Vol-trading for beginners

Overnight said:
Thanks for trying to make me feel better, in your weird options way, hehe.
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Short version: No, it's not bad news for your longs.

Slightly longer version (@destriero, please do correct me if I miss something): pros price options in volatility instead of dollars, and vol usually moves inverse to price - so since he's short those vols, he's actually long the market. Deltas, on the other hand, are a way to define trade or portfolio exposure to movement - so (assuming they're beta-weighted to SPX) for every point of SPX movement up, he's going down by $2-3k (since he's short that many deltas.) But since his vols are "a lot" more impactful than his deltas, he's net long.

So, if being on the same side of the trade that Destriero is doesn't hurt your feelings, then stick with it. :)
 
@destriero @Same Lazy Element @rallymode @newwurldmn

How would you structure a short VIX trade for an account with limited funds? This account is a YOLO and can go to 0. Thesis is VIX to 15 and stays there for awhile.

Short front month/long next month VIX calendar and keep rolling? Long SVXY?

Can anyone elaborate on some structures that are possible in a larger account but not in a smaller account?
 
newwurldmn said:
???
buying a put is like shorting the future.
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Well, in direction - sure but the risk profiles are quite different. No?

In my opinion index vols will take a while to come back down to earth. And it's likely to be a very gradual process. Being long premium on the tail side of a crisis isn't something i am a fan of.
 
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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.
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If you can divulge, what's the plan if we open -100 tomorrow? Out of curiosity.
 
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rallymode said:
Well, in direction - sure but the risk profiles are quite different. No?

In my opinion index vols will take a while to come back down to earth. And it's likely to be a very gradual process. Being long premium on the tail side of a crisis isn't something i am a fan of.
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The whole term is at 29 and prior to this week we were sliding 3-5 points in 30 days to 22.

I think the probability of vix being at 15 and the whole term following is higher than vix remaining at 22 or 30.

my macro view is that Covid is over and markets will not see a material sell off other than perhaps a vol spike (a la 2006) or two.

given my other positions, I need to be long convexity at the tails.
 
newwurldmn said:
The whole term is at 29 and prior to this week we were sliding 3-5 points in 30 days to 22.

I think the probability of vix being at 15 and the whole term following is higher than vix remaining at 22 or 30.

my macro view is that Covid is over and markets will not see a material sell off other than perhaps a vol spike (a la 2006) or two.

given my other positions, I need to be long convexity at the tails.
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I agree with rally here. On one hand, there are more and more yolo retail call buyers keeping overall vols elevated, and career risk forcing "professionals" to buy downside convexity as well, both keeping VIX elevated compared to realized. I think it will take some time too
 
samuel11 said:
I agree with rally here. On one hand, there are more and more yolo retail call buyers keeping overall vols elevated, and career risk forcing "professionals" to buy downside convexity as well, both keeping VIX elevated compared to realized. I think it will take some time too
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you think the 3-7months of the vix are fair at 29?

I don’t follow why you and him are in favor of shorting the vix but not doing it through puts.
 
newwurldmn said:
you think the 3-7months of the vix are fair at 29?

I don’t follow why you and him are in favor of shorting the vix but not doing it through puts.
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Long convexity comes at a cost. It’s cheaper for me to hedge the short vol.
 
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