The NTES bear risk reversal is only showing a dime in $prem edge. Such is life when trading deep smile at 20d and 1200basis in vol. Ideally, you could structure a 10-lot bear risk-reversal and sell a few hundred shares, but there isn't significant edge in dollar-terms.
yep , I already ran some what ifs and tomorrow PnL is heavy depended on the price action. Heard so much about the smile and decided to check R/R ... Reverse Calendars are much more attractive , imo Thanks , B
NP. The short calendar is a thought, but the tenor-vols will flatten. Neither long or short calendar is likely to do much tomorrow with atm March vols trading 1700bp / April and 2200bp / June. I'd imagine the short calendar loses 800-1000bp in vol edge tomorrow. Will do ok if the stock really moves, 6 handles or so.
I meant RC generally (no position on NTES) , its a very low risk when trading the right stocks at the right time. Looking forward to your Vega journal.
Indexes are churning today, expect to see 10-12 lower on spoos soon. Taking short deltas on weekend combos[to flies].
thx for the put ratio backspread idea IV_Trader/riskarb. I ran it yesterday in my tos papertrade acc't, and it lost even though vols flattened as expected. their paper acc't does not allow you to split bid/ask, so that prolly had a lot to do with it. Plus r/a said there was only a dime pos. expectancy, so bid/ask must've negated any small expectancy. STO 30 NTES 65P @1.55 BTO 10 NTES 75P @5.10 this morning: BTC 30 NTES 65P @.25 STC 10 NTES 75P @.45 Anyhow, it's a pleasure following your thread learning about vega trading! Thnks
I certainly didn't trade the NTES backspread, but the debit was $.40 when I ran the vols. It was a suggestion based upon some specific-criteria; short put skew. In retrospect, the bull risk reversal returned better than long stock on deltas.
I unwound my MRVL positions today after the earnings announcement and IV crush to the 41% with the stock at $62. I do not think the stock will stay in the tight range of my converted FLY so getting out now. I took off the extra short straddles I added last week for even since IV picked up and the stock was moving lower. Then today closed out the 3 converted Iron Flys. Total net profit after commissions: $249.37 I only did 3 of these so I cannot complain. I will still keep this positions small as I test them out but I can see adding a few here and there for some extra profits when I can.
Another big/un proportional vols collapse into the weekend. Never noticed it before Riskarb mentioned it (Thanks !). Made 1.50 by shorting GOOG 380 straddle , all intraday , no prior overnight position.