If you had been reading the Natenberg book, you would understand the dynamics of this strategy and would be looking at other things.
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My option trades
- Thread starter ryanpatrick
- Start date
If you had been reading the Natenberg book, you would understand the dynamics of this strategy and would be looking at other things.
On the QQQ my guess is that the VEGA or volatility premium balloon will peak around 68.90. That is just a guess. I do not see it coming back to 67 though?
I´ve been wondering how to trade the volatility collapse of the CALLS? I suppose a calendar, selling the CALLS and buying June Calls might work? By selling the CALLS when the trend stalls out, the premium should contract? I will try that on paper this week, to see what it does? As the overall trend is still UP. So any correction in the QQQ index I expect to be minimal. Any profit would have to come from the collapse of volatility. Very little, probably not enough to cover bid-ask spread and commissions otherwise, But if you got a little bit of downward pressure and also a volatility balloon contraction, that might work?
I´ve been wondering how to trade the volatility collapse of the CALLS? I suppose a calendar, selling the CALLS and buying June Calls might work? By selling the CALLS when the trend stalls out, the premium should contract? I will try that on paper this week, to see what it does? As the overall trend is still UP. So any correction in the QQQ index I expect to be minimal. Any profit would have to come from the collapse of volatility. Very little, probably not enough to cover bid-ask spread and commissions otherwise, But if you got a little bit of downward pressure and also a volatility balloon contraction, that might work?
Quote from falconview:
On the QQQ my guess is that the VEGA or volatility premium balloon will peak around 68.90. That is just a guess. I do not see it coming back to 67 though?
I´ve been wondering how to trade the volatility collapse of the CALLS? I suppose a calendar, selling the CALLS and buying June Calls might work? By selling the CALLS when the trend stalls out, the premium should contract? I will try that on paper this week, to see what it does? As the overall trend is still UP. So any correction in the QQQ index I expect to be minimal. Any profit would have to come from the collapse of volatility. Very little, probably not enough to cover bid-ask spread and commissions otherwise, But if you got a little bit of downward pressure and also a volatility balloon contraction, that might work?
Falcon! I say fire and you say rain! WTF!?
The QQQ vol will not peak at 68.90. Vol will certainly NOT rise if we continue higher on QQQ. The VEGA of the position PEAKS at 67.00, but the IV line will continue to rise as QQQ FALLS.
Vega is the $-sensitivity of the option position to a 100bp change in vol. The change is not linear, so you cannot use a linear-technique to forecast.
And wtf is a volatility balloon?
JUST MADE ME LOL...Quote from atticus:
Falcon! I say fire and you say rain! WTF!?
The QQQ vol will not peak at 68.90. Vol will certainly NOT rise if we continue higher on QQQ. The VEGA of the position PEAKS at 67.00, but the IV line will continue to rise as QQQ FALLS.
Vega is the $-sensitivity of the option position to a 100bp change in vol. The change is not linear, so you cannot use a linear-technique to forecast.
And wtf is a volatility balloon?
Okay Atticus
"Vega is the $-sensitivity of the option position to a 100bp change in vol. The change is not linear, so you cannot use a linear-technique to forecast."
I don´t understand the 100 bp reference.
This week I´m recording Gamma and Vega along with numerous other things of my own.
I am finding that VEGA is changing with the strike price. Though that is yet too limited an experience to draw that conclusion. Got to start somewhere?
As to your reference that VEGA will peak at 67, I have no way to understand that yet? First off, I´m trading a 2 day to 5 day time frame, in the hourly charts. This is because one hour is the smallest in which I can capitalize on a one week in between trade of 2 to 5 days.
I find that VEGA is not working within my time frame. The paint brush is too wide. I´d hoped it would give me a reversal of $$$ value volatility. Indeed, on the hourly trade I was astounded to see VEGA frozen at .13 the whole time that the market action was moving until the index passed through the 68 strike. Vega as you said, has reversed at 67, but my trade is still going as are the premiums. While the Vega number dropped to .12. Right this minute the index is dropping, so perhaps the VEGA number actually did forecast a change? Won´t know for an hour or two yet.
In my time frame, of trading, I´m trading increments, decimal points within one strike parameters mostly. Sometimes I can expect a move of 1.25 strike. I picked hourly because it is possible to get a meaningful trade at that time frame. Less than that there is not enough premium change to cover the bid ask premium plus commissions.
In the meantime, I do have a couple of other numbers that are more sensitive and seem to be telling me what the premium will do, within a one strike move. Don´t know what you would call that, but it tracks the ( ticks? ). decimal point flutter of market action.
"Vega is the $-sensitivity of the option position to a 100bp change in vol. The change is not linear, so you cannot use a linear-technique to forecast."
I don´t understand the 100 bp reference.
This week I´m recording Gamma and Vega along with numerous other things of my own.
I am finding that VEGA is changing with the strike price. Though that is yet too limited an experience to draw that conclusion. Got to start somewhere?
As to your reference that VEGA will peak at 67, I have no way to understand that yet? First off, I´m trading a 2 day to 5 day time frame, in the hourly charts. This is because one hour is the smallest in which I can capitalize on a one week in between trade of 2 to 5 days.
I find that VEGA is not working within my time frame. The paint brush is too wide. I´d hoped it would give me a reversal of $$$ value volatility. Indeed, on the hourly trade I was astounded to see VEGA frozen at .13 the whole time that the market action was moving until the index passed through the 68 strike. Vega as you said, has reversed at 67, but my trade is still going as are the premiums. While the Vega number dropped to .12. Right this minute the index is dropping, so perhaps the VEGA number actually did forecast a change? Won´t know for an hour or two yet.
In my time frame, of trading, I´m trading increments, decimal points within one strike parameters mostly. Sometimes I can expect a move of 1.25 strike. I picked hourly because it is possible to get a meaningful trade at that time frame. Less than that there is not enough premium change to cover the bid ask premium plus commissions.
In the meantime, I do have a couple of other numbers that are more sensitive and seem to be telling me what the premium will do, within a one strike move. Don´t know what you would call that, but it tracks the ( ticks? ). decimal point flutter of market action.
100 basis points.
Position vega $60. QQQ vol goes from 17.00 to 18.00. Position earns $60 from vega. I use bp to distinguish from %-change. Nothing complex.
You have NO IDEA what you're doing. It's a paper trade but you have EVERYTHING *&$^&% inverted. Either treat it as a hobby with a few grand or find someone who can trade your account. Probably best if you simply stick to stocks outright and forego the options entirely.
I'll admit I am a shitty coach... I yell at my nieces and nephews when tutoring calculus. Bro, you aren't going to learn this in a reasonable time-frame.
Position vega $60. QQQ vol goes from 17.00 to 18.00. Position earns $60 from vega. I use bp to distinguish from %-change. Nothing complex.
You have NO IDEA what you're doing. It's a paper trade but you have EVERYTHING *&$^&% inverted. Either treat it as a hobby with a few grand or find someone who can trade your account. Probably best if you simply stick to stocks outright and forego the options entirely.
I'll admit I am a shitty coach... I yell at my nieces and nephews when tutoring calculus. Bro, you aren't going to learn this in a reasonable time-frame.
Atticus
Indeed the premium balloon or VEGA, seems to be peaking. I rather expected to get another bit out of it though. Still, will close the trade soon as my other stuff and numbers, tell me that the premium is not allowing the price to increase anymore. Right now it is just after the hour and a quick check shows me frozen at 68.30 in the index. One time in the last hour it got up to 68.36. I am though, expecting to see the premium balloon, or VEGA stall out around now over the next hour or two. Though the index can go higher, the premium will be unlikely to do so. The way I watch it is TIME BASED, so the VEGA stalls and starts to contract, if too much time goes by and the premium does not expand. I guess I´m saying the same thing you are, just in a different way. A cultural difference perhaps? ( grin )
In the meantime, I cannot seem to get VEGA to respond to what is happening within the incremental moves that my hourly trading system requires. So I´m using other numbers.
Indeed the premium balloon or VEGA, seems to be peaking. I rather expected to get another bit out of it though. Still, will close the trade soon as my other stuff and numbers, tell me that the premium is not allowing the price to increase anymore. Right now it is just after the hour and a quick check shows me frozen at 68.30 in the index. One time in the last hour it got up to 68.36. I am though, expecting to see the premium balloon, or VEGA stall out around now over the next hour or two. Though the index can go higher, the premium will be unlikely to do so. The way I watch it is TIME BASED, so the VEGA stalls and starts to contract, if too much time goes by and the premium does not expand. I guess I´m saying the same thing you are, just in a different way. A cultural difference perhaps? ( grin )
In the meantime, I cannot seem to get VEGA to respond to what is happening within the incremental moves that my hourly trading system requires. So I´m using other numbers.
You misunderstand.
I have two cash trades making money right now. I only have one of your calendar spreads working on paper.
I have two cash trades making money right now. I only have one of your calendar spreads working on paper.
Quote from falconview:
Atticus
Indeed the premium balloon or VEGA, seems to be peaking. I rather expected to get another bit out of it though. Still, will close the trade soon as my other stuff and numbers, tell me that the premium is not allowing the price to increase anymore. Right now it is just after the hour and a quick check shows me frozen at 68.30 in the index. One time in the last hour it got up to 68.36. I am though, expecting to see the premium balloon, or VEGA stall out around now over the next hour or two. Though the index can go higher, the premium will be unlikely to do so. The way I watch it is TIME BASED, so the VEGA stalls and starts to contract, if too much time goes by and the premium does not expand. I guess I´m saying the same thing you are, just in a different way. A cultural difference perhaps? ( grin )
In the meantime, I cannot seem to get VEGA to respond to what is happening within the incremental moves that my hourly trading system requires. So I´m using other numbers.
Catch-22 as I see it. Either you're fcuking with me or you're being impossibly thick. You cannot INVENT conditions and assert then as accurate or REMOTELY in touch with reality.
You remind me of the "In Living Colors" ebonics skit. No we are not talking about the same thing.