atticus' "ship it" vol trading journal

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Quote from atticus:

That if variance is low then the puts can suffer as well, even under the convergence of Nov to the lower cash number.

SPX falls, vol/var(usually) up, VIX up. Smile more pronounced. Skew mitigated slightly by stickiness (as 20-strike becomes ATM/ITM).

A lot of moving parts in reality, but not an issue for a quick flip of a few days. I'd wish I'd held it here and would've been better off selling Nov outright.
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got it thanks. :)
 
Quote from sellindexvol66:

i hope u unloaded the long nov fut...not far off right now too.
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Yea, sorry closed it at the time of the R/R. I didn't mark it as it was a small hedge. Resulted in $0.04 off the R/R gains.
 
Quote from atticus:

That if variance is low then the puts can suffer as well, even under the convergence of Nov to the lower cash number. Var is actually fairly high as we're rally big numbers. We're now ITM which results in peak gamma.

SPX falls, vol/var(usually) up, VIX up. Smile more pronounced. Skew mitigated slightly by stickiness (as 20-strike becomes ATM/ITM).

A lot of moving parts in reality, but not an issue for a quick flip of a few days. I'd wish I'd held it here and would've been better off selling Nov outright.
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Holding out of sheer curiosity. Not a big position, so no biggie if it falls apart, just want to see how it all acts. I did sell the 15 puts, btw.
 
Quote from atticus:

lol thanks.

rumk5x.png
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Up 0.50 so far.
 
Quote from trefoil:

Holding out of sheer curiosity. Not a big position, so no biggie if it falls apart, just want to see how it all acts. I did sell the 15 puts, btw.
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It's at max gamma so you're see some MTM volatility in the position here IF you were still holding the puts.
 
Quote from cdcaveman:

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
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interesting to me.. it was like i had the timing perfectly.. i exited at 2.60 exactly right before the move... that 640/660/685 worked out great if i would have just held one more day... coulda woulda shoulda.. i don't feel bad about it.. shit happens..
 
Quote from atticus:

It's at max gamma so you're see some MTM volatility in the position here IF you were still holding the puts.
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Yeah still holding them. Mostly I want to observe that behavior, as I've never actually been long puts on the VIX. No better way to find out what you're dealing with than to be in them. The frequency distribution of the VIX is Pareto-like, and given that I'd like to see what happens as the VIX moves around with these options. I wonder how the mm's model these things.
 
Quote from trefoil:

Yeah still holding them. Mostly I want to observe that behavior, as I've never actually been long puts on the VIX. No better way to find out what you're dealing with than to be in them. The frequency distribution of the VIX is Pareto-like, and given that I'd like to see what happens as the VIX moves around with these options. I wonder how the mm's model these things.
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same +1 i wonder how they price them to
 
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