The answer to this question depends on what your expectation for vol is over the remaining life of the options. If you're trading SPX, 30 points...
jonny1lot- Just because that is what happens in practice with you does not mean that's how it is for others. EliteTraderNYC- You can delta...
You could mitigate risk via some type of delta hedging strategy for the condor. This of course is far more difficult in practice than it would...
Again maybe others have had success with something along those lines. That's a bit too granular for me, so I can't really comment on it.
You're not crazy. Most people describe volatility as being mean-reverting over a fairly clear defined range. There are caveats to this, such as...
Actually I gave back a bit of what was a profitable day for me on that move. Note that I said nothing about P&L before. My point was that the...
That size move is just about in-line with what you'd expect in a ~30% realized vol market over 1 hour. I think you may be creating a story that...
With VVIX hitting all-time highs, I believe the market is saying it really could go either way here. VIX closed around ~40 today. One month from...
If I'm not mistaken, index skew should be expected to flatten during severe declines/market panic. It's the convexity effect. The overall vol...
cdcaveman- Wouldn't this be extremely dangerous? Maybe I'm wrong but to me it looks like this spread would leave you short vol-of-vol since...
This has basically come down to a debate of whether or not to calibrate to market prices.
Ok you do realize though that if someone is delta hedging a position, and they are calculating that delta with Black-Scholes, they are implicitly...
rmorse- I believe this model is popular for American equity options, particularly for addressing dividend issues. I'm not saying there aren't...
Thanks for giving us such powerful, new information. Yes, Black-Scholes is a MODEL (who knew?). Yes, empirical evidence shows it's assumptions...
I don't trade a lot of condors, but depending on strike spacing and width wouldn't skew play a big part in the net premium you bring in as opposed...
I'd like to hear people weigh in on how they view the VIX used in a context of trading volatility. Useful? If so, how? I personally think it's...
"For SPX options, there is a function, say g(VIX,Price,Strike,DTE,PUT or CALL) that will return an "IV" number within 50% of the true "IV" number...
The VIX value is a discrete approximation of integrating the implied risk-neutral distribution. It incorporates the entire option chain. It is...
Maverick: I agree with you. As this was a gamma scalping thread, I meant to buy the calls and then trade them neutral to isolate the vol. But...
Got it. Thanks for clarifying.
Separate names with a comma.