Trade Alert on SPY vol structure

[ajacobson]

 

[nooby_mcnoob]

so sell puts?

 

[Ayn Rand]

At first I thought you meant volume. Would have really appreciated an analysis of changes in vol over the last 2 weeks. But I suspect that vol = volatility.

If you were presented with the graphs above how would you use the information contained to influence your trading?

If it means there is more volatility now then before I know that. However, if you can tell me where the volatility is coming from that would be appreciated.

Also how are you measuring implied volatility. Some use a form of bid ask spread. Some use a value that makes their option pricing model work all other things remaining the same - ceteris paribus.

 

[ironchef]

Great post. Thank you.

Looks more like 2018 than 2008. Let's hope the recovery is similar.

 

[ironchef]

so sell puts?

Not a bad thought.

 

[jamesbp]

so sell puts?

Selling OTM Calls at high IV all the way down has been a good trade
... I seem to remember it working well back in 2009

As an example, Index Vols for Dec20 are 45% ( compared with normal levels of 15% )
... Calls that are 20% OTM ... are attractive ... if your assumption is that Vols will fall substantially on any rally

 

[Ayn Rand]

Do you guys actually trade size? Based on current information no one know what is going on.

I would suspect down on the open - ceteris paribus.

Anything could happen between now an then.

 

[pelman08]

Selling Vol seems like a nice idea over and buying a calendar on SPY also seem like a nice idea only problem is that vol might continue to go up even more given the fact that there is still plenty of uncertainty within the markets . I think those graphs are pretty significant but I do not believe there is a trade here