one-offs

[mayura]

@poopy does skew lock use only calls or calls and puts?

 

[poopy]

Calls and puts. It's a path-dependent skew modality trade.

 

[poopy]

https://youtube.com/shorts/Qwxfpd8puMQ?feature=share

 

[mayura]

How about this? I replicated your SL trade.

 

[poopy]

How about this? I replicated your SL trade.

View attachment 346811

You boosted the vols (volshift +) and your thing is simply a ratio calendar on a three day between exps. It's going to get wrecked but good luck with it.

 

[mayura]

You boosted the vols (volshift +) and your thing is simply a ratio calendar on a three day between exps. It's going to get wrecked but good luck with it.

Yeah it is ratio calendar but no volshift. I'll paper trade this and see what happens. Thanks.

 

[mayura]

Yeah it is ratio calendar but no volshift. I'll paper trade this and see what happens. Thanks.

Isn't it skew lock also a ratio calendar fly?

 

[tooriginal]

Calls and puts. It's a path-dependent skew modality trade.

why is it path dependent if you're not delta hedging?

 

[poopy]

why is it path dependent if you're not delta hedging?

bc I am not referring to delta-sens. I am referring to another moment.

 

[poopy]

Yeah it is ratio calendar but no volshift. I'll paper trade this and see what happens. Thanks.

Well then your model is optimistic. It's definitely a three calendar day ratio calendar with a weekends as trading days (SPX). Your back vols are trading about 200 beeps under the front.