Riskarb's combo to fly conversion journal

El OchoCinco · Mar 1, 2006

Got ya Thanks...

Quote from riskarb:

A move to 350 may precipitate the vol-drop. The strip vols rally with the stock.

Cache Landing · Mar 1, 2006

Quote from optioncoach:

My screens are coming up empty, nothing good to trade on for combo to FLYs.....

Sure are far fewer candidates when we aren't right in the middle of (or coming up on) earnings season.

pismo10 · Mar 2, 2006

Quote from Cache Landing:

Sure are far fewer candidates when we aren't right in the middle of (or coming up on) earnings season.

This may be good. It illustrates the cyclical nature of IVs which this methodology depends upon.

ssternlight · Mar 2, 2006

Quote from IV_Trader:

I am long JUNE 370 straddle for 64.80 , hoping vols will hit 42-43 before close.

How did that work out? I missed how the day ended.

IV_Trader · Mar 2, 2006

Quote from ssternlight:

How did that work out? I missed how the day ended.

closed at 66.2 with 1.40$ profit, vols hit 42%

IV_Trader · Mar 3, 2006

Looking to short 390 (or 400) MAR or APR (both non-reporting months) straddle at the open. If vols dumping into the weekend will repeat last couple of weeks action , this should be a good trade , especially if GOOG price goes up ("flattening delta" , right , Riskarb ?).
All depends where the stock an vols opens.

volatilitypimp · Mar 3, 2006

Can anyone point me to some resources for practical applications of trading the vol/variance swap market? Is this a maturing and/or liquid otc market? How can a retail trader like myself get involved with these products?

I suppose if I want to do my moniker justice, I'd better be able to successfully trade these instruments.

riskarb · Mar 3, 2006

IV -- I'd go slightly itm on calls to go neutral to bearish into the weekend.

VolPimp -- Check out wilmott's bookstore for vol/var swap texts. These are traded otc through a bank desk and it requires a lot of capital. Nobody in retail trades in the swap market.

IV_Trader · Mar 3, 2006

went with short 390 APR for 49.80, but only 2 contracts ( damn morning mess) at 43.5 vols

riskarb · Mar 3, 2006

I like the ISRG par straddle at 55vol and a $17 credit for April. Quite a bit of long delta, however you're getting paid 200-250 over the neutral combo to carry those long deltas. $9 in extrinsic value.