Noregrets' "Double or Nothing" Volatility Trading Journal
- Thread starter noregrets
- Start date
I think the bear side is the right side right now. I'm not sure if we rally into tomorrow I think it's pretty possible that we see some weakness today.
Another question, what's your opinion of vol? For the fly you are in are you worried about a possible jump in vol on a down move in ES? Isn't it normal for the vol to jump on any down move?
Another question, what's your opinion of vol? For the fly you are in are you worried about a possible jump in vol on a down move in ES? Isn't it normal for the vol to jump on any down move?
I think SPX will likely end the day higher than Friday's close, not sure if ES will rally any further but am prepared to hold to 1660. Anything "better" than that and I'm pleasantly surprised. In my opinion, that's the great thing about a fly like this, it gives one the flexibility to let a call play itself out without getting unnecessarily stopped out. I am heavily basing my plays on the SPX daily chart.
Good question on vol. Although overall implied vol should increase if we drop to the body strike on my fly, it should be helped by sticky delta as the body strike (currently 30 pts OTM) moves to become ATM and rides the skew curve downward. Looking at the ES 13Sep options, there is currently about a 220bp IV difference between the 1615 and 1645 (currently ATM). Unless IV goes through the roof, I would expect to be pretty profitable on a move to the body strike of the fly, at which point I would probably close the spread. Also, every day that goes by IV matters less and gamma/theta matters more as it gets closer to terminal distribution.
Thanks for the comments!
Thanks for answering my question. Keep going strong with the journal.
Long the Sep6 160 SPY call from 4.51. Intended as a partial hedge for my bearish fly given that we are quite a bit off the midday lows and that there does not seem to be a lot of fear in the market looking forward at this point. Happy to take the loss on the hedge if the market keeps going down in the short-term.
"The dictionary is the only place that success comes before work. Hard work is the price we must pay for success. I think you can accomplish anything if you're willing to pay the price." - Vince Lombardi
"The dictionary is the only place that success comes before work. Hard work is the price we must pay for success. I think you can accomplish anything if you're willing to pay the price." - Vince Lombardi
In trading, as in battle, one can argue that discretion is the better part of valor. I put this spread on nearly a week ago with ES at 1636 and continued to feel very good about it (with up to a 15% unrealized gain) until after today's pretty bullish price action. With ES currently at 1652 (as high as 56 earlier tonight) and my hard stop at 1660, it seems pretty unlikely that the stop will not be hit by tomorrow. It really comes down to the fact that I would not put on the position today at this price, so I went ahead and closed it. If ES does exhibit a reversal, then I definitely plan to put on a similar position as I still feel that there is a lot of downside potential in the market over the coming weeks.
Out at 45.00 credit, for a 1.25 loss or -7% return on risk after commissions and hedging costs.
Long SPY 13Sep 170 put from 4.25, 2-lot, basically a short delta one position. I still feel that there is a downside bias to the market and the SPX daily chart looks pretty bearish to me. Obviously a little risky with NFP tomorrow morning but I think the r/r is favorable here with a lot of room to run on the downside. Stop at SPX 1665, and will scale out of half on the first significant downward move and let the rest ride.
ââ¬ÅTo give anything less than your best is to sacrifice the gift.ââ¬Â ââ¬â Steve Prefontaine
ââ¬ÅTo give anything less than your best is to sacrifice the gift.ââ¬Â ââ¬â Steve Prefontaine
Nice Journal NR! I bot a SPY Oct 165/168put 1.43 debit. Short delta with +ve theta. It fits my portfolio (I like to be slightly short all the time as a premium seller).