sorry sure so i was suggesting being short short-dated flies over events. this was a strategy citi claim to have invented and it did make a lot of money for them in fx before people started marking flies negative over events (so 15delta below atm). i agree with the claim that event flies are massively overvalued by the base vol and the vol gamma premium is worthless. they should mark at a heavy discount in iv space to the ats not way over. its definitely true as well that over gaps u want to be long atm short wings. then after the event the vol comes out when you are usually on top of the short strike. what can go wrong: main problem is you have to make sure to go into the event right on top of the long straddle so wait until last min to put on if its short dated. if it absolutely blasts through the strangle you will lose money on the delta at some point but we are talking it has to like outperform the event vol by a factor of 3 to lose money. if one could be bothered spread this out over 5 companies at earnings with> 50%iv on the overnight i think it makes money. they usually seem to underperform the straddle breakevens and here u get a lot better than that obviously..i don't do this on my own trading just for fgo
The butterfly megathread
- Thread starter VixTraderdf
- Start date
maybe i have had too many glasses of wine, but i literally had to take an Advil after reading this.
TO get back on track...
I did not have any other FLYS. However leaidng into APPL earnings I did short the NQ STRADDLE right before the close on APPL earnings day and closed it the next morning. We had several discussions with a former poster who thought this would not work haha. I did not post it because it was not a FLY per se but still a vol trade so posting the fills below. RIght before the close the almost ATM was over 100.00 and an easy sell fro me at 102.50.
With the vol crush and APPL moving somewhat sideways it came in quite a bit to 67.25 when I closed it the next morning not too long after the market open. Did not want to be exposed the rest of the day but all I wanted was the vol crush to capture anyway...
Another example of vol play
I did not have any other FLYS. However leaidng into APPL earnings I did short the NQ STRADDLE right before the close on APPL earnings day and closed it the next morning. We had several discussions with a former poster who thought this would not work haha. I did not post it because it was not a FLY per se but still a vol trade so posting the fills below. RIght before the close the almost ATM was over 100.00 and an easy sell fro me at 102.50.
With the vol crush and APPL moving somewhat sideways it came in quite a bit to 67.25 when I closed it the next morning not too long after the market open. Did not want to be exposed the rest of the day but all I wanted was the vol crush to capture anyway...
Another example of vol play
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OK so market popped through some support and looks set to begin a smaller leg higher to 2850-2875..ish.
Put on the following FLY:
Risk profile here with 4 days to expiration:
Not full certian of the move higher or chop we can expect so the this is a small reward unbalanced FLY compared to the range it covers. If we take out 2795 with any strength I bail but hoping we chop around for 2-3 days.
Put on the following FLY:
Risk profile here with 4 days to expiration:
Not full certian of the move higher or chop we can expect so the this is a small reward unbalanced FLY compared to the range it covers. If we take out 2795 with any strength I bail but hoping we chop around for 2-3 days.
Huge sell off today pushing the positoin to the limit so will decide end of day unless this really falls off a cliff. Looking to see if there is any type of rally into the close to cut the drop in half and keep ES above 2790...
Well it never recovered. Closed out the FLY today late as I was out all day (thankfully making money in my other business haha). Took a 30.00 loss. Oh well on to the next one!
beautiful, thank you for the example. you should post more. you seem knowledgeable.