FOMC actions

Holy shit my vol opened!
 

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destriero said:
lol. I own a RUT skew lock (options) and am long both the cash mkt (options) and futures.

I bot RTY bc I think regional banks are due for a pop and therefore will outperform ES and NQ. Regionals are concentrated in the RUT/RTY.
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what is skew lock (options)? btw...i'm up $140 trading the stonk market and $0 so far on door dash.
 
TheDawn said:
Well, I am still keeping a small long position open in SPY until the eod tomorrow. I still believe tomorrow is going to be an "up" day continuing where it left off today. Let's see how it works out.
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Working out not bad. :)
 
destriero said:
It's a hedged long vol position that arbs skew and the tenor (vol-switch). Here's the payoff out to 5/9, but I have since gone flat risk.
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so you are using this strategy to hedge against your long position on rty? if rty goes up, you are up on your long position, but you will be down on your hedge strategy. how much are you down on it if rty keeps going up? and what about vice versa?
 
vincentnyc said:
so you are using this strategy to hedge against your long position on rty? if rty goes up, you are up on your long position, but you will be down on your hedge strategy. how much are you down on it if rty keeps going up? and what about vice versa?
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No, the skew lock is the primary "risk" but PNL never drops below x. I wanted to be long(er) so I bought index futures. I chose RTY due to bank outperformance. You're not going to understand the skew lock and I am not revealing an edge here for those that would (understand the vol-position).

My dog has GERD so I gotta buy some organic pumpkin and I got a flight to catch. GL to all.
 
destriero said:
It's a hedged long vol position that arbs skew and the tenor (vol-switch). Here's the payoff out to 5/9, but I have since gone flat risk.
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So help me understand.
Flat risk meaning now you can't lose money on this?

Andthat is a pnl curve that is pegged to the russel price? so which ever direction it goes, you'll make money?
 
hilmy83 said:
So help me understand.
Flat risk meaning now you can't lose money on this?

And that is a pnl curve that is pegged to the russell price? so which ever direction it goes, you'll make money?
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Yeah, but atm (RUT) vols cannot drop below 18.5% out to May serial exp. If so that central trough will trade price below x. I have something similar in NDX and SPX, but RUT had more edge. I cover when the center trough touches x. My stressed/predicted price was 8.8 which was hit today. I bought the combo (position) at 5.0, yesterday. I went flat delta in futures so have no risk on the day. I am still in it.

So imagine paying 5.0 for a call and covering at 8.8. The gigi is that I don't have any areas below x unless vols drop 250-300bps. So essentially a free long call that gained 76% on haircut.
 
NCC1701 said:
I would get out now, you have your bump up in hand, but I guess EOD means you can't with a traditional account.
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No. Considering that I bought the SPY on Wednesday, it's just just about flat right now for me so I want to let it run a bit till EOD as planned to see if I can land the position in profit. I want to give it a chance to go up further now that it's come this far. It's also likely that the market might just trot back and forth and stay flat from now on and that's ok too. I will just get out flat or maybe with a small loss. No big deal.

It's Friday, the sun is out. Might go for a nice walk after the market is closed...
 
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