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historical implied vol
- Thread starter mktmkr
- Start date
you are absolutely right...whenever i say call i just assume its out money and thats my fault...sorry...used to treating everything bellow the strike as if its a put...yes, if you are short deep calls, you need to buy stock on the way up, but for me, go out and buy some puts at the same or lower strike, if you keep buying stock, eventually you get to 1to1 and thats a put, a naked one, and in equities i dont like being short naked puts, not in the front month anyway, no margin for error, also, usually on the way up the puts may retain their iv and they will be higher relative to the out of the money call, but rarely does the vol go up when the stock is going up...i dont remember just selling a deep call to open with out any other options in the positio...its just like selling naked puts...some guys can do it..and make money at it...i dont
Quote from mktmkr:
you are absolutely right...whenever i say call i just assume its out money and thats my fault...sorry...used to treating everything bellow the strike as if its a put...yes, if you are short deep calls, you need to buy stock on the way up, but for me, go out and buy some puts at the same or lower strike, if you keep buying stock, eventually you get to 1to1 and thats a put, a naked one, and in equities i dont like being short naked puts, not in the front month anyway, no margin for error, also, usually on the way up the puts may retain their iv and they will be higher relative to the out of the money call, but rarely does the vol go up when the stock is going up...i dont remember just selling a deep call to open with out any other options in the positio...its just like selling naked puts...some guys can do it..and make money at it...i dont
got ya , that's what I thought
MM
Do you have any instinctive preference to buying or selling premium ?
Do you have any instinctive preference to buying or selling premium ?
almost always a seller, will load up into earnings or FDA releases, but only to unload and get short right before the event, it will be difficult to trade that way with my new capital constraints, i really feel like a newbie, yes i know the theoretical basics, i have experience managing risk, but to proactively put on a position with no immediate edge, which is what i guess most of you do, that's got to be tough and a whole new way of trading for me, i'm trying to take it slow and learn from you guys
Quote from mktmkr:
wow , this is the FIRST pre-event vols ramp post on ET !......?????
what do you mean...i'm not following you?
did i give something away or do you disagree with me? i would be happy to elaborate...just not sure what you mean
no , opposite...I am glad to see someone else doing what I've beeing doing for a long time, buying long straddles/strangles before report , scalping and closing position (or sometimes reversing to short) day before report. Not too many takers on this strategy here.
IV
who's your broker...i just opened an acct. w/ TOS...still trying to figure out the platform...their next class in my area is in Jan. looking for something where you can get a total position risk...all strikes and underlying included...where you can see the mkt and your position next to it, input your own vol for theoretical value and see the implied vol of the posted bids and offers. also if you dont mind...when you buy a long straddle in to earnings...do you try to trade the gama w/o too much decay and then dump it before it collapses...or do you do it for the vol play...expecting the vol to pop and then sell the straddle fatter...even with a real vol pop...rarely do you see prices going up over a long period of time, intra-day..sure, but not over several weeks or month...just wondering what the thought process is
who's your broker...i just opened an acct. w/ TOS...still trying to figure out the platform...their next class in my area is in Jan. looking for something where you can get a total position risk...all strikes and underlying included...where you can see the mkt and your position next to it, input your own vol for theoretical value and see the implied vol of the posted bids and offers. also if you dont mind...when you buy a long straddle in to earnings...do you try to trade the gama w/o too much decay and then dump it before it collapses...or do you do it for the vol play...expecting the vol to pop and then sell the straddle fatter...even with a real vol pop...rarely do you see prices going up over a long period of time, intra-day..sure, but not over several weeks or month...just wondering what the thought process is
Quote from mktmkr:
IV
who's your broker...i just opened an acct. w/ TOS...still trying to figure out the platform...their next class in my area is in Jan. looking for something where you can get a total position risk...all strikes and underlying included...where you can see the mkt and your position next to it, input your own vol for theoretical value and see the implied vol of the posted bids and offers. also if you dont mind...when you buy a long straddle in to earnings...do you try to trade the gamma w/o too much decay and then dump it before it collapses...or do you do it for the vol play...expecting the vol to pop and then sell the straddle fatter...even with a real vol pop...rarely do you see prices going up over a long period of time, intra-day..sure, but not over several weeks or month...just wondering what the thought process is
I am using IB ; use the ET search button , there is a lot of info here about brokers and platforms.
I am buying long combos ( from two days up to a month before report) and gamma scalping via stock to minimize theta .
Closing before report , but sometimes reversing to short or reverse calendars into report. All on case by case bases.
This qtr was messed up because of options scandals , vols cycle was broken , many reports dates were moved/postponed. Still did OK , no complains