Post BrExit Vol

i'll be short gamma, obviously :)

This said, there are so many ways to be short skew in a loss-limited manner (in my case, I bought an ITM DOP) and not worry about delta hedging it.
 
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just21 said:
What happens if the vote is leave and market declines to your strike?
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That would be the best case scenario, if it lands near the put strike at the end of the day. If it's an early, sharp drop there, I will look at the charts to try to determine what to do next.

I took off most of the position anyway, but I want to see what happens with the rest tomorrow.
 
This spread is going to hurt now I think... ES at 1999 now and your vega isn't going to cover for the loss on short strangle.

What did you pay for the spread? 30?
 
No problem for me on that position - I took off all but a token few contracts to see what would happen to it on Friday. The "problem" I have is my naked SPY 6/24 200P position! :)
 
hmm that might work out alright... depends on how low europe goes. If they stay around -6% you'll be okay I think... Good luck
 
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