convexx's "hitting bids and lifting offers" ETF options

[convexx]

Long 5% in the SPY Oct24 180C from 7.12 mid marked. Will account for microstructure. In the car.

Up to 7%. 7.46 FV here.

 

[convexx]

Risk in VIX. I have a tenet to never sell upside calls in VIX... and here I am. VXX Nov serial 10/30/40 132 in calls. 8.65 to the buy. Logic is a drop in vola after the big reports after the close. Gain to delta, vola, var and corr. That's how it's supposed to work, anyway.

7% allo.

This thing drifts beautifully on the upside, but a bit of a balancing act. basically selling a delimited backspread at edge. New regime on vola, so 18 is not in the cards. But if we break 18 we're going to *9*. yes... 9 VIX. 102 eurodollars and a -1 figure on LIBOR. Downside is that's it's NovEx. No weeklies unless you use that VXX garbage.

It's sleepy. I won't even quote it unless we sh*t the bed.

 

[jj90]

I played this poorly.....New regime on vola, so 18 is not in the cards....

I got you beat. Would you believe on Oct 9 at the close I was short financials and tech and covered Monday on the open for a stratch only to go long ES and SVXY and was up on marks 2% of port by 2pm on both Mon and Tues? Only than to have it reverse and lose ~1.5% in the last hr both days. Like yourself I was looking for the follow thru after the close on Weds and up 4% of port on marks evaporated today.

Yeah, I don't see 18VIX either immediately without SPX going lower 1st. If this was the same regime since 2012 (V bottom), we would have rallied 20-30 points today off the close yesterday and seeing cash SPX print 1890 by now.

Don't mean to hijack but what a mkt, def a game changer. Money comes and goes.

 

[convexx]

I've been trading exotics (not retail stuff) for almost a year exclusively now and it's such a frenetic market that I realize that these vanilla durations are gamma swaps. It's absurd to be trading the weeklies with VIX above 20. I can't trade vanilla in the same manner that I approach the exotics, even the longer-duration KOs that I tend to prefer.

 

[convexx]

NDX Nov21 3625/3760/4000 put 132 long. 74.00 buys. 14.8% allocation. It's 72 mid as I type this, so 74.50 is doable.

 

[convexx]

Out SPX and SPY hedge. + 1.88% on hedge. -2.51% on primaries.

 

[convexx]

NDX Nov21 3625/3760/4000 put 132 long. 74.00 buys. 14.8% allocation. It's 72 mid as I type this, so 74.50 is doable.

Definitely doable. Wing risk-reversal vol at 500bp. Factoring -260bp across all strikes on the hold. No model on the downside due to delta pos.

 

[volente_00]

1900 spx touch still in play
My models show Es trading 1830-1908 in the same timeframe

Where's the faith ?

 

[convexx]

Where's the faith ?

Sure, but that range was outside the area under the curve on the neutral straddle. What would have happened had you shorted the combo and traded to 1820 (which we did)?

 

[convexx]

18.00 buys one NQ per $100K

Typo in position. It's the 3625/3750/4000P 231