I sometimes hold the low absolute figures through like UNH. I’ll be carrying 250k theta in ZS tomorrow if we don’t bid.
interesting take. When do you start buying the event vol? Are you momentum based?
what was the GAP trade? Yea this ZS low pretty striking. I think the lowest implied move print was 8% as you mention. Marks are coming back now....
Sorry, realized this is not telegram ill keep it to 1 extended post in the future. Here is ZS atm surface after subtracting out 6.7% ImpMove....
ZS Implied Move makes no sense to me and the crazier part is next quarter is implying 10.5% after subtracting out this event (september) insane....
was marked -9k this morning, now +. Hoping this continues to push into the close
There are 2.5 non event days in the 7% you are quoting.
Honestly i was pricing a 7.9% Implied Move as fair this quarter so im really far off. 6.3% as of right now. Maybe you should grab some its lowest...
NVDA Implied Move selling off hard this morning. I grabbed 200 straddles 9.59 avg. Hoping for a magical reprice tomorrow. Are you trading it?...
A handful of times a year, a decently liquid quasi arb appears on just my scans so there are probably a ton of "no brainers" out there. If you...
i did not. Much better tradfi/defi hub in lisbon. Second Home co working space has a bunch of crypto traders and some vol guys
Hi, not any longer. Was only there for a couple months
Lets take a quick look at an option. ROKU Apr25 58 strike call. Spot = 58.1 Strike = 58 R = .04 Current Market Ivol = 90% DTE = 14 dividends = 0...
sure could but that would just give me the implied beta. Estimated Cor x (NVDA Ivol/QQQ Ivol). But id like to estimate beta myself to see how my...
Kevin, I need to forecast the beta of a stock over the next 30 days relative to the index. Is this the industry standard right now...
Ill respond later this week, the model actually got me into long APP Dec/Feb calendar and i havent been able to focus on code haha.
Kevin, after thinking a bit more about the data i added a new feature which is nonEvol - spyATMiv to get sort of the idiosyncratic vol of the...
Thanks for taking the time Kevin. I think it makes sense to set the intercept to 0 in this case as when the data points are 0 we would expect the...
Why is it when i set intercept to 0, my R^2 shoots up from .65 to .99? Looking at the residuals of the model lm(DV ~ 0 +., data = ETdata). There...
@Kevin Schmit here is the new data frame. I've PM'd you the column headers. Note* the 2 dataframes are not for the same ticker. I couldnt recall...
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