Calendar secrets :-)

[ffs1001]

So you made $19 per on a four lot? Nice.

Most ppl that discuss the vol-switch are referring to moves in the index-surface and are pricing the risk-reversal. I don't think for a second you know why you made $0.19 on your FDX calendar. Does it matter?

You bot it because you thought it would pin to 210 by the end of the week and gains to g/t. Mkt moved lower but (global) vols gained so you booked it same day.

This has nothing to do with your vol-switch argument.

Wow, you are incredible dude - not only are you one of the greatest calendar traders on the earth (haha), but you can also magically read my mind from across the Atlantic and figure out what my rational for the trade was. And.....and.....simultaneously, you can talk complex bollox without limitation. Wow, we are truly blessed.

This has nothing to do with your vol-switch argument.

What vol-switch argument? Who said anything about vol-switch? You did. And only you. I've never mentioned that in any of my posts. I care less about the vol-switch than I do about what opinion you have of other peoples trades.

 

[destriero]

Wow, you are incredible dude - not only are you one of the greatest calendar traders on the earth (haha), but you can also magically read my mind from across the Atlantic and figure out what my rational for the trade was. And.....and.....simultaneously, you can talk complex bollox without limitation. Wow, we are truly blessed.



What vol-switch argument? Who said anything about vol-switch? You did. And only you. I've never mentioned that in any of my posts. I care less about the vol-switch than I do about what opinion you have of other peoples trades.

You're lying to yourself. That's exactly why you bought the calendar.

The vol-switch is the voldiff between two x-series (tenors) and not the y-series (vertical/strips). It's your argument.

 

[ffs1001]

Regarding the index vol-switch in cheap stuff (deep OTM). You buy a calendar at an edge of say three handles (b23 x s26). The problem is that ATM is 20. You're explicitly long strips under the mkt. Mkt rallies, strips fall. On paper your skew helps as your fixed strike vols are rising to skew, but paid in gamma.

IOW you're losing even though you're right on strike vol. You're exchanging strips for skew and strips always win. As the mkt trades away the value of those puts in notional decreases due to moneyness. So you're right on vol (SKEW) and lose money bc the market is trading away.

If you can't find the mark at the table... you are the mark.

You see....to normal people, this reads like....

"Regarding.....blah blah blah.......mark".


You buy a calendar at an edge of say three handles (b23 x s26)

That's a diagonal you fool, not a calendar.

 

[destriero]

You see....to normal people, this reads like....

"Regarding.....blah blah blah.......mark".


You buy a calendar at an edge of say three handles (b23 x s26)

That's a diagonal you fool, not a calendar.

I am not referring to a strike. Those are vols."Edge of three handles." 26-23=3. We're discussing the vol-diff. It's implicitly a discussion of calendars which are same strike.

 

[ffs1001]

Do you actually just make up your own words, just cos you think you're special?

vol-switch = just say "vol diff", FFS.

strips - just say "vertical", like everyone else.

I've long ago stopped even trying to decipher the nonsense you write.
The juice is not worth the squeeze, as they say.

 

[destriero]

You have witnessed a homicide. Your nick was just murdered. You should take the deal and enter witness protection.

 

[destriero]

Before I leave this wonderful thread. The time fly was a better trade with long wings in the back and short body in the front. Much better gamma/dgamma position. Meaning, much greater return on the cash-requirement.

This is what you want.

 

[rb7]

Do you actually just make up your own words, just cos you think you're special?

vol-switch = just say "vol diff", FFS.

strips - just say "vertical", like everyone else.

I've long ago stopped even trying to decipher the nonsense you write.
The juice is not worth the squeeze, as they say.

FWIW, he's just using the standard words used in the industry.

 

[ffs1001]

Before I leave this wonderful thread. The time fly was a better trade with long wings in the back and short body in the front. Much better gamma/dgamma position. Meaning, much greater return on the cash-requirement.

You are probably one of the best Hindsight traders in the world. Incredible! Pls tell me what other trades would have been great, with the benefit of being able to see what happened in the markets. Oh...let me see.....do you recommend that I should have bought long Puts in the SPX on Mon evening because the market fell -4.5% on Tue?!


Please don't leave....oh please, Desty.....pls stay. I was really enjoying this repartee.

Okay, go on then, go and waste someone else's time.

 

[tooriginal]

So you made $19 per on a four lot? Nice.

Most ppl that discuss the vol-switch are referring to moves in the index-surface and are pricing the risk-reversal. I don't think for a second you know why you made $0.19 on your FDX calendar. Does it matter?

You bot it because you thought it would pin to 210 by the end of the week and gains to g/t. Mkt moved lower but (global) vols gained so you booked it same day. This has nothing to do with your vol-switch argument.

FDX calendars jumped for the same reason that market wide calendars jumped post CPI print. But FDX calendars actually reversed back to their levels on the 8th before hand so unless the market prices in an earnings move larger than the 7.1% earnings straddle relative value at the time of entry, the calendar relative value should continue its march upward. The trade would have made sense on the index from a vol standpoint only but you'd have lost on gamma in hindsight. With the generous IV of the earnings contracts coupled with the relative value reversal undoing several days of theta, the FDX calendars had more edge than the index equivalents.