Long gamma scalping

Discussion in 'Options' started by IV_Trader, Jul 31, 2007.

  1. paradise. Nuff said. I wish I had larger positions...
  2. What spread and when did you enter? Because I'd say that Volatility was rather high already, last few days.

  3. so true...vols are in the no man land now ; cannot short or go long. I was watching GS vols collapsing from 42 to 33 and when market start tanking went long with small position. Made good profit ; vols finished at 39. Also had small Q's position only because of penny b/a spread for fast exit if needed.
  4. jj90


    Don't mean to thread hijack, but how are your RCs this earnings season? I've noticed backmonth vols not collapsing, holding steady, in fact in some issues, ticking higher after earnings. Long diagonals (long backmonth/short frontmonth) are working real nice for me currently.
  5. no RC this qtr because of the reason you mentioned...back month collapse is not normal/totally unpredictable. Took few 115 call RC on FSLR for amazing 3.80 credit , stock is at 100 after hours and I'm STILL not sure if I'll make money. Need SEP vols to break 60 tomorrow , but with this crazy market who knows.
  6. At the money in the SPX went up 5 vol clicks in the last 20 minutes LOL hate to be short that stuff. Front month
  7. unbelievable scalping action on GS. A real alpha trade where true ( inc intraday) realized volty is at 50 and iv is around 40. Stock moves 1$ in the matter of minutes. Bet is on inverse price/vols action.
    Sell 200 strike aug/sep calendars and long stock.
    Ratio varies from 8:1 to 12:1 depending on entry.
  8. nikko309


    Well, you can always hope for the stock at 90 :)

    Isn't this a little early in the month for RC's?
    Will you adjust the pos. if Sep vols don't break 60?
    If so, how?
  9. closed for 50c profit at the open when stock was at 103...Yep , not the best time for RC now
  10. ajna


    IV, is the problem that back month vols are not dropping enough due to the elevated vols throughout the market?
    #10     Aug 1, 2007