for example: I want to own 1 March ES 1510 call and write 1 March ES 1510 call at the same time, without those positions netting each other...
Ok I think I am beginning to understand. Would another way of saying this be: the IVs from the call and the put are not fungible. In an extreme...
I don't understand why in this example you lose money if realized vol is higher than 21.5% and make money if its lower. I see how that would be...
Ok sure. I guess my core (probably naive) question still stands though. Realized volatility has to be 1 number between the time you open your...
ah ok a delta-hedged risk reversal is exactly what I am looking for. I used the vertical spread example because I didn't know if there was a term...
I think you misread? My example uses puts, so the $95 Put is OTM and the $105 Put is ITM
Please help me understand the flaws in this strategy. Let's say there is a significant amount of put skew. Underlying is currently at $100. $95...
oh man I wouldn't be surprised if ppl were just "arbitraging" the difference between var and vol swaps where they are struck thinking they were...
sounds like you've been doing this a long time do you have any specific examples of things not behaving as you anticipated / markets going...
I'm looking for some leads on interesting behavior you guys have experienced/witnessed over the years.
Yes that is the method I use. At the beginning of the year I have $X in the trading account and $0 in the cash sweep account. As I accumulate...
The return is pretty arbitrary, dependent on leverage, but mac asked for clarification so I gave it.
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