Nanuk Trap: The State of the Union is Strong

[shortie]

Just an idea: Obama will pump up the market with his "The State of the Union is Strong" speech on Wed night. With many nanuks back into shorting a decent pump talk could force a nice short covering.

Any statistics on the market action after the previous state of the union addresses?

 

[bgp]

obama wont the fed and treas will.


bp

 

[madmaxer]

Quote from bgp:

obama wont the fed and treas will.


bp

I agree, This week's FOMC and GDP have more potential to create big swings

 

[MohdSalleh]

I will never accept Obama as my president. NEVER.

 

[nazzdack]

Quote from shortie:
Any statistics on the market action after the previous State Of The Union addresses?

1) 0-2-2-0-3
2) You have a 50% chance of earning or losing equal amounts of money. Don't "read" too much into the SOTU.

 

[shortie]

Quote from nazzdack:

1) 0-2-2-0-3
2) You have a 50% chance of earning or losing equal amounts of money. Don't "read" too much into the SOTU.

ok, i will safe some commish then.

 

[shortie]

i would like to play the IV spike going into Fed. usually i play it with stocks (e.g. trying to buy those that drop right after the announcement and selling them later). the reason this method works i think is because IV spikes going into the announcement and then reverts back.

how do i catch IV spike with options? i am looking at spy feb 107 put and 111 call. i would like to sell them both to strangle IV spike. right now spy 109.20 and the combo is 3.21/3.23.

my question is when to sell the strangle? before the announcement, or enter limit orders that would be triggered after the announcement?

 

[nazzdack]

Quote from shortie:
-----my question is when to sell the strangle? before the announcement, or enter limit orders that would be triggered after the announcement?

1) You should be willing to initiate your short-strangle about 30 minutes before the announcement. Bid-ask spreads can widen out closer to the announcement. The market can move too much towards your strike prices if you initiate hours before.
2) Limit orders probably will not get filled after the announcement because of the volatility crush that you expect. The only way you'll get filled is if the market makes a gigantic move in one direction and you get a "fill" that you don't want.
3) It may be "safer" to do the trade with bond or note options instead of stock index options.

 

[shortie]

Quote from nazzdack:

1) You should be willing to initiate your short-strangle about 30 minutes before the announcement. Bid-ask spreads can widen out closer to the announcement. The market can move too much towards your strike prices if you initiate hours before.
2) Limit orders probably will not get filled after the announcement because of the volatility crush that you expect. The only way you'll get filled is if the market makes a gigantic move in one direction and you get a "fill" that you don't want.
3) It may be "safer" to do the trade with bond or note options instead of stock index options.

thanks!

i am theorizing that IV should additionally briefly spike right after the announcement when the market tries to interpret the news.

 

[Nanook]

Nanuk or Nanuq = Polar Bear

Nanook