I did a RC. Mar/June 55's. Will let you know tomorrow how it went.
On TOS, you can change IV as you wish for each month. Click on the wrench at the bottom of the screen, where you see the positions, then click on...
I agree with you, except that I don't think Vega is accurate just before earnings. Remember: Vega does not know that today is earnings. Yes, vega...
I don't know why TOS is flawed but this is very frustrating. Maybe someone here knows. My guess is that they use Vega for their calculation but...
OK, let's see what happens to volatility in back month/front month. My first guess would be that front and back would adjust to around 40%, which...
SO, on this CROX trade, you are assuming that Apr's will suffer more from IV fall, than Mar's, right? Let's see what happens as it was not the...
A couple comments: - On the simulation you sent from TOS for CRM, the date is 02/19. You need to change that. - About the short/long straddle:...
Here is a simulation one week before expiration, and one with IV +30%. Not a good trade, if you ask me, especially if you expect volatility to...
You are looking at March expiration right? This trade is not profitable at $95. Or at $85 in fact, especially if IV goes up. What is your bias...
I agree with your points, but I think the issue is with the way risk/reward is changed during earnings. In #2, even if it is a short vega position...
You can still do the trade on GOOG now, but at $470, as this is apparently where they are going to pin it.
It seems that, especially around earnings, vega calculations are way off. We have noticed (see "BIDU's earnings" thread), that even if vega is...
AAPl: premiums too low. I passed on the GOOG trade so far anyway, too far from $460. I might consider it later on, maybe with a ratio to bring the...
You make some really good points. I like your idea, I will look into it. My thoughts about front months getting crushed more than back month: even...
Ok, maybe I am thinking too much here. But what about this trade: - Buy 10 Mar/Feb calendar for 0.85 debit. - Sell 50 Mar /June calendar for...
Looking at either selling a horizontal or buying a credit ratio backspread.
One last question, from anyone here who can help: I thought back month were more affected by IV. In fact Vega was much higher on June than on Feb....
Well, my Mar/June 40's did ok, because there were more in the money. WHy does it make a difference? When they are more in the money, back months...
On BIDU, IV on the Feb 115's dropped from 112% to 76%. You are saying that IV drops more on the way down than on the way up even in these kind of...
Thanks for sharing. Will analyze all this later today. I am up $1,200 on the 20 spread on NTRI (Mar/June). Does not look like IV dropped that...
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