SPX OTM calls IV crush

[Same Lazy Element]

And you want to have the exact opposite (Long 1 ATM / Short 2 25d Calls) on the way back up....like how we've been slowly rallying the past few weeks with VIX getting crushed. Probably an even bigger winner when market slowly rallies to your 2 shorts.

Yes, it's nice to be long both gamma and vega in a violent selloff and nice to be short both in a slow recovery. Just like it's better to be rich and healthy as opposed to sick and poor

PS. I do have a bit of Dec 3000/3400 ratio CS from mid-March, so in a sense I do have that position on, but not gonna keep it much longer.

 

[taowave]

That's right,rub it in...
When the market was melting down,I put on the May 280 340 1 x4 call spread for even money..

On the rally,I sold out for apx 2 bucks,leaving 10 bucks and counting on the table..

Definetly my biggest weakness..

Did you leave it on as a punt or scale out at all??

Yes, it's nice to be long both gamma and vega in a violent selloff and nice to be short both in a slow recovery. Just like it's better to be rich and healthy as opposed to sick and poor

PS. I do have a bit of Dec 3000/3400 ratio CS from mid-March, so in a sense I do have that position on, but not gonna keep it much longer.

 

[Same Lazy Element]

@taowave i took a clip off to make me feel warm and fuzzy. However, I kept most - my thinking was that even if we start dumping again, Vega is not gonna catch the same bid as in early March. Short positions in all the taily shit have been blown out and a lot of the vol demand was their unwinds. Without a forced covering, it’d unlikely people are gonna lift strikes close to ATH.

FWIW, I feel like vol at the front end is starting to look attractive

 

[gowthamn]

Here are the IV for the 5 delta 1 year and 25 delta 1 year from our options API:

Especially the way OTM have fallen sharply.
To your question do traders think the market will fall: here's a graph of the 50 delta / 25 delta 1 year IV:

The third graph from the bottom shows this ratio. As the market fell, the ratio of the 50 / 25 delta rose. Then, right at the bottom the ratio fell sharply.When the ratio started rising, so did the market.
I don't see evidence that traders think that the relationship between the 25 and 50 delta shows that the market is more likely to fall.

Instead of doing 50 / 25 delta on IV, if I do 50/25 delta on price, would the result be same?

 

[destriero]

Instead of doing 50 / 25 delta on IV, if I do 50/25 delta on price, would the result be same?

Are you a bot? How do you arrive at delta? Were you dropped on your head?