Karen the Supertrader - TastyTrade Hybrid Experiment

[JackRab]

@CBC... why do statistics go out of the window? Any price has an implied vol...

 

[sellindexvol66]

Short VX futures as in short the VIX as in short vol. The short vol is the most crowded trade in the world and in fact is the most crowded traded in history.

to really give the whole story i would suggest looking at the complete report, including commercial.
this has been lopsided many times to the non commercial end re short vol ; but despite that most will find no edge in fading that.

http://www.cftc.gov/dea/futures/deacboelf.htm

 

[newwurldmn]

to really give the whole story i would suggest looking at the complete report, including commercial.
this has been lopsided many times to the non commercial end re short vol ; but despite that most will find no edge in fading that.

http://www.cftc.gov/dea/futures/deacboelf.htm

What does commercial vs non commercial mean on that?

 

[sellindexvol66]

What does commercial vs non commercial mean on that?

"commercial" is a trader or entity who has been classified as using that "particular" instrument for hedging purposes.

 

[CBC]

@CBC... why do statistics go out of the window? Any price has an implied vol...

I think that crossing the spread turns the trade into a statistical nightmare. Risk / reward / payoff.

I always wondered what sellers do, do people even take their offers at the mid deep OTM?

 

[newwurldmn]

"commercial" is a trader or entity who has been classified as using that "particular" instrument for hedging purposes.

ah. commercial = hedger, non-commercial = speculator
where does a MM fall?

 

[Maverick74]

to really give the whole story i would suggest looking at the complete report, including commercial.
this has been lopsided many times to the non commercial end re short vol ; but despite that most will find no edge in fading that.

http://www.cftc.gov/dea/futures/deacboelf.htm

I never said there was an edge in fading that I simply said the entire world is short vol. I've never found any edge in fading any crowded trade. Crowded trades don't create edge, they create noise. And for most traders, noise is usually not a good thing. But different strokes for different folks I guess.

 

[JackRab]

I think that crossing the spread turns the trade into a statistical nightmare. Risk / reward / payoff.

I always wondered what sellers do, do people even take their offers at the mid deep OTM?

Nope... doesn't matter at all... if you want a quick sell.. you hit the bid... if you can wait, you join the offer or place better offer. If you need to sell a lot and quick, you swipe the board...

And why not in deep OTM? The spread is probably a lot tighter than anywhere else.. Remember, generally speaking the market maker has a theoretical value of the mid-price... so there's always the possibility of closing the deal at mid, otherwise sit just below to sell... But again, if you want to sell quick, hit bids..

 

[Maverick74]

Built into price--not IV. Expanding on my 50 delta option example, an actual 50 delta option has a range of possible values at expiry between 0 and lots. Its value is highly dependent on IV. A close approximation to a binary trade would be a vertical spread with the underlying splitting the two strikes which will be valued at half the width of the strikes (let's just ignore skew for a moment). This is independent of IV.

So the outlier outcomes and impacts are built into the price--not IV.

There is so much bad information in your posts I would highly recommend reading "Dynamic Hedging" as a starter and maybe even a Statistics for Dummies book. I'm being serous. There are some real fundamental flaws in your knowledge of simple math that I strongly advise you to fix sooner rather than later.

 

[JackRab]

There is so much bad information in your posts I would highly recommend reading "Dynamic Hedging" as a starter and maybe even a Statistics for Dummies book. I'm being serous. There are some real fundamental flaws in your knowledge of simple math that I strongly advise you to fix sooner rather than later.

Next thing he'll be saying the IV in puts is way too high, and should actually be lower than ATM because the outlier impact on 2-sdev and further never happens and is highly overestimated