Hmmm looks like the blog of another person I recommended was deleted... so much for sharing ideas lol...
OCs Implied Volatility Trading Journal
- Thread starter El OchoCinco
- Start date
Coach,
The IV for ISRG is close to 52 week low. I am expecting IVs to pick up in mid Jan to around 60%. If IV goes up 1%, then the graph is above the zero line. it seems interesting. There will be another chance to sell the inflated premiums in Jan. I have attached IV graph. Can you please take a look at this position and let me know your thoughts.
breakeven - 78 and 105.
The IV for ISRG is close to 52 week low. I am expecting IVs to pick up in mid Jan to around 60%. If IV goes up 1%, then the graph is above the zero line. it seems interesting. There will be another chance to sell the inflated premiums in Jan. I have attached IV graph. Can you please take a look at this position and let me know your thoughts.
breakeven - 78 and 105.
Yeah ever since I put on a spread on ISRG it has just sat there both directionally and in IV so I have to just wait for the move or IV increase.
I doubt a 1% increase is enough to move the whole position positive so I would not put too much emphasis on that in the ToS model, sounds a very optimistic. So I would not recommend getting into the position based on just that lol. But I am expecting vols to get off this floor in the next 5 weeks or so and some movement away from $100 so I am just gonna sit and wait.
Since IVs have stayed low, you certainly can still enter for a nice set up now just give yourself some time. I do not know if the JAN or FEB options will get the IV spike or not so play around with different long months and ratios to keep the cost down and vega as much as you can get at that cost.
I doubt a 1% increase is enough to move the whole position positive so I would not put too much emphasis on that in the ToS model, sounds a very optimistic. So I would not recommend getting into the position based on just that lol. But I am expecting vols to get off this floor in the next 5 weeks or so and some movement away from $100 so I am just gonna sit and wait.
Since IVs have stayed low, you certainly can still enter for a nice set up now just give yourself some time. I do not know if the JAN or FEB options will get the IV spike or not so play around with different long months and ratios to keep the cost down and vega as much as you can get at that cost.
Quote from optioncoach:
I use haircut margin so I can do a lot more positions than my reg t would allow. Of course following me blindly is ill-advised. My advice is to review the criteria and characteristics and cherry pick the best ones in your own eyes. You will do better that way since it will force you to analyze and make independent determinations
Hi Phil,
Can you tell me what a "haircut margin" is? It sounds interesting if you can do more positions with less money.
Thanks for your comments.
CHeers,
Hung
RIMM @ $137 or so today.
With RIMM's earnings coming out around DEC 21st, after DEC expiration I decided to take advanatge of the move higher in RIMM and roll my short DEC $125 Calls to JAN $130 to give me more bullish profit potential and take advantage of inflated JAN premiums which are trading at around 47% v. mid 30%s for DEC.
UPDATED POSITION
RIMM ~@ $137
BTO 15 RIMM MAR $120 Calls @ $11.80
---->Sold 4 Calls @ $25.00
NET 11 Calls
STO 6 RIMM DEC $125 Calls @ $3.60
-----> BTC 6 Calls @ $12.70
-----> STO 7 JAN$130 Calls @ $13.60 for net credit of ~$1,900
STO 6 RIMM DEC $105 Puts @ $1.30
BTO 15 RIMM MAR $120 Puts @ $10.40
I have about $6,000 in realized gains so far in RIMM and by the end of the month I can add some mroe to it based on RIMM's move from it earnings announcement. I may adjust again to go delta neutral before the announcement but so far so good..
With RIMM's earnings coming out around DEC 21st, after DEC expiration I decided to take advanatge of the move higher in RIMM and roll my short DEC $125 Calls to JAN $130 to give me more bullish profit potential and take advantage of inflated JAN premiums which are trading at around 47% v. mid 30%s for DEC.
UPDATED POSITION
RIMM ~@ $137
BTO 15 RIMM MAR $120 Calls @ $11.80
---->Sold 4 Calls @ $25.00
NET 11 Calls
STO 6 RIMM DEC $125 Calls @ $3.60
-----> BTC 6 Calls @ $12.70
-----> STO 7 JAN$130 Calls @ $13.60 for net credit of ~$1,900
STO 6 RIMM DEC $105 Puts @ $1.30
BTO 15 RIMM MAR $120 Puts @ $10.40
I have about $6,000 in realized gains so far in RIMM and by the end of the month I can add some mroe to it based on RIMM's move from it earnings announcement. I may adjust again to go delta neutral before the announcement but so far so good..
I did not make any adjustments yet to ISRG or DRIV and they are the biggest down positions of the 10. I am gonna wait until Monday after expiration and look at the charts and see whether I should make an adjustment or cut.
The biggest problem with ISRG is that the long side is a strangle and the stock is sitting right in the middle. I really do not like the strangle on the long side and I will do my best to avoid that in the future.
RIMM and a few others are in positive territory so I will reevaluate the portoflio on MOnday to see which adjustments I can make using January options. The good things is that my longs are all out 2 to 3 months so I have time on my side. I will update in over the next few days.
The biggest problem with ISRG is that the long side is a strangle and the stock is sitting right in the middle. I really do not like the strangle on the long side and I will do my best to avoid that in the future.
RIMM and a few others are in positive territory so I will reevaluate the portoflio on MOnday to see which adjustments I can make using January options. The good things is that my longs are all out 2 to 3 months so I have time on my side. I will update in over the next few days.
Coach,
I have the following position on FFIV. FFIV is trading above my dev short strike 75. I am thinking about the following adjustment. Please let me your thoughts.
Current price - 77.94
Close the calendar 2 - Dec 75/Apr.
Buy 2 APr 80.
It adjusts the delta to 12
It also reduces the vega.
Please see the attachment.
I have the following position on FFIV. FFIV is trading above my dev short strike 75. I am thinking about the following adjustment. Please let me your thoughts.
Current price - 77.94
Close the calendar 2 - Dec 75/Apr.
Buy 2 APr 80.
It adjusts the delta to 12
It also reduces the vega.
Please see the attachment.
How about a play on SPX's future volatility? VIX is at record lows, with the vol of VIX climbing....
I've been buying calls over the last week, and now that VIX's vol is climbing, I'm starting to sell OTM front month calls - a ratioed diagonal of sorts (long more).
The big risk is a vol crush in vix options themselves.
Attached is a graph of the near term potential - there is the feb thro' april rolls as well.
I haven't really any experience with the VIX options, so I assume I'm going to get screwed - any input?
Cheers,
Ugly
I've been buying calls over the last week, and now that VIX's vol is climbing, I'm starting to sell OTM front month calls - a ratioed diagonal of sorts (long more).
The big risk is a vol crush in vix options themselves.
Attached is a graph of the near term potential - there is the feb thro' april rolls as well.
I haven't really any experience with the VIX options, so I assume I'm going to get screwed - any input?
Cheers,
Ugly