Vol-trading for beginners

Discussion in 'Journals' started by destriero, Feb 14, 2021.

  1. .sigma

    .sigma

    Vol line for APR $100 strike is the IV for both call/put?
     
    #21     Feb 15, 2021
  2. tsznecki

    tsznecki

    2 questions @destriero :

    Help me/us understand the bolded above.

    Say you short the ATM March19'21 AMZN straddle, AMZN at Fri close is 3275. If we are to understand you correctly, you are saying go buy AMZN March19'21 4000 calls and 2500 puts or something similar? Instead of buying 3875 calls and 2775 puts and flying it off.

    What's the difference between being long wings and flying it off? At those strikes above, cost of protection is about the same. Are you saying simply have long crash/meltup protection?

    What if we say flying it off is good enough, I don't need up/down long gamma?

    A lot of us are executing through IB. Do we need to be building our own pricing model to find out vol lines or are the numbers thru IB/XYZ retail platform sufficient/real?
     
    #22     Feb 15, 2021
  3. .sigma

    .sigma

    9A0DE27D-8AAD-4133-AD66-E47BD1142B91.png

    Is this the contamination Desty been conversing about?
     
    #23     Feb 15, 2021
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  4. destriero

    destriero

    ofc. The vol was 33 mid. Buy side guy is known. Sell side guy makes market and the result is a conversion for the MMer. Even buy side guy knows where the vol-line is. The difference is the MMer knows what impact the transaction will have on listed vol.
     
    #24     Feb 15, 2021
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  5. destriero

    destriero


    I am not talking about structuring flies. I am talking about contrasting your local vol-book (trading ATM) with hedging the portfolio.
     
    Last edited: Feb 15, 2021
    #25     Feb 15, 2021
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  6. destriero

    destriero

    ofc, but I haven't read Taleb. He's so awkward.

    The intent was to (pardon) dumb everything down and use practical scenarios. We're like a year away from that topic. Like why interpolate OTC penny strikes inside 1SD?

    I don't think this thread will get deeply into sticky delta/SS. It's good to understand the mechanics of smile, but for most it will be noise, especially as it relates to trading SN (single name) vol.
     
    Last edited: Feb 15, 2021
    #26     Feb 15, 2021
  7. destriero

    destriero

    As long as the vols are priced off the mid of NBBO.
     
    #27     Feb 15, 2021
  8. Nice to see everyone talking Japanese in here. Konichiwa.

    Directional trader signing in for hopefully some non directional and hedging tips. Offering my early thanks, it's awesome when the internet isn't shit.
     
    #28     Feb 15, 2021
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  9. caroy

    caroy

    arigato mr. roboto
     
    #29     Feb 15, 2021
  10. ironchef

    ironchef

    A retail's opinion:

    1. On high volume like SPY you really don't know but with a bid/ask spread of 1-2 pennies, you don't care.

    2. On thinly like GILD with bid/ask a mile wide, ~100% of the time it is MM

    3. Unless either the bid/ask has sizes like 1/xxxx. The 1 lot is probably retail trying to buy.

    4. If your mid got hit immediately, perhaps another retail took the opposite position at the same time using the same mid.

    So on my GILD trades, I look at size before I enter my limit.
     
    #30     Feb 15, 2021
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