Mo , if you still here...Current conditions favoring LONG dispersion for June . If you still testing it , think about creating small bearish bias ( sell more calls on the Index). If market rebounds ,VIX will go down ( possibility for early position's exit) and if it will keep going down you will be a winner on the end of the month bases ( intrinsic value only).
Great old threads about Gamma scalping
- Thread starter IV_Trader
- Start date
Hi IV,
Im just wondering if what im doing is similar to what your doing? eg. I purchased GOOG strangle when GOOG was 390. Purhcased
360p
430c
When underlying fell to 370 I sold a 340 put and when GOOG when back up, i bought back my 340 PUT for less than what i paid for it. I keep doing this as the underlying moves up and down.If underlying had fallen below 340 at expiration, im not worried because i make 20 points plus my premium for the 340 put i sold. This is more than what i initially paid for my strangle.
I apply the same technique on the call side as well or both, depending on where GOOG moves.
Am I on the right track? Thanks in advance for any advise. oh and what a dispersion?
Cheers
Ivan
always lurking
Im just wondering if what im doing is similar to what your doing? eg. I purchased GOOG strangle when GOOG was 390. Purhcased
360p
430c
When underlying fell to 370 I sold a 340 put and when GOOG when back up, i bought back my 340 PUT for less than what i paid for it. I keep doing this as the underlying moves up and down.If underlying had fallen below 340 at expiration, im not worried because i make 20 points plus my premium for the 340 put i sold. This is more than what i initially paid for my strangle.
I apply the same technique on the call side as well or both, depending on where GOOG moves.
Am I on the right track? Thanks in advance for any advise. oh and what a dispersion?
Cheers
Ivan
always lurking
What you are doing is gamma scalping with options rather than stock. It is particularly viable under current climates - higher volatility and more so on the PUT side.
Again, the skill is deciding when to scalp!
Good luck.
MoMoney.
Again, the skill is deciding when to scalp!
Good luck.
MoMoney.
Quote from scoobie27:
Hi IV,
Im just wondering if what im doing is similar to what your doing? eg. I purchased GOOG strangle when GOOG was 390. Purhcased
360p
430c
When underlying fell to 370 I sold a 340 put and when GOOG when back up, i bought back my 340 PUT for less than what i paid for it. I keep doing this as the underlying moves up and down.If underlying had fallen below 340 at expiration, im not worried because i make 20 points plus my premium for the 340 put i sold. This is more than what i initially paid for my strangle.
I apply the same technique on the call side as well or both, depending on where GOOG moves.
Am I on the right track? Thanks in advance for any advise. oh and what a dispersion?
Cheers
Ivan
always lurking
Doh! Only just saw this.
Still testing basket selection methodology. I am hoping we will have higher volatility for some months to come so I'm not worried about missing the boat.
Still testing basket selection methodology. I am hoping we will have higher volatility for some months to come so I'm not worried about missing the boat.
Great thread! Iâm only understanding about 30%, but itâs still great.
Where/when do you rebalance GM? Is it at set levels or do you eyeball or calculate every few days based on recent hi-lo vol?
If spot is between strikes do you normally use a strangle, or put on nearest straddle and balance with stock to get neutral?
Also, was wondering how far in front of earnings you get in, or whether it's just anytime IV is low relative to HV.
Where/when do you rebalance GM? Is it at set levels or do you eyeball or calculate every few days based on recent hi-lo vol?
If spot is between strikes do you normally use a strangle, or put on nearest straddle and balance with stock to get neutral?
Also, was wondering how far in front of earnings you get in, or whether it's just anytime IV is low relative to HV.
found this on ORATS :
"Hedge Interval: the amount that the security's price is allowed to move between adjustments of the underlying position for the purposes of delta hedging. There are two commonly used types: fixed increment (for example: $0.50) or the daily standard deviation of the security multiplied by a factor (for example: standard deviation multiplied by 50%)"
