This thing drifts beautifully on the upside, but a bit of a balancing act. basically selling a delimited backspread at edge. New regime on vola, so 18 is not in the cards. But if we break 18 we're going to *9*. yes... 9 VIX. 102 eurodollars and a -1 figure on LIBOR. Downside is that's it's NovEx. No weeklies unless you use that VXX garbage. It's sleepy. I won't even quote it unless we sh*t the bed.
I got you beat. Would you believe on Oct 9 at the close I was short financials and tech and covered Monday on the open for a stratch only to go long ES and SVXY and was up on marks 2% of port by 2pm on both Mon and Tues? Only than to have it reverse and lose ~1.5% in the last hr both days. Like yourself I was looking for the follow thru after the close on Weds and up 4% of port on marks evaporated today. Yeah, I don't see 18VIX either immediately without SPX going lower 1st. If this was the same regime since 2012 (V bottom), we would have rallied 20-30 points today off the close yesterday and seeing cash SPX print 1890 by now. Don't mean to hijack but what a mkt, def a game changer. Money comes and goes.
I've been trading exotics (not retail stuff) for almost a year exclusively now and it's such a frenetic market that I realize that these vanilla durations are gamma swaps. It's absurd to be trading the weeklies with VIX above 20. I can't trade vanilla in the same manner that I approach the exotics, even the longer-duration KOs that I tend to prefer.
NDX Nov21 3625/3760/4000 put 132 long. 74.00 buys. 14.8% allocation. It's 72 mid as I type this, so 74.50 is doable.
Definitely doable. Wing risk-reversal vol at 500bp. Factoring -260bp across all strikes on the hold. No model on the downside due to delta pos.
Sure, but that range was outside the area under the curve on the neutral straddle. What would have happened had you shorted the combo and traded to 1820 (which we did)?