I have traded LEAPS straddles where I chose it over a fly because I was unwilling to trade equivalent exposure in the fly. Like shorting GOOG vol a few days prior to earnings in a 1Y straddle in a 10-lot or risking a 50-lot in the fly. I've seen wings trade under body vol and of course it's less complex (2 vs 4 lot per combo).
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My option trades
- Thread starter ryanpatrick
- Start date
I have traded LEAPS straddles where I chose it over a fly because I was unwilling to trade equivalent exposure in the fly. Like shorting GOOG vol a few days prior to earnings in a 1Y straddle in a 10-lot or risking a 50-lot in the fly. I've seen wings trade under body vol and of course it's less complex (2 vs 4 lot per combo).
Remember guys, I'm trying to speak from the side of a professional options trader, where we don't just analyze one single trade or anything.
We are constantly monitoring hundreds of positons on dozens of stocks, and have to see, from a macro level, our overall risk. We simply adjust as needed.
Don
We are constantly monitoring hundreds of positons on dozens of stocks, and have to see, from a macro level, our overall risk. We simply adjust as needed.
Don
Quote from atticus:
I have traded LEAPS straddles where I chose it over a fly because I was unwilling to trade equivalent exposure in the fly. Like shorting GOOG vol a few days prior to earnings in a 1Y straddle in a 10-lot or risking a 50-lot in the fly. I've seen wings trade under body vol and of course it's less complex (2 vs 4 lot per combo).
What if only the front month vol is elevated with the back month skews (including leaps ) not elevated?
I find that most often to be the case unless I haven't been paying much attention....
I also went back and saw how the straddled traded in aapl, pcln and other recent trades and they didn't fare welll ... Neither did the flys.
I'll try some leaps in tos ... It makes sense to reduce the number of contracts you're trading.
Quote from babutime:
What if only the front month vol is elevated with the back month skews (including leaps ) not elevated?
I find that most often to be the case unless I haven't been paying much attention....
I also went back and saw how the straddled traded in aapl, pcln and other recent trades and they didn't fare welll ... Neither did the flys.
I'll try some leaps in tos ... It makes sense to reduce the number of contracts you're trading.
I don't like to trade calendars into earnings. I shorted some GOOG 1Y straddles in 2009/10 and picked up 10% on average (on premium) and 600bp in vol.
Quote from atticus:
I don't like to trade calendars into earnings. I shorted some GOOG 1Y straddles in 2009/10 and picked up 10% on average (on premium).
Those were massive vol crushing environments. May not be as applicable now... but I bet the Jan13 vol will come in after earnings - haven't looked to see how much would be expected.
I like calendars. Generally the 1-4 month. But most of the time I find these things priced correctly and yet calling me like a Siren to trade into devastation.
(keeping with the shipping theme from my last post).
Quote from atticus:
I don't like to trade calendars into earnings. I shorted some GOOG 1Y straddles in 2009/10 and picked up 10% on average (on premium) and 600bp in vol.
Yeah, take a quick look at the "calendars" that nearly cost the lives of Clearing Firms, Penson for sure. Shorting VIX Sep's in 2009 I think, and buying the Jan's, caused the clearing firms to not allow those types of spreads any longer.
Don't hold me to exact numbers, but I think the Seps went from about 20 to over 50 VOL, and the Jans stayed below 30.
Remember, all you're doing is betting on the fact that your guess of next expiration Vol is what you're doing.
Don
Quote from Don Bright:
Yeah, take a quick look at the "calendars" that nearly cost the lives of Clearing Firms, Penson for sure. Shorting VIX Sep's in 2009 I think, and buying the Jan's, caused the clearing firms to not allow those types of spreads any longer.
Don't hold me to exact numbers, but I think the Seps went from about 20 to over 50 VOL, and the Jans stayed below 30.
Remember, all you're doing is betting on the fact that your guess of next expiration Vol is what you're doing.
Don
Well sure, and I don't like buying vol into reports. The long VIX switch blew out many, but is the only game now.
Quote from newwurldmn:
Those were massive vol crushing environments. May not be as applicable now... but I bet the Jan13 vol will come in after earnings - haven't looked to see how much would be expected.
I like calendars. Generally the 1-4 month. But most of the time I find these things priced correctly and yet calling me like a Siren to trade into devastation.
(keeping with the shipping theme from my last post).
Agree with the sirens comment. Haha!!!
I draw these risk graphs in tos and drop the implied vol to simulate an after event drop and kaboom the profits seem juicy. Then when i paper trade the results Suck donkey balls.
Just don't get it. You'd expect the long dated options to not fall as much because theu dont have as much vol priced in... In fact because their skews are normal you'd excpect the option to rise... But like atticus said the returns aren't great..
I think ill see how selling straddles go...