Quote from rallymode:
I have data showing sensitivity to a change in vol, change in curve shape or a simple curve shift and without going into details i can say with a high degree of certainty that under current conditions the flip side has better expectancy and i would be all over it had it not been for the fact that such a trade as constructed would share the risk profile with a short put.
Now if you were to tell me that you intend to hold until the close on expiration day i would agree that there may be something there however any improvement in PnL would be very path dependent. Meaning you may have to sit through 50-100bps loss before you make 10 - 20 cents or breakeven. Not exactly prudent trading imo but since i am being vague feel free to disagree or disregard it completely.
fair enough and i appreciate your color.
your description is what i was aiming for, but i knew i would potentially experience losses and therefore kept extra on the side to add if i had to. i know this trade had some serious downside risk, but thats why i wasnt loading the boat with it (i took your advice from last time and kept it small). maybe ill move off it next time around, but we'lll see where we are at then.
because the pnl was able to be realized so soon, i took what i can get because the path that was presented to me. should we get back up there, i will probably look to do it again (but i may look for a better entry this time around)
good discussion, thx for the input. not all my trades have so much variance to the pnl