Which vehicle - straddles, calendars or straight puts?
The problem with buying vol on low VIX is that VIX can stay low and get lower for quite some time. Calendars might help offset the theta drain while you wait.
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
The problem with buying vol on low VIX is that VIX can stay low and get lower for quite some time. Calendars might help offset the theta drain while you wait.
This portfolio can be viewed as calendar spreads along with single options and synthetic long straddles. It is net +/-delta -gamma +theta +vega.
My decision to have a large vega exposure is not due to the historical low in VIX, though that was a consideration. It had to do with the forecast term structure of statistical and implied volatility. I have a lot of evidence to suggest that higher volatility will come sooner rather than later.
--segv
dont mind the newbies ;0)
after the last big run up i noticed that the diagonals were cheap.
i thought so anyway.
spx diag 1370 dec/1350 jan puts 1.80 debit
rut diag 770 dec/750 jan puts 1.55 debit
i am quoting "mid" prices from my ThinkoS trade screen
-----
a couple of days later .....today is tuesday
they have really gone higher
spx 3.10 debit and rut 2.65 debit
i wanted in..... but i dont have enough margin
anyway.... i am impressed with the increase in price in just a few days.
if i am looking at this wrong..... let me know. :0)
might have to just switch to IB to get SPAN
PS. big up to OC for everything..... especially the early days of this journal which are CLASSIC for learning in my opinion
after the last big run up i noticed that the diagonals were cheap.
i thought so anyway.
spx diag 1370 dec/1350 jan puts 1.80 debit
rut diag 770 dec/750 jan puts 1.55 debit
i am quoting "mid" prices from my ThinkoS trade screen
-----
a couple of days later .....today is tuesday
they have really gone higher
spx 3.10 debit and rut 2.65 debit
i wanted in..... but i dont have enough margin
anyway.... i am impressed with the increase in price in just a few days.
if i am looking at this wrong..... let me know. :0)
might have to just switch to IB to get SPAN
PS. big up to OC for everything..... especially the early days of this journal which are CLASSIC for learning in my opinion
Yeah good early days, hopefully we bring back that focus and exchange environment again 
.
I have not been able to enter any positions for DEC so that is why I have been so quiet. better to sit then chase bad premium.
.I have not been able to enter any positions for DEC so that is why I have been so quiet. better to sit then chase bad premium.
Sigh, wouldn't ya know it. Just as soon as I try an in the money debit spread SPX steps back 1 to 2 steps , goes flat line to sideways to invite a perfect Iron Condor opportunity. But VIX denies it by making motions toward new lows and the 8 level.
I am still trying to get a few upside credit spreads and more downside credit positions if we can get any short term chop motion. It looks like SPX is trying to invite premium sellers to dance closer to the bull's horns. Not gonna fall for it's tricks...
TS
I am still trying to get a few upside credit spreads and more downside credit positions if we can get any short term chop motion. It looks like SPX is trying to invite premium sellers to dance closer to the bull's horns. Not gonna fall for it's tricks...
TS
Quote from optioncoach:
Yeah good early days, hopefully we bring back that focus and exchange environment again
I have not been able to enter any positions for DEC so that is why I have been so quiet. better to sit then chase bad premium.
I've always had trouble with bull markets. I picked up one Dec IWM 76/77P credit spread @ $0.50 a week ago, just to watch how it goes.
The last time I won with Puts was last Winter with a IC spread on GOOG.
Then GOOG tanked. I consistenly got burned with Puts since.
Need more study.
Cru
segv,
As I did similar portfolio with rut, I have found the risk profile (estimated by TOS) might not be accurate because of the volatility skew. For example, suppose rut goes down 10 points, the rvx increases by 1%, but my vol of long calls might go down because of the skew. The use of vega to estimate the profit is far from accurate. How to do you handle this issue? Do you model each individual vol?
those pesky newbies....considering that the spx has only gone sideways since the leg up.... and that vix has gone down..... below 10 vix no less.....
[i must be missing something...somethings]
why did these diagonal premiums go up so much ?
did anyone snag any of those cheap diagonals immediately after that last up (i guess 3 days ago) ?
i should check the historical prices on the individuals to make sure i am not in la-la land
PS. i almost forgot... as a newbie... i should say something like gamma gamma vega curvy. :0) no offense to the guys from greece.