volarbs

Does the strike of the front straddle make a huge difference in the pnl? Is it very dependent on picking the right strikes for the front?

 

Well sure.

 

Had the combo-swap payoff yday and now my skew locks in ES and NQ futures are in the credit tail. A good week.

 

Let’s go!

 

Gave a little back

 

@destriero what is your work flow? Calculate the swaps in excel or something and then model in TOS?

 

Excel, yeah.

I shorted VX x ES 3/1. Boosted returns to a touch of 5% on the day.

 

No, I take my RR/ATM vol. It's a non standard RR calc.

 

Fcking thing closed at an 0.80 debit but cost me $1.80 to fill the COB order. Now, It's just fantastic and ran $800 under PM for the size shown in the stress. Less than I would be charged to buy a box.

 

6K lot SN skew lock requires zero BP under TIMS. Zero.