volarbs

destriero · Feb 9, 2023

11400 cash would have been a pin.

ET180 · Feb 9, 2023

Nice. Approximately how much did it cost to put the position on?

destriero · Feb 9, 2023

ET180 said:
Nice. Approximately how much did it cost to put the position on?

I had a bunch of combo-swaps (short straddle front, long strangle covering CPI) in a PM account. I can solve for it but it was a small req. I earned more than the req for sure. Was not a vol-arb, just a lucky close.

it365 · Feb 9, 2023

destriero said:
I had a bunch of combo-swaps (short straddle front, long strangle covering CPI) in a PM account. I can solve for it but it was a small req. I earned more than the req for sure. Was not a vol-arb, just a lucky close.

How does the third expiration play it's part?

destriero · Feb 9, 2023

it365 said:
How does the third expiration play it's part?

It's essentially a time fly. I have a risk-reversal trigger normed to ATM vol.

destriero · Feb 9, 2023

destriero said:
11400 cash would have been a pin.

12400*

it365 · Feb 10, 2023

destriero said:
It's essentially a time fly. I have a risk-reversal trigger normed to ATM vol.

Because you had a bias to the upside?

ET180 · Feb 10, 2023

destriero said:
It's essentially a time fly. I have a risk-reversal trigger normed to ATM vol.

What does "trigger normed to ATM vol" mean? (IV of short put + IV of long call) / 2 ~= ATM IV?

HeSaidSheSaid · Feb 10, 2023

ET180 said:
What does "trigger normed to ATM vol" mean? (IV of short put + IV of long call) / 2 ~= ATM IV?

prestige does need a little of mystery.

TheDawn · Feb 10, 2023

ET180 said:
What does "trigger normed to ATM vol" mean? (IV of short put + IV of long call) / 2 ~= ATM IV?

Google it. I am sure you can find explanations for it there.