qqqq iv

xflat2186 · Sep 25, 2007

Quote from atticus:

Q^4 is arbed into oblivion, so don't concern yourself with put vs. call. They're going to trade within a tick of the conversion/reversal arb. IV is 18.50%, not 16.50%; still cheap.

The markets in the put call parity are just too tight to be out of line. Its not really being arb'd its just that the market has become so efficient.

atticus · Sep 25, 2007

Quote from xflat2186:

The markets in the put call parity are just too tight to be out of line. Its not really being arb'd its just that the market has become so efficient.

I was speaking generically -- through P/C parity which is artifact of R/C markets. I realize it's not a replication issue nor actual prints on R/C arbitrage.

IV_Trader · Sep 29, 2007

OP , I hope you didn't got hurt a lot on this trade. As I stated few times before , RV is totally unreliable and it's not easy to find an alpha scalping (long) trade based on RV/IV lead/lag relationship. This week's price action is a perfect example.
That's why I personally scalp cyclical vols only.

tman · Sep 29, 2007

Quote from IV_Trader:

OP , I hope you didn't got hurt a lot on this trade. As I stated few times before , RV is totally unreliable and it's not easy to find an alpha scalping (long) trade based on RV/IV lead/lag relationship. This week's price action is a perfect example.
That's why I personally scalp cyclical vols only.

I opened the position Monday, long 30 qqqq oct 52 puts @ 1.45, I rebalanced every 100 deltas. My FIFO P/L on the qqqq's is 204.27, MTM P/L on the qqqq's is (367.00), MTM P/L on the puts is 730.27. Therefore, I am up $567.54 on an initial outlay of $4350.00. Risk was obviously only a small fraction of the initial cost.

Thank God for path dependence, (and unbundled commissions)

Thanks for asking..............Tone

IV_Trader · Sep 30, 2007

Quote from tman:

I opened the position Monday, long 30 qqqq oct 52 puts @ 1.45, I rebalanced every 100 deltas. My FIFO P/L on the qqqq's is 204.27, MTM P/L on the qqqq's is (367.00), MTM P/L on the puts is 730.27. Therefore, I am up $567.54 on an initial outlay of $4350.00. Risk was obviously only a small fraction of the initial cost.

Thank God for path dependence, (and unbundled commissions)

Thanks for asking..............Tone

great results