Trading Options AAPL against SPX

Discussion in 'Options' started by marwanco, Oct 30, 2022.

  1. taowave

    taowave

    havent done this in a while,but I concur, he should take the ratio of SPY/AAPL and start there..You can beta adjust it,vol adjust..I would check the ratio of the historical rolling implied vol as well as the ratio of SPY to AAPL..Scaaawwwwy trade




     
    #11     Oct 31, 2022
    Gambit likes this.
  2. Gambit

    Gambit

    It seems much easier to use ETFs and Indices as a retail trader.
     
    #12     Oct 31, 2022
  3. taowave

    taowave

    Its not the IV diverging,its the price ratio going bonkers(AAPL outperformance).You are correct that depending on IV levels,he MAY be able to short spreads in AAPL and go naked long SPY vol.


     
    #13     Oct 31, 2022
    nbbo and Gambit like this.
  4. Baozi

    Baozi

    In colin bennet's book, I remember a section where he compared/backtested the different methods and beta adjusting was the most accurate. Of course then there is the problem to decide on which timeframe to calculate beta :banghead:
     
    #14     Nov 1, 2022
    Gambit likes this.
  5. Baozi

    Baozi

    also, going back to the original topic, you should watch the rolling correlation of the two and try shifting it back n times. If the correlation relation is not holding well over different periods, then this is a red flag
     
    #15     Nov 2, 2022
    Gambit likes this.
  6. Real Money

    Real Money

    AAPL much more correlated to QQQ. A call spread on the pair?

    Why not just long/short the pair instead with an appropriate weighting?
     
    Last edited: Nov 2, 2022
    #16     Nov 2, 2022