A diagonal or calendar perhaps? I don't think I have ever seen IV's this low. Right now Dec 1405 is showing 8.18 IV :eek: Is something wrong with my computer? Do I need to give it a shake????
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
I did do a Nov/Mar 1350 put calendar and never rolled it so will be looking at a diagonal for Dec/Mar. Might open a Dec/Mar 1375 P calendar as well....depending on the spreads (SPX)
With VIX this low, I'm not doing any credit spreads -- just not a good deal -- instead buying calls/puts or debit spread.
Quote from TrendSailor:
You betcha - because VIX is going even lower and these "low" levels are going to be looked at as the "good ol days" for a while. So I am getting it while there is still premium to be had. Besides, "someone" has to make a market for all the buyers right? With the market not giving much motive to write for premium it kind of implies a sure-thing directional bet right?
In all seriousness I am not much worried on the down side this period. I am interpreting a low and further declining VIX as either 1) VIX itself self reflecting that "it" thinks volatility is about to have a wild increase higher or 2) the market is getting accustomed to sustained upward buying pressure and its bullish directional orientation.
If case #1 manifests itself with a sharp rise in volatility in the next 5-10 days I'll put on some bear call credit spreads far OOM for good premium and pick up even more bull put spreads for higher premium on a market down run.
If however volatility stays about where it is or further declines as in case #2 I am going to assume a continuation of a bullish trending market and put on a bull call debit spread on the first short run down and attempt to pick up some modest profit on a small directional play.
Its not as sophisticated nor as avant-guarde as all the exotic "curvature" trading being pontificated of late but its simple and I think a reasonable Dec play given that my expectational analysis for the period plays out. If it goes against me I'll just close it out early and go take holiday sooner.
What are you intending to do for Dec trades give this VIX environment?
TS
I like to re-read Market Wizards I and II from time to time, and thought I'd post the top 5 takeaways in case anyone might benefit from a refresher:
1) Don't trade without a trading plan.
2) Cut your losses, let your profits run. Managing risk is critical (and you can't manage risk without a trading plan a la 1)). Many folks take profits quickly and gamble with their losses... which is cutting your profits and letting your losses run!
3) If you have a fear of losing (and can't take small losses) you will eventually have a big loss and miss great opportunities.
4) You must have an edge. If you don't know what your edge is, you don't have one.
5) If you feel the need to get someone's opinion on a postion you're in, it's a sign that you should get out of that position.
1) Don't trade without a trading plan.
2) Cut your losses, let your profits run. Managing risk is critical (and you can't manage risk without a trading plan a la 1)). Many folks take profits quickly and gamble with their losses... which is cutting your profits and letting your losses run!
3) If you have a fear of losing (and can't take small losses) you will eventually have a big loss and miss great opportunities.
4) You must have an edge. If you don't know what your edge is, you don't have one.
5) If you feel the need to get someone's opinion on a postion you're in, it's a sign that you should get out of that position.
If anyone on this thread is interested in learning more about riskbased haircuts or prop trading in general, Don Bright and I will be holding a live chat in a few weeks for ET. Details are here:
http://www.elitetrader.com/vb/showthread.php?threadid=80880
For those of you in Chicago, Charles Cottle will be coming out to speak to my options group in Chicago Monday night. Our group is similar to Murray's in Grand Rapids, an educational group that meets once a month.
http://www.elitetrader.com/vb/showthread.php?threadid=80880
For those of you in Chicago, Charles Cottle will be coming out to speak to my options group in Chicago Monday night. Our group is similar to Murray's in Grand Rapids, an educational group that meets once a month.