convexx's "hitting bids and lifting offers" ETF options

Yeah, I don't use VIX, but I use a sticky-d/strike valuation on upside targets. It's always conservative on strike-touches. I simply use the prevailing ATM vol-figure. Bet-sizing is based upon the sticky-strike vol at the target-strike. *This is not the calc*, but imagine that you're looking at 300bp in edge at the upside target and it's 15% nominal (edge). I'd increase size by 15% above nominal unit size.

 

yeah, I deleted the post as there is SVXY which I was unaware of.

 

Yeah, and VXX which is PTP.

 

SPX 1888 within five trading days.

 

Expecting 1858 cash SPX today.

 

I am not long enough. Basically an arbitrage here. Thank me tomorrow. Long the expiring NDX 3675/3750/3900 put 231 asym going off tomorrow. 69.10 mid. Microstructure of $2-3 per side. 7%. Enjoy.

 

It's UNCH, so upping the allocation to 12%.

 

Get in this if you can. Best vol-risk I've seen in months.

 

3709 - 3831 cash is the NDX settlement BE.

 

Not long enough. Long the NDX 3650/3750/3950 231 put asym for Oct23 LTD. 10%. 69 to the buy. 2-3 in microstructure.