The position approaches RT-neutral if skew hits a figure. Obviously RTN involves term structure but the edge on skew can be large enough to allow for RTN.
I’ve been displaced due to the Davis fire. Trading from an M4 iPad and remoting into a VPS. I got a sheriff’s escort into the neighborhood this morning. Today is the day for max burn and travel of the fire. Incident Commander gave us 30% it stands.
Fire burned within 1,200 feet of the house. Crews did a phenomenal job saving the structures. Should be back in a few days.
Both homes survived, untouched. Crazy, surreal week. Incident Commander gave me 5/1 against the homes survival. Embers in the yard.
SPX short vol into election. Looking for a 17 figure basis Nov 8 to trigger the position. Nov8 combo price will be sticky so vols will ramp 200 beeps. Current is MTM (no vol-shift).