Volatility Dispersion Strategy

Quote from Mispe:

Thank you Metooxx

So not only dispersion but also diversification !

The idea is one short strangle on the index and a long strangle on components representing 30 to 40 % of the corresponding index (all options close ATM). It has to be be hold, I suppose, at least 2 or 3 weeks.

I still am scared with the shorts.

I am not limited by capital or by time. I just try to find a strategy as neutral as possible with limited risk. It could be that or something else.
Delta Neutral trading or Gamma scalping is a lot of work and follow up, for a very small result.

Anyway I am tired of directionnal trading (for index or equities).

I could sell premium but did not yet find the good strategy.!
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You have the general idea; but there are more versions than you can imagine ...
 
Please, be more explicit.

Or putting it differently, Is there somewhere a website or a book dealing specifically with the practicalities of these questions ??
 
Quote from Mispe:

Please, be more explicit.

Or putting it differently, Is there somewhere a website or a book dealing specifically with the practicalities of these questions ??
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You have the basic idea. Without getting into proprietary implementations; it should be easy for you to put it up on a spreadsheet with a data link and play around with the theory for a couple of months to get comfortable ...
 
there isn't even 20 stocks in the bbh and 5 stocks make up more than 50% of the index. smh has less than 20 stocks. sox has less than 20. xau has less than 15. osx has less than 20. i wouldn't even think of trading this strategy unless it was a small highly correlated sector. i think your capital needs are whatever you want the size to be, and you can be virtually riskless. add in a couple of different tweaks and you have the makings of something highly profitable. it's a valid strategy and it works. i don't know about ivolatility, but do look into it.
 
Quote from raa1010:

there isn't even 20 stocks in the bbh and 5 stocks make up more than 50% of the index. smh has less than 20 stocks. sox has less than 20. xau has less than 15. osx has less than 20. i wouldn't even think of trading this strategy unless it was a small highly correlated sector. i think your capital needs are whatever you want the size to be, and you can be virtually riskless. add in a couple of different tweaks and you have the makings of something highly profitable. it's a valid strategy and it works. i don't know about ivolatility, but do look into it.
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I don't think the conversation is limited to such a narrow trade.

I think we are talking about multiple sectors ...
 
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