Yep, that's explain it.
I still entered 2 positions that reporting tomorrow. Volatility is slowly recovering/stop falling further now.
Let's see how this plays out tomorrow.
META report
- Thread starter IV_Trader
- Start date
Yep, that's explain it.
I still entered 2 positions that reporting tomorrow. Volatility is slowly recovering/stop falling further now.
Let's see how this plays out tomorrow.
I attempt to hedge long vol w/ short index vols and both have lost today under my hedging scheme at least.
I couldn't ever figure out how to hedge with index vols.
I do take hedged potion from time to time by shorting none reporting week:
Long reporting 14D / short 7D, ratioed
Works well usually.
yes i do as you describe and target zero gamma for individual stocks when possible. then I look at beta weighted portfolio and target zero portfolio wide gamma by shorting index gamma. you could in theory back out the index vol from the earnings contracts but that is even noisier then outright beta I believe so I let gamma choose the ratios between index straddles and earnings straddles instead of vega and risk the beta as i know selling index vol has a slight + ev anyway. i think i messed up recently by using spx instead of rut which has had better correlation as opposed to just following nvda etc.
index vol is too cheap. I wouldn’t short it at 11. In fact I’m long a lot of it.
rut is defined my scmi and (worse) mstr. Breadth is the worst ever in RUT and pretty bad in SPX (but getting better)
well it was 11.5 pre fomc for the april 19th and 21D realized has been between 8 and 12.5 over the past 90 days so 11.5 seemed comfortable to sell. YTD my short index vol has lost slightly with today giving the bulk those. And then how else do you hedge a long vol portfolio systematically?
at this level of index vol I wouldn’t hedge it. what are you hedging for if you are betting on earnings implied moves?
my long index vol has earned slightly and would have earned bigly if I didn’t hedge the 2percent day too early.
