Long gamma scalping

[IV_Trader]

Quote from ajna:

IV, is the problem that back month vols are not dropping enough due to the elevated vols throughout the market?

exactly

 

[IV_Trader]

I think we will see sharp collapse in equity vols today/beginnig of the next week. With theta entering its steepest curve longs better pray for big moves in stocks. Even vols on some reporting co are very very high . AIG (next week) at 50??? WTF

 

[IV_Trader]

Quote from IV_Trader:

I think we will see sharp collapse in equity vols today/beginnig of the next week. With theta entering its steepest curve longs better pray for big moves in stocks. Even vols on some reporting co are very very high . AIG (next week) at 50??? WTF

and down volty goes...AIG lost 1500bp in the last few days...even before reporting

 

[xflat2186]

Its early and I would think about hitting the middle vols on the call side of the SPX... lookin at how fat the 1520's are compared the whats out there.