i'm not making money right now.. thats clear from my journal.. i've literally fumbled entry and everything else for a while.. but.. if you wanted to be long vol you buy strangles or otm puts.. without delta hedging though its becomes more of a play on gamma ... http://learning.saxobank.com/forex/options/gamma_scalping.aspx you'll hear most people talk in reference to their risk.. meaning thats where there PNL will be derived from.. if your delta hedging a straddle.. just like Atticus said.. your pnl will be from implied verse realized +/- your hedging cost.. a delta hedged long straddle = gamma scalping .. alot of your PNL is derived from your ability to extract changes in the underlying efficently..
well think about it.. if skew is really steep.. the otms are really expensive compared to the Atms.. so putting on a fly is costly.. and overall volatility is up.. so there is likely a chance the underlying will get from under the wings of the fly... selling otm credit spreads/ condors have to be better suited when skew is high.... there are different behaviors of local strike areas depending on where you are in the term structure as well.. flys exploit atm thetas in a low to falling vol environment well.. i'm no expert but i know that stuff to be true.. generally..
Hi Atticus, My question was more in general term; is it better to short put systematically on spx like the PUT index does or short VIX futures systematically. PUT index is making around 10% a year on average, I am wondering if shorting VIX futures has the same kind of return and same volatillity of return.
there is alot to know about vix futures.. i highly recommend shorting vol in limited risk ways.. shorting vix futures is a sure fire way to get in trouble.. i would think right now you would have a better chance of winning rolling yourself long from one month to the next with how flat the curve is and how cheap vol is.. no one can bear the pain of going long vol..
I went flat last week. Made decent money past 4 months. Back to playing limit hold em at local casino and the gym. Anyone else take 6-12 month breaks from the market or does everyone try to make money week in and week out even if your strategy isn't currently working. I'm not capable of making money in all markets like some of you guys and the market seems like a wet rag right now that has been twisted until the easy money is gone. There just isn't any obvious places to put capital to work. Residential housing back up like a hockey stick. stocks hockey stick up. Savings account pay 1%. Gold and silver still relatively high. Vix low. on and on...feels like if i short stocks now i'll get kicked in the teeth until spy hits 175.
I'm sure in hindsight there will have clearly been a great trade... rolling from one term to the next with otm ratio back spreads... in small size with highly correlated names... Idk I've always wanted to find good long vol strats and entry...
Would it make sense here to look at the shape of the curve with respect to vol? Buy a vol. position a bit further out?