No specific strategy in mind. But might look at ctm, calendars, DDs. Vols were very high in 02 esp July+. June/July were rough months. But if you had mm plan and stepped aside the freight train you lived to reap great vega rewards subsequently. Have played with the idea of straddle/strangle swaps - buy strangle at low iv and sell straddle/ctm strangle at high iv. Timing of vol is key and as we can see, even though vol is supposedly mean reverting, it ain't that easy to predict. Damn thing never follows the rules!
Forgot the after my post. And for your response you miss out on the one time half price for Infallible Strategy<sup>TM</sup> P.S. Does longevity at ET correlate with level of cynicism?
PM momoney, he invented a new pricing model which allows one to collect theta while being long gamma. Nevermind riskarb's post, he is just jealous because he isnt aware of the model yet.
Rally, coach and anyone else who is good with trendlines/charts. I'm working on my art 101 skills. The enclosed chart has two lines. Which (if either) would be more valid? The upper one starts with the high 8/04/06 but it was actually a down day. The lower chart is the breakout green candle on 7/28. The thing about the lower trendline is that there are 2 other points, 8/17, and 9/27 where the line can touch. Whereas the upperline has no real place to touch. Thanks!
I thought that was Mav's primary strat? Did Mo license it to Mav? I am still attempting to wrap my head around how one can be long gamma whilst selling aapl 60 puts.
I just noticed that. Today, SPX closed down 3.64 but the VIX also closed down 0.42!! How would one read that?? Also, does anyone have a weird spike on their VIX chart? I have a low of 10.54 on the first bar of the 60 minute chart? Thanks.