Trying pitch fork

[vanv0029]

Thanks Drownpruf for the pitchfork idea.

I have been trying to use the pitchfork idea for a while, but it was
not been possible to enter it at about delta neutral:

Here is what I am trying (10 SPY = 1 SPX):

short 1x July 1895 call SPX for 61.40
short 3x July 1895 put SPX for 11.20

 

[actionzip54]

What's the idea behind this?

 

[kinggyppo]

What's the idea behind this?

my guess

http://www.elitetrader.com/vb/showthread.php?t=244704&highlight=atticus+pitchfork+thread

 

[RichardRimes]

van..the pitchfork works great in higher IV...I think the IV is currently too low for this trade...jmo

 

[Doobs789]

Thanks Drownpruf for the pitchfork idea.

I have been trying to use the pitchfork idea for a while, but it was
not been possible to enter it at about delta neutral:

Here is what I am trying (10 SPY = 1 SPX):

short 1x July 1895 call SPX for 61.40
short 3x July 1895 put SPX for 11.20

It looks pretty close to neutral to me.

 

[daniel5198]

Thanks Drownpruf for the pitchfork idea.

I have been trying to use the pitchfork idea for a while, but it was
not been possible to enter it at about delta neutral:

Here is what I am trying (10 SPY = 1 SPX):

short 1x July 1895 call SPX for 61.40
short 3x July 1895 put SPX for 11.20

Do you realize you are completely naked here? The risk is unlimited to both sides. Any sharp move in any direction and you are screwed.
Having said that, this looks like a smart way to trade the volatility skew IF you are very experienced, hedged elsewhere, and when volatility is higher when you enter this short vol position.
Oh, and it's fairly delta neutral when you enter it. This will quickly change once the market starts to move.

 

[drownpruf]

It's primarily used to put a figure on skew. Normalized with a rolling-OTC expiration. I use it as a historical reference and trade them on occasion. Maybe 1-2 positions a month.