Dispersion trade "idea"

I

IV_Trader

Instead of opening position every month, make only one trade per qtr on monthly expiration with a lot of reporting, like AUG is now

Paying higher index/basked IV ration but also getting help with further rise in IV on components. And possible large stocks move, but with a tradeoff is crashing vols

Any thought?
 
sure, buying components and selling index. I was not sure if I even needed to mention this obvious part.

Back to my questions of opening a trade on reporting month ONLY.
 
IV_Trader said:
Instead of opening position every month, make only one trade per qtr on monthly expiration with a lot of reporting,
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Model it. It is a reasonable thesis, worth testing. Historical options snapshort data merged with OHLC and earnings (reporting) data should suffice. Options shapshot data is absolutely useless for historical modeling of rv spread (eg flies, condors) strats, but is good enough for strats involving baskets of single options.
 
IV_Trader said:
Instead of opening position every month, make only one trade per qtr on monthly expiration with a lot of reporting, like AUG is now

Paying higher index/basked IV ration but also getting help with further rise in IV on components. And possible large stocks move, but with a tradeoff is crashing vols

Any thought?
More...
Implied correlations are usually much lower during the earning season, so you are not collecting as much. The dirty truth is that dispersion trades are, in big part, just a closeted way to sell index vol.
 
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