if vol does spike for a while.. the burning due to roll cost could still eventually put the fly in favor

<a target='_blank' title='ImageShack - Image And Video Hosting' href='http://imageshack.us/photo/my-images/7/vixyvsvix.png/'><img src='http://imageshack.us/a/img7/2579/vixyvsvix.png' border='0'/></a><br>Uploaded with <a target='_blank' href='http://imageshack.us'>ImageShack.us</a>
 
Quote from atticus:

Out of the calendar at 16.60 (journal trade, 16.72 mid) and into the 15/25/35/45 condor (short gamma) at 3.75 risk. All in.
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F me. I am out of the condor at a dime gain and in the 615/635/655 put fly at 8.00 (7.85 mid). All in, journal position. Too much upside here to be neutral to 30. No meaningful change in perf. as the comms ate the gain.
 
Quote from atticus:

F me. I am out of the condor at a dime gain and in the 615/635/655 put fly at 8.00 (7.85 mid). All in, journal position. Too much upside here to be neutral to 30. No meaningful change in perf. as the comms ate the gain.
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Yeah I flipped on delta. Killed the condor, added to the 640 fly.
 
Quote from cdcaveman:

i would assume that you know .. i'm not trading vix options.. but VIXY options..the etf.. i'm not trading the dec volatility directly like in a risk reversal in the vix options.. i'm leveraging roll cost in my favor.. and i'm breaking the wing so it almost has no cost to me.. even if vol does spike for a while.. the burning due to roll cost could still eventually put the fly in favor

<a target='_blank' title='ImageShack - Image And Video Hosting' href='http://imageshack.us/photo/my-images/7/vixyvsvix.png/'><img src='http://imageshack.us/a/img7/2579/vixyvsvix.png' border='0'/></a><br>Uploaded with <a target='_blank' href='http://imageshack.us'>ImageShack.us</a>
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VIXY is thirty cents over Dec and 105 over Nov. Sure, there is a edge to the roll, and it's just enough to convince one to get stupid big in the trade. My point is that you're not the first to think about it and it's a pretty crowded trade.
 
680/700/730 and the 640/660/685 i'm out of .. total cost 6.02 out at 2.60....sold for a 3.42 cent loss.. still in the 630/645/665 in other account... which looks good here..

realize.. i only talking 1 of each of these.. this isn't ship it trading.. hah
 
Quote from atticus:

VIXY is thirty cents over Dec and 105 over Nov. Sure, there is a edge to the roll, and it's just enough to convince one to get stupid big in the trade. My point is that you're not the first to think about it and it's a pretty crowded trade.
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i never claimed to be original... i've got some more original stuff i can show you though ;) haha.. how are you putting the math together to get to vixy is trading at a premium to dec.. ... how are you mathing that up? your still speculating that the term structure won't change in whatever your math is.. i'd love to know the math... roll cost is changing thing..
 
Quote from IV_Trader:

ATM is at 3.03 , vola is close to 50 . My cost is 2.75 by now.
I will update on the report date
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fantastic action on both vola and scalps...almost ready to exit
 
Quote from IV_Trader:

fantastic action on both vola and scalps...almost ready to exit
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I'd love to be able to remember what everyone is referring to instead of going back through the thread to figure it out..
 
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