I like the trade...but only if you get out right before the FOMC announcement on July 31, which could be a binary event for the entire stock...
Sticky strike vs sticky delta is more product-specific rather than maturity-specific. Also depends on the behavior of the underlying. Not entirely...
The options on the micros are coming...the CME is no dummy. Their monopoly grows bigger as they start to dominate the retail space.
Also, I think shorter-term skews reflect more what the gamma risk (movement behavior) of the underlying will be like if it were to go to a...
I have found that the shorter the maturity (time to expiration), the more it's skew and overall IV behaves independently compared to the longer...
How much market share has the new micro e-minis taken away from the popular SPY, QQQ, and DIA ETFs? The advantages of trading futures over...
Yes. When put skew is steep and vol is high (a somewhat rare combo but happens), buy 1 put strike, and sell 2 further out put strikes. If vol is...
If you're bearish, then you probably think vol is going up. Selling a 1 X 2 DN OTM put ratio would make big money if IV is low and it breaks like...
Thanks for that sage advice. Not as big a fan of the "teenies", but your argument makes sense. Otherwise, I agree with everything you said. I do...
You said you didn't like to own the ATMs, neither do I unless I know we're going to move away from them. Did you always like being short ATMs vs...
I agree with your first strategy, but I don't want to manage a long gamma position on something I'm not watching every minute of the day. Plus I'm...
Thanks Matt from Orats for doing all the heavy lifting for me, lol. I really appreciate it. Sounds like you guys have a nice back-testing product....
The VIX is getting low again and I'd be looking to get long vol if the cash index got to 10 or below. Not a big fan of inventorying option...
I trade a product that has a similar shaped IV curve to the SPX. I don't restrict myself to a fixed or floating skew but instead use an automated...
Delta hedging is part art and part science. A good easy-to-read book on volatility and delta hedging is Trading Volatility... by Colin Bennett....
How did your algo do during last year's Q4 high vol environment?
Despite its popularity and the many offshoots derivative instruments and ETFs it has spawned, the VIX is really the only game in town when trying...
Although the direction, velocity, and size of move of the underlying completely determine the level of IV of the options I trade, I try to not...
Even with all that's going on and all the uncertainty, we're stuck in a relatively low volatility environment. The tight bid/asks are great for...
I don't believe you can. I have also looked into this and found only an untradeable VIX-like index listed by the CBOE. There are no OVX futures or...
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