volatility switches

Quote from atticus:

I am looking for 1.75 tomorrow at which point I will reduce by half.
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The switch did go to .02 and if my memory serves me correct, which i believe it does, i saw a trade go off at 0.00 on friday for a very small amount of time between 4:00-4:05pm, but it closed around 0.10 or 0.15.

Quite surprising how quickly it widened back out to >1.25 with little change in S&P 500 level (but i haven't ran the statistics on such a move, so for all I know it could be business as usual, please insert some thoughts on this)

Opening prices per bberg 5min bars:

Jun Jul
5/18/2012 15:55 28.00 28.05
5/18/2012 16:00 27.60 27.70
5/18/2012 16:05 27.80 27.82
5/18/2012 16:10 27.90 27.95

i'm not trying to knock your trade, i don't know your book, and I hope it does you right.
 
Quote from atticus:

It won't. You're simply long 2x an ATM call or put calendar. You're short gamma and long vol. This is short vol.
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Got it. Is there a way to somewhat replicate it? Thinkorswim doesn't have VIX futures. I guess one could use two of the VIX ETNs. Such short the VXX / long 2x VXZ (or use the XVIX, which does the same thing).
 
Quote from Jgills:

The switch did go to .02 and if my memory serves me correct, which i believe it does, i saw a trade go off at 0.00 on friday for a very small amount of time between 4:00-4:05pm, but it closed around 0.10 or 0.15.

Quite surprising how quickly it widened back out to >1.25 with little change in S&P 500 level (but i haven't ran the statistics on such a move, so for all I know it could be business as usual, please insert some thoughts on this)

Opening prices per bberg 5min bars:

Jun Jul
5/18/2012 15:55 28.00 28.05
5/18/2012 16:00 27.60 27.70
5/18/2012 16:05 27.80 27.82
5/18/2012 16:10 27.90 27.95

i'm not trying to knock your trade, i don't know your book, and I hope it does you right.
More...

Successful test of the SPX lows on Monday and, more importantly, breadth was significantly better today, even with a close on the low in DAX. I try not to worry about value at x-date. Selling puts on Friday was a nice bet, but you didn't see those prices at the lows today. Vol as synthetic time.

I expect cash to drop at least a dollar tomorrow. Perhaps $0.65 on Jun and 0.25 higher on the spread.
 
Quote from atticus:

Successful test of the SPX lows on Monday and, more importantly, breadth was significantly better today, even with a close on the low in DAX. I try not to worry about value at x-date. Selling puts on Friday was a nice bet, but you didn't see those prices at the lows today. Vol as synthetic time.

I expect cash to drop at least a dollar tomorrow. Perhaps $0.65 on Jun and 0.25 higher on the spread.
More...

I know you know what you're doing.

I'll have my chance to enter my trade later in the week when levels are even more attractive to be short this spread and your trade has become profitable.

Do you have thoughts on the es rallying 20pts while the euro stayed under 1.26? Did that weight into your decision to take the position you took?
 
Quote from Doobs789:

Got it. Is there a way to somewhat replicate it? Thinkorswim doesn't have VIX futures. I guess one could use two of the VIX ETNs. Such short the VXX / long 2x VXZ (or use the XVIX, which does the same thing).
More...

Nothing clean in VXX. Maybe the 19 calendar, or the 19/20 diagonal.
 
Quote from Jgills:

I know you know what you're doing.

I'll have my chance to enter my trade later in the week when levels are even more attractive to be short this spread and your trade has become profitable.

Do you have thoughts on the es rallying 20pts while the euro stayed under 1.26? Did that weight into your decision to take the position you took?
More...

I took a long on Friday because of the EUR close near 1.28. I'll admit the EUR close looks ominous. EURGBP less so, but that's a "cup half-full" view.
 
Quote from Doobs789:

Got it. Is there a way to somewhat replicate it? Thinkorswim doesn't have VIX futures. I guess one could use two of the VIX ETNs. Such short the VXX / long 2x VXZ (or use the XVIX, which does the same thing).
More...

Atticus was instrumental in introducing me to these many years ago. As he said, really there is no clean way to replicate this trade in options..imo also. In any case if he can get .25 thats a lot with the size i that i know he has done. Honestly, the trade can be over by 8:30am EST.
 
atticus, thanks for the great thread.

Are you trading the contracts or etn's? You don't mind the low volumes on the contracts? :cool:


edit--have you thought of doing spy or qqq options to trade volatility instead
 
Quote from atticus:

Successful test of the SPX lows on Monday and, more importantly, breadth was significantly better today, even with a close on the low in DAX. I try not to worry about value at x-date. Selling puts on Friday was a nice bet, but you didn't see those prices at the lows today. Vol as synthetic time.

I expect cash to drop at least a dollar tomorrow. Perhaps $0.65 on Jun and 0.25 higher on the spread.
More...
What if cash spikes tomorrow?
 
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