SPX Credit Spread Trader

[Vol]

Quote from scoobie27:

Just got home from a big night out on the southern hemisphere. Well you got me very interested. What the strategy? CTMs? Debit diagonals?

No specific strategy in mind. But might look at ctm, calendars, DDs. Vols were very high in 02 esp July+. June/July were rough months. But if you had mm plan and stepped aside the freight train you lived to reap great vega rewards subsequently.

Have played with the idea of straddle/strangle swaps - buy strangle at low iv and sell straddle/ctm strangle at high iv. Timing of vol is key and as we can see, even though vol is supposedly mean reverting, it ain't that easy to predict. Damn thing never follows the rules!

 

[Vol]

Quote from yip1997:

Anyone has a suggestion to reduce gamma risk for premium sellers without reducing theta profit?

pm me for price quote of infallible strategy that accomplishes what you ask.

 

[riskarb]

Quote from Vol:

pm me for price quote of infallible strategy that accomplishes what you ask.

Oh Jesus. Right, and I suppose it abrogates pricing theory. Yeah, please confine it to PM. Thanks.

 

[Vol]

Quote from riskarb:

Oh Jesus. Right, and I suppose it abrogates pricing theory. Yeah, please confine it to PM. Thanks.

Forgot the after my post.

And for your response you miss out on the one time half price for Infallible Strategy^TM



P.S. Does longevity at ET correlate with level of cynicism?

 

[riskarb]

Quote from Vol:

Forgot the after my post.

And for your response you miss out on the one time half price for Infallible Strategy^TM

lol, RETRACTION!

 

[rallymode]

Quote from yip1997:

Anyone has a suggestion to reduce gamma risk for premium sellers without reducing theta profit?

PM momoney, he invented a new pricing model which allows one to collect theta while being long gamma. Nevermind riskarb's post, he is just jealous because he isnt aware of the model yet.

 

[RichardRimes]

Rally, coach and anyone else who is good with trendlines/charts. I'm working on my art 101 skills. The enclosed chart has two lines. Which (if either) would be more valid? The upper one starts with the high 8/04/06 but it was actually a down day. The lower chart is the breakout green candle on 7/28. The thing about the lower trendline is that there are 2 other points, 8/17, and 9/27 where the line can touch. Whereas the upperline has no real place to touch. Thanks!

 

[riskarb]

Quote from rallymode:

PM momoney, he invented a new pricing model which allows one to collect theta while being long gamma. Nevermind riskarb's post, he is just jealous because he isnt aware of the model yet.

I thought that was Mav's primary strat? Did Mo license it to Mav? I am still attempting to wrap my head around how one can be long gamma whilst selling aapl 60 puts.

 

[iprph90]

Quote from Vol:

pm me for price quote of infallible strategy that accomplishes what you ask.

...."but wait there's more"

 

[daytrader85]

Quote from momoneythansens:

You'll notice VIX has made higher lows on each rally.

I just noticed that. Today, SPX closed down 3.64 but the VIX also closed down 0.42!! How would one read that??

Also, does anyone have a weird spike on their VIX chart? I have a low of 10.54 on the first bar of the 60 minute chart?

Thanks.