Post BrExit Vol

[Kibitzer]

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

Thanks. I had expected a down move after the BrExit vote down to around 1980-2000 level, but not this precipitously!

 

[jimmyjazz]

Futures are indicating SPY might come in just under 200, but short vol? Hmmm.

 

[JackRab]

its more about short gamma now

 

[jimmyjazz]

Depending on expiry, looks like those puts came close to tripling in value.

 

[Kibitzer]

Good, the SPX went back up after futures were down more than 100 points - my short SPY puts are okay. My other positions - short TLT puts, short VXX calls, and even my double calendar leftover are all doing great. Talk about dumb luck!

 

[Kibitzer]

Down move is not over. Bought SPY calendar 7/15-6/30 200P.