Short call is ITM. What are we talking about here? You took a bear-delta position and sold gamma. Please ignore the HV and IV30. What matters it the pre-post vol-line on the options you traded and spot. Obv all vola dropped, but spot rallied $3. You were short some 15D or so. Why would you expect this to work? You can't blindly look at a time skew and throw money at these.
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- Thread starter fxintruder
- Start date
Short call is ITM. What are we talking about here? You took a bear-delta position and sold gamma. Please ignore the HV and IV30. What matters it the pre-post vol-line on the options you traded and spot. Obv all vola dropped, but spot rallied $3. You were short some 15D or so. Why would you expect this to work? You can't blindly look at a time skew and throw money at these.
Actually I don't have any directional view. I just based the trade on oppsing vol through skew and term structure. Do I have to understand that ATM's are better suited for this kind of strategy. Bear with me Iam noob to this but a trader tho.You want is the stock to rally to <= 24 on the print. Do you have that view?
Sorry Drown it's ITM, just wanted to know since the short not being ATM, gamma is less impacting.Short call is ITM. What are we talking about here? You took a bear-delta position and sold gamma. Please ignore the HV and IV30. What matters it the pre-post vol-line on the options you traded and spot.
"Ignore HV/IV but vol-line"? What's the vol line? I have these on the chart. Do you suggest that only ralised vol after and before matters?
Actually I don't have any directional view. I just based the trade on oppsing vol through skew and term structure. Do I have to understand that ATM's are better suited for this kind of strategy. Bear with me Iam noob to this but a trader tho.
What's your view on skew and term structure post the event? What is it now? You can hedge out the delta with stock.
Like Drownpruf said, you can't blindly trade these things. The markets price things pretty efficiently. You have to have a reason why the market is mispricing it.
You right drownpruf I should return to paper trading on this vol things. It seems to me that there are several levels of expertise, like those ignoring the greeks and those talking about sticky spaces and equations. I'll try to filter from now on.You can't blindly look at a time skew and throw money at these.
You right drownpruf I should return to paper trading on this vol things. It seems to me that there are several levels of expertise, like those ignoring the greeks and those talking about sticky spaces and equations. I'll try to filter from now on.
Not happy you lost on your first outing, but try to stay away from earnings unless you're going to trade verts (flies, etc.) well out on the curve. The difference between the NBBO on a lot of these things can be as much at 15bp wide on vola. A lot of the vol-edge is noise and gamma is indeed the culprit. You would need to ratio the legs and you're more likely to be right on the outright (D1) in that case.
Also, the vol crush is fictitious. Implied vols come in when an stock goes ex-Earnings; but that's because the market expects a large move. You have to have the view that the earnings move implied by the implied vol crush is > the actual earnings move.
In this case it was about 10% and the stock moved almost 9% to it's high.
what he said, also be aware to the OP that you can hedge by buying selling stock after hours. A little more complicated but you can lock in profit/loss this way, good trading.
Not happy you lost on your first outing, but try to stay away from earnings unless you're going to trade verts (flies, etc.) well out on the curve. The difference between the NBBO on a lot of these things can be as much at 15bp wide on vola. A lot of the vol-edge is noise and gamma is indeed the culprit. You would need to ratio the legs and you're more likely to be right on the outright (D1) in that case.
Thanks drownpruf Ima read this forum section to know more from guys like you.
Thanks again.
Thanks drownpruf Ima read this forum section to know more from guys like you.
Thanks again.
Most of my stuff on vol is written as "atticus" on ET. There are a lot of good contributors:
sle, newwurldmn, kevin_schmidt, maverick74, martinghoul (on rates), etc.