Riskarb's combo to fly conversion journal

Got ya Thanks...

 

Sure are far fewer candidates when we aren't right in the middle of (or coming up on) earnings season.

 

This may be good. It illustrates the cyclical nature of IVs which this methodology depends upon.

 

How did that work out? I missed how the day ended.

 

closed at 66.2 with 1.40$ profit, vols hit 42%

 

Looking to short 390 (or 400) MAR or APR (both non-reporting months) straddle at the open. If vols dumping into the weekend will repeat last couple of weeks action , this should be a good trade , especially if GOOG price goes up ("flattening delta" , right , Riskarb ?).
All depends where the stock an vols opens.

 

Can anyone point me to some resources for practical applications of trading the vol/variance swap market? Is this a maturing and/or liquid otc market? How can a retail trader like myself get involved with these products?

I suppose if I want to do my moniker justice, I'd better be able to successfully trade these instruments.

 

IV -- I'd go slightly itm on calls to go neutral to bearish into the weekend.

VolPimp -- Check out wilmott's bookstore for vol/var swap texts. These are traded otc through a bank desk and it requires a lot of capital. Nobody in retail trades in the swap market.

 

went with short 390 APR for 49.80, but only 2 contracts ( damn morning mess) at 43.5 vols

 

I like the ISRG par straddle at 55vol and a $17 credit for April. Quite a bit of long delta, however you're getting paid 200-250 over the neutral combo to carry those long deltas. $9 in extrinsic value.