volarbs

[traider]

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

Does the strike of the front straddle make a huge difference in the pnl? Is it very dependent on picking the right strikes for the front?

 

[destriero]

Does the strike of the front straddle make a huge difference in the pnl? Is it very dependent on picking the right strikes for the front?

Well sure.

 

[destriero]

Had the combo-swap payoff yday and now my skew locks in ES and NQ futures are in the credit tail. A good week.

 

[destriero]

Let’s go!

 

[destriero]

Gave a little back

 

[it365]

@destriero what is your work flow? Calculate the swaps in excel or something and then model in TOS?

 

[destriero]

Excel, yeah.

I shorted VX x ES 3/1. Boosted returns to a touch of 5% on the day.

 

[destriero]

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

No, I take my RR/ATM vol. It's a non standard RR calc.

 

[destriero]

I am trading this tomorrow and it does not show the terminal (improved) payout. The distro goes from Cauchy to lepto but does not trade below x under any volshift. I've pulled 1000 beeps out of it. Peak PNL is $35K and PM/TIMS requires $980 initial req. Var on maintenance is about $200 but increases to double on last trading day.

It is long vol (unimodal) does not flip. I px it -10 handles which is extreme.

Fcking thing closed at an 0.80 debit but cost me $1.80 to fill the COB order. Now, It's just fantastic and ran $800 under PM for the size shown in the stress. Less than I would be charged to buy a box.

 

[destriero]

6K lot SN skew lock requires zero BP under TIMS. Zero.