I find delta position much more predictive than the rate of gamma-decay. The otm decay isn't going to decline rapidly as the position is lopsided on deltas. The near-wing will be peaking on gammas and the far wing is already depleted. You're better-served with directional bias and static delta. I'd offset the fly at neutral-delta if vols have declined significantly.
Vanilla strangle: Short the CME June 430/470 outside strangle for $18.00 at 33% vols. Not a huge fan, but vols have risen 800bp from ther post-report low. Vanilla short risk-reversal: Short 100 of the June SPX 1300C // Long 100 the June SPX 1250P at $4.00. Not willing to sell too much into this oversold condition and unwilling to bid for VBI futures... what a quandry. I am long deltas and short dgammas in virtually all positions. Need to buy some insurance here -- long put gamma/dgamma.
Isn't there that little floating gnome over your left shoulder tapping you and saying "Eh that's enough for today, son. Save some money for tomorrow.."
Risk: "How's it going?" OC: "Good, just getting some long premo for myself. Uh, gotta have long vol in the house. I like it. Wholesome, natural, chock-full of gamma. Alright let's see... VBI calls... four SPX reversals with red on the skew... OEX... (looks at Risk; Risk gives him a weird look) ooo, just right... and three albatrosses, uh, ought to do it." Risk: "All right, all right, just hold it right there!" OC: "What?" Risk: "This gamma isn't for you" OC: "(shocked) Wha, what are you talking about?" Risk: "You think I don't know huh? long premo, gamma, reversals with the red on the skew, that's IV Trader! OC: "I can't buy calls and puts?" Risk: "All right, get out!" OC: "You're making a big mistake, Risk! Risk: "I'll tell you something else: I don't what your posts on this thread anymore either." OC: "Are saying you're banning me from the thread? Risk: "That's exactly what I'm saying." OC: "I'm banned?!" Risk: "You're banned."
the real funny part here is that I don't understand greeks enough to conclude if this is a complement to me or not , hahaha
Risk, Based on today's move down, after 3pm and taking in consideration the last few day's selloff, would you consider it a high probability that tomorrow friday will be really REALLY bloody? What's your take? Thnx
LOL, well, you fit the skit. You're the only guy on this board that buys a lot of premium, and you're tall [Kramer].