What I meant is that the delta (due to the low VIX) is not reflecting the acutal chance due to the relentless push higher by the markets. Yes, it looks like the "fat tail" so far - just look at the Nasdaq chart from April till now. Extreme volatility - "V" reversal off the bottom. But the SPX seems only slightly better.
October Double Diagonal Update Sorry for the absence of time... it's teacher time of the year... yep.. Parent Teacher Conferences. Volatility has been a tourcher to the double diaongal this past month, and the direction bias no help either. We tent posted a Put Calendar spread in the middle of the position and even a little help from that is wearing thin. Currently the position is showing a little loss, 4%. We're hoping for a little relief rally to the downside this week.... although the TICK has shown tremendous upside pressure. We did place some gamma curvature on when the SPX broke 1355, so there is a little relief from the upside. Friday, we entered a 1300/1325, 1425/1400 Nov/Dec Double Diagonal for $2.10 (.50 on the call side, 1.60 on the put side.) We also entertained the "MAVERICK" guy this weekend in Grand Rapids, MI. He spoke to our investment group for four hours Saturday. It was quite an event... he's now relaxing water side in Traverse City.... expecting to be back in the office later this week. Thanks for a great weekend MAV! M~
What a coincidence. I also added more gamma to push my upside be point. Will add more dgamma if it continues to move up on Monday.
Looks like you have a bearish bias going towards November expiration. Is this the case or are you planning on some sort of profitable adjustment if the market continues higher?
Hi Scoobie, How do you check SPAN margin in IB? I click check margin button but nothing happened. Cheers. Alp
Hi Sailing, Thanks for the update. Can you elaborate more about the gamma curvature . Did you make any adjustment/added more spreads