Noregrets' "Double or Nothing" Volatility Trading Journal

Long the GLD Oct4/Oct18 128 put calendar from 1.08 risk. In my opinion gold has been pretty stable the last several days, considering the moves in the indexes and the looming shutdown, and the weekly straddle is currently selling at $2.90. I think this represents a good short gamma opportunity. The calendar has about 250bp of vol edge.

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"I would rather be ashes than dust! I would rather that my spark should burn out in a brilliant blaze than it should be stifled by dry-rot. I would rather be a superb meteor, every atom of me in magnificent glow, than a sleepy and permanent planet. The function of man is to live, not to exist. I shall not waste my days trying to prolong them. I shall use my time." - Jack London
 

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Quote from noregrets:

Long the GLD Oct4/Oct18 128 put calendar from 1.08 risk. In my opinion gold has been pretty stable the last several days, considering the moves in the indexes and the looming shutdown, and the weekly straddle is currently selling at $2.90. I think this represents a good short gamma opportunity. The calendar has about 250bp of vol edge.

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I have seen this expression being used before also. What exactly do you mean when you say calendar has about 250bp of vol edge. Can you please explain using numbers. Thanks a lot.
 
Quote from gmst:

I have seen this expression being used before also. What exactly do you mean when you say calendar has about 250bp of vol edge. Can you please explain using numbers. Thanks a lot.
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GMST, great to have you on the journal. The "vol edge" term I am using is the front week IV minus the back week IV on the long calendar. So, using this position as an example, IIRC when I put the position on the Oct4 put was priced at approx. 24% IV (according to ToS), and the Oct18 at approx. 21.5% IV, giving the vol edge of about 250 basis points.
 
Quote from noregrets:

No...are you?
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NG,, i didnt see it play out higher, didnt pull the trigger. It has actually dropped.

No play for me. reading and watching.

EF
 
Quote from noregrets:

GMST, great to have you on the journal. The "vol edge" term I am using is the front week IV minus the back week IV on the long calendar. So, using this position as an example, IIRC when I put the position on the Oct4 put was priced at approx. 24% IV (according to ToS), and the Oct18 at approx. 21.5% IV, giving the vol edge of about 250 basis points.
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ok got it, thanks a ton for clear explanation. It is always appreciated :)

Btw, interesting journal you have going on here!
 
Quote from gmst:

ok got it, thanks a ton for clear explanation. It is always appreciated :)

Btw, interesting journal you have going on here!
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My pleasure and thanks for the kind words.
 
Long the Oct VIX 15 put from .45. If the shutdown / debt ceiling are resolved even for a few weeks, I think we may see a significant VIX drop at some point before expiration. I think the r/r makes sense here as this could be a double or even a triple if those issues are resolved, although there is a real risk of a total loss here if held to expiration. To be honest I was surprised to get a fill; I had the resting order open all day. I will not hesitate to take profits on this if they appear.

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"Losers add to losers." - Paul Tudor Jones
 

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Quote from noregrets:

Long the Oct VIX 15 put from .45. If the shutdown / debt ceiling are resolved even for a few weeks, I think we may see a significant VIX drop at some point before expiration. I think the r/r makes sense here as this could be a double or even a triple if those issues are resolved, although there is a real risk of a total loss here if held to expiration. To be honest I was surprised to get a fill; I had the resting order open all day. I will not hesitate to take profits on this if they appear.

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"Losers add to losers." - Paul Tudor Jones
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IMO, better to go ITM, say the 20P.
 
Quote from drownpruf:

IMO, much safer to go ITM, say the 20P.
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Thanks DP; I agree! Unfortunately given the journal account size that would just IMO be way too large of a % exposure for a play like this. I do think though that in this instance there is a strong case to be made for the cheap OTM play on what is to a large degree (in my mind at least) a binary event. I think if there is a deal the VIX collapses significantly, and if not then it remains elevated. I have a resting take profit order in on this given its speculative nature.
 
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