Ranges are larger because of increased news flow, but it should be just as easy to have inside days. Everything scales up.
Destriero's single-name vola journal (riskarb; atticus; et al)
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Maybe will do an Ocho Cinco VX Journal rather than pollute yours...let me see how badly this one gets trolled first haha.
But for the record I have the -May/Jun/-Jul VX Fly at -.69 with short ES hedge.
What does scale have to do with an unknown quantity?
My position is VX FLY
Short May VX
Long 2x June VX
SHort July VX
Net credit of -.69
Another way to look at it is
Long June/May calender (+June/-May) at -.58 (credit)
Short July/June calendar (-Jul/+Jun) at .11 (credit) = Total Credit of -.69
Expecting June/May to flatten out more in the curve than July/June will (FLY hedges slightly versus outright JUNE/MAY position).
I am also short ES in a ratio to the FLY because a rapid sell off tank could hurt the FLY a lot in vol spike (June/May switch goes even more negative as May VX spikes up) and I don't trust political events as you say. Only problem now is ES has spiked up and FLY has not melted down yet so ES hedge has net loss in position.
Looking to close out the FLY at .30 - .35 as APR pulls MAY lower so will hold a few weeks.
Short May VX
Long 2x June VX
SHort July VX
Net credit of -.69
Another way to look at it is
Long June/May calender (+June/-May) at -.58 (credit)
Short July/June calendar (-Jul/+Jun) at .11 (credit) = Total Credit of -.69
Expecting June/May to flatten out more in the curve than July/June will (FLY hedges slightly versus outright JUNE/MAY position).
I am also short ES in a ratio to the FLY because a rapid sell off tank could hurt the FLY a lot in vol spike (June/May switch goes even more negative as May VX spikes up) and I don't trust political events as you say. Only problem now is ES has spiked up and FLY has not melted down yet so ES hedge has net loss in position.
Looking to close out the FLY at .30 - .35 as APR pulls MAY lower so will hold a few weeks.
Yes, was doing it more for those reading along to follow as you detail out the trade.
I chose a ratio of 1:5, Short 1 ES per 5 FLYs because I was kind of nervous of China/U.S. trade war mega sell offs still occurring. usually I have done ratios closer to 1:8 or 1:10 but was pussy-ish. Bad case scenerio for this is market keeps popping higher and vols stay somewhat elevated
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