Vol-trading for beginners

rallymode · Feb 27, 2021

.sigma said:
In a decade? Care to elaborate why this is? What are you looking at and trading? Thanks

Yes more or less. Last time my short vol stuff worked so well was sometime right after the fin crisis of '08. The vix futures are ridiculously overpriced given how the sp is moving. If you have a robust method of spreading the two you are making bank. Just don't do what Ronin did :banghead:

Same Lazy Element · Feb 27, 2021

rallymode said:
Just don't do what Ronin did

Ronin blew up on the expiration trade, which is not really a short vol trade per se.

destriero · Feb 27, 2021

rallymode said:
Yes more or less. Last time my short vol stuff worked so well was sometime right after the fin crisis of '08. The vix futures are ridiculously overpriced given how the sp is moving. If you have a robust method of spreading the two you are making bank. Just don't do what Ronin did

I was short NDX vol and moved into SPX on Thursday close. I am short 40K vega and short 2-3K delts.

rallymode · Feb 27, 2021

Same Lazy Element said:
Ronin blew up on the expiration trade, which is not really a short vol trade per se.

I alluded to their size not method.

newwurldmn · Feb 27, 2021

rallymode said:
You lost me at "bought". I don't like buying anything but hard assets these days.

???
buying a put is like shorting the future.

Same Lazy Element · Feb 27, 2021

rallymode said:
I alluded to their size not method.

Yes, they literally bet the farm on a single print. YOLO in it's finest.

samuel11 · Feb 27, 2021

Same Lazy Element said:
Yes, they literally bet the farm on a single print. YOLO in it's finest.

wait, they yolo'ed on a vix monthly expiration?

Overnight · Feb 27, 2021

destriero said:
I was short NDX vol and moved into SPX on Thursday close. I am short 40K vega and short 2-3K delts.

This is very bad news for my outright longs I guess.

destriero · Feb 27, 2021

Overnight said:
This is very bad news for my outright longs I guess.

The short 40K SPX vols is a lot of impactful that 2-3K deltas. Vol trades inverse to price so the 40K vols should earn more than I lose to deltas. I made a lot on Friday trading D1.

Overnight · Feb 27, 2021

destriero said:
The short 40K SPX vols is a lot of impactful that 2-3K deltas. Vol trades inverse to price so the 40K vols should earn more than I lose to deltas. I made a lot on Friday trading D1.

Thanks for trying to make me feel better, in your weird options way, hehe.