better yet google her name...followed by the word "nude" LOL
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
The OP (me) is always around! Since you are new to the thread you could not find the answer buried in all of these posts so I will restate it for the new friends.
In 2007 I stated that the vol environment had changed significantly and I felt that these spreads were no longer appropriate to focus as much attention given the higher vols. Most people do not realize that with vols in the 10-20% range, the premiums are lower but the market has slower movements and it makes it easier to manage these positions and collect premium month in and month out. Once the vols spiked into the 30-50 range, the market swings are huge and more unpredictable despite the higher premiums.
Now some may say the distance out of the money in the low VIX environment you use is equivalent to the distance in the high VIX environment on a percentage basis given the higher premiums further out in time. In other words in low VIX you go out like 60 points OTM and in higher VIX you can go out like 90 points and still get good premium do to higher VIX and skew with respect to put side.
However for me the low VIX environment is not just about the premiums it is about the nature of the market - quiet, drifting higher for the most part and easier to handle, then the wild bronco that was the market from 2007-2009. If it is just my perception then fine, but it is me trading the product. I was very glad to move on to other strategies more focused on vols since vols were back with a vengencance and were here to stay for some time (Flys, Calendars, straddles, etc..).
With respect to risk management, I have always said the best risk management with these positions is to simply not dedicate all your capital to these trades and you will never blow out. I used to average anywhere from 25%-50% of total capital in these trades and usually towards the lower end for safety.
Just thought I would bring back this post from 2010 as I sometimes get similar questions...
Fattail is coming back as something quite new... I got a little distracted selling the last company, but it's being developed in earnest now. Glad you guys are doing well.
just saw your post..
speaking for myself... i met some really great people i talk to 8 years later. not to mention some inner circle strategy that runs my trading life now...
good luck!
Fattail is coming back as something quite new... I got a little distracted selling the last company, but it's being developed in earnest now. Glad you guys are doing well.
Hey there J, it's been a while. Make sure you keep us posted on your new project.
Back then, I never would have known that that inner circle journal had so much promise. I wonder if segv kept the fattail server logs, that stuff worked for the better part of a decade and was moderately scalable. I think he did and thats why it died. Maybe we should get a cut from the sale of his company. LOL
And I am still waiting on that steak dinner from you.
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Hey there J, it's been a while. Make sure you keep us posted on your new project.
Back then, I never would have known that that inner circle journal had so much promise. I wonder if segv kept the fattail server logs, that stuff worked for the better part of a decade and was moderately scalable. I think he did and thats why it died. Maybe we should get a cut from the sale of his company. LOL
And I am still waiting on that steak dinner from you.
just one more short vol mess to get out of ....