atticus' "ship it" vol trading journal

Discussion in 'Journals' started by atticus, Sep 5, 2012.

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  1. Yeah, even was easy. It was a dime bid for a short time but closed at even money (mid). Maybe -1.40-60 at some point along the cycle. Very confident in this one. Not much in the up n out skew, but enough to sweeten it.

    I am in from +0.02 avg. I'll stop it out at +0.55.
     
    #771     Oct 12, 2012
  2. Got fiiled or some vix r/r at .08 debit--- got filled on equal amount at 0 on close
     
    #772     Oct 12, 2012
  3. Doobs789

    Doobs789

    0.10 on the mid. Some skew in it.
     
    #773     Oct 12, 2012
  4. Yeah, Nov went out at 18.00 on futures.
     
    #774     Oct 12, 2012
  5. Why not long the switch
     
    #775     Oct 12, 2012
  6. Doobs789

    Doobs789

    Which duration? I don't see any edge there.
     
    #776     Oct 12, 2012
  7. Oct/Jan.. ? Jk
     
    #777     Oct 12, 2012
  8. Doobs789

    Doobs789

    Yeah, would just stick to the R/R. Benefit from the Nov contract coming in.
     
    #778     Oct 12, 2012
  9. Why has Nov kept such a bid is my question
     
    #779     Oct 12, 2012
  10. Doobs789

    Doobs789

    It's been hanging around the 18 level for a few weeks. Could be elevated due to the election which is in that contract month. The takeaway is that it seems too high, as atticus mentioned realized vol should be lower going into the election.
     
    #780     Oct 12, 2012
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