Any idea what vol will be tomorrow? I put on the following SPY Double Calendar trade on Tuesday: +JUL8 213C +JUL8 205P -JUN24 213C -JUN24 205P The position is doing well, but I plan to hold it through Friday. I'm hoping the vol drop won't be like in earnings report, and hope there is some bid for vol because of other remaining issues.
Not sure I understand. I don't know how to forecast vol - I just use Black Scholes to determine IV. I expected vol to stay strong up to today, and with front IV high I decided to put on a calendar spread. The strikes were chosen based on my charts.
What I really wanted was to range trade until right before (safer) or possibly right after BrExit. I chose 205-213 range. I could have put on an iron condor or fly on Tuesday instead, but thinking vol will continue to go higher before the vote I didn't like it, which is why I chose a calendar position. I have partially exited from the position and maybe will wholly by the end of today, as I don't know how low vol will be tomorrow.
I just put on something similar but in OG options. Long the 1250 put cal and 1300 call cal in AUG/Jul. Mostly put on today. I guess we will see if I get crushed too.
Cable skew spiked and getting crushed today, 1m 25d riskie is in 2 vols. This said, it's still at historical lows but I bet we'll see it south of 3 tomorrow.
He/she is implicitly forecasting it, innit? I dunno abt the specifics of this particular trade, since it's SPY. However, given what's been going on in other assets, it doesn't appear stupid, provided Bremain does prevail. Obv, some other minor complications, as well. Maybe I'm missing smth. Yeah, I was also thinking of cable vol, sle.