Modelling skew dependent on vol of vol

[BlueWaterSailor]

Not really, if you know the terminology. Just google all the keywords you come across here. Once you learn them, you can easily follow these guys. It's like an illiterate suddenly being able to read. Your mind will light up.

That's... not exactly the case. I'll be generous and call it 99.999% wrong. In fact, having just glanced at some of your posts here on ET, I'm certain that you have no idea of what any of this means:

"I was shorting bull synthetic straddles knowing the vol would drop with shares. I recall the 20D RR was something like 40bp C/P, but maybe I am remembering it wrong. My concern was modality so I'd rather accumulate deltas than vols. Synthetic at 350, natural at 375, neutral combo was at 400 (px). It's tough to trade the thing naked but you can't afford to buy upside wings. I had a share fly on for a couple cycles (long spot, short 2x calls, long 1x wing)."

No matter how much googling you do, you're not going to be able to parse it without a fairly solid understanding of options, trading jargon/abbreviations, and having read a whole bunch of destriero's posts. And this is a comparatively simple one.

(You're the guy who figures that you have a 90% chance of winning simply by writing a credit spread, right? That's... quite the calculation, there.)

https://www.elitetrader.com/et/threads/odds-calculation-check.361953/page-2#post-5467767

 

[BlueWaterSailor]

Whoa, hold it right there! I never said anything about that. I was just saying about understanding their greek language. In your example, learning about "skew" and "fat tails" will certainly put you ahead in understanding their greek language. That's all I meant, not taking anything away from anyone.

"Greek language". Wow.

A word to the wise: you can learn a lot by reading ET and asking questions of the smarter folks here. But pretending to know more than you do, and making assertions about things you can't possibly know, will kill that stone-cold dead. Quit while you're ahead.

 

[emulimu]

That's... not exactly the case. I'll be generous and call it 99.999% wrong. In fact, having just glanced at some of your posts here on ET, I'm certain that you have no idea of what any of this means:

"I was shorting bull synthetic straddles knowing the vol would drop with shares. I recall the 20D RR was something like 40bp C/P, but maybe I am remembering it wrong. My concern was modality so I'd rather accumulate deltas than vols. Synthetic at 350, natural at 375, neutral combo was at 400 (px). It's tough to trade the thing naked but you can't afford to buy upside wings. I had a share fly on for a couple cycles (long spot, short 2x calls, long 1x wing)."

No matter how much googling you do, you're not going to be able to parse it without a fairly solid understanding of options, trading jargon/abbreviations, and having read a whole bunch of destriero's posts. And this is a comparatively simple one.

(You're the guy who figures that you have 90% chance of winning simply by writing a credit spread, right? That's... quite the calculation, there.)

https://www.elitetrader.com/et/threads/odds-calculation-check.361953/page-2#post-5467767

Maybe it's all greek to you but I understand most of it now after 6 months of voracious reading. But enough of this. This is going in the wrong direction and I have zero interest in going there. Ganging up on a simple comment. Strange, very strange.

 

[BlueWaterSailor]

Maybe it's all greek to you but I understand most of it now after 6 months of voracious reading. But enough of this. This is going in the wrong direction and I have zero interest in going there. Ganging up on a simple comment. Strange, very strange.

Yeah, you're being "ganged up on." In fact, you're being oppressed and observing the violence inherent in the system. Pretty sure there was a movie about it.

Or could be you just made a nonsense comment intended to puff yourself up, achieved the opposite effect, and are now trying to cover up.

I guess your followup will tell us which of the above it is (as if it wasn't obvious already.)

 

[Overnight]

Maybe it's all greek to you but I understand most of it now after 6 months of voracious reading. But enough of this. This is going in the wrong direction and I have zero interest in going there. Ganging up on a simple comment. Strange, very strange.

Believe it or not, it is to help you. 6 whole months of voracious reading. Well, that is not enough. Hang around this place, with BWS and dest, and you will learn a whole lot more in 6 months in this forum about options than you will from books.

Then you'll be in the monies!

 

[emulimu]

Those who are helping me via pm know the hard work I am putting in. You are making lot of assumptions about me. I already trade successfully and am in monies. My comment was only an encouragement, from one novice to another. I don't know what got into you. Anyway, have a good night. Not doing this anymore. Have to wake up early to make more monies . Sorry to the OP. Didn't mean to hijack your thread.

 

[Overnight]

...Not doing this anymore. Have to wake up early to make more monies . Sorry to the OP. Didn't mean to hijack your thread.

*snicker* You'll be back. They always come back. They all FLOAT! See you soon, Georgie!

 

[morganpbrown]

"I was shorting bull synthetic straddles knowing the vol would drop with shares. I recall the 20D RR was something like 40bp C/P, but maybe I am remembering it wrong. My concern was modality so I'd rather accumulate deltas than vols. Synthetic at 350, natural at 375, neutral combo was at 400 (px). It's tough to trade the thing naked but you can't afford to buy upside wings. I had a share fly on for a couple cycles (long spot, short 2x calls, long 1x wing)."

No matter how much googling you do, you're not going to be able to parse it without a fairly solid understanding of options, trading jargon/abbreviations

Yes. This.

Not that I'm complaining. This stuff is super cool. My current side-obsession. Appreciate those who take the time to transfer their knowledge.

 

[MrMuppet]

Just a gentle reminder here. Nothing that is said here is required for making money when using options to bet on moves in the underlying.

However it is required as soon as you trade a complex portfolio of options in order to exploit moves in vol. Nobody actually wants to be cool here by using lingo that nobody understands, but if you shorted e. g. put spreads delta neutral and still lose money although you're right on your vol estimate you start to ask yourself questions.
After a couple of frustrating months you arrive at the stuff that is discussed here.

 

[destriero]

Index vols trade inverse to index price. Same with single name even if the SN series is not explicitly-skewed.

Meme stock vols are correlated to price -> short bull combos.

Skew goes up when vols go down -> trade LVLD hedged with spot.