I suppose this is a play on the VIX futures term structure? Is this a bet on "mean reversion" to the "normal" state of the curve?
I have a question on the estimation of earnings and ambient vol. Would appreciate if someone can clarify. For concreteness, consider MU, which has...
If it's vol as synthetic time, wouldn't the actual passing of time mean the vol ramp is offset by theta decay? If so, wouldn't a pre-earnings...
This seems like an interesting strategy, but it's difficult to implement without reliable implied vol data. What's your data source for the vol...
if you have access to WRDS you can find this data on Cap IQ or IBES.
I'm hesitant to ask any more ELI5 questions on this, but could you explain why you'd want to buy a fly when skew is steep? I was under the...
Thanks, I've just started reading Derman's Vol Smile book. Going through the last few posts, it's clear that I have a lot to learn on this subject.
Can you explain what "stickiness" and "QnD" mean?
That makes sense, but what about timing? Even if it's impossible to find a cheap spread, I'm just trying to avoid buying these at an intraday...
I've been looking for information on how to price an ATM 1-2-1 butterfly spread, and I haven't been able to find anything useful so far. All else...
The reddit links are from the notorious r/wallstreetbets. It has around 300K subscribers who YOLO (go all in with short term long calls/puts) on...
Des - Just wanted to say, thanks for posting your trades. I've learned a lot from them and it's helped me improve my trading quite dramatically...
This website has an amazing amount of data available for free. Is the data reliable? In other words, are the IV calculations comparable to those...
The short month expires before earnings, so I imagine it wouldn't have the expected earnings move priced into its vol.
The entire position would be closed before earnings, so we wouldn't actually be there for the jump. Assume the underlying is unchanged or we're...
So I came across the following calendar spread strategy based around earnings - Short the month (or week) just prior to earnings, and long the...
des - From your posts, it appears to me that your butterfly trades are primarily based on the difference between stat vol forecasts and current...
I find it hard to believe that any differences in term structure before and after earnings aren't already priced in. Seems to me like these "pure...
Could you explain how this position would make money? I understand you're effectively short vol for the near dated expirations and long vol for...
Could you explain how you determined the fair value to be -200, or would that give too much away?
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