Winning Options Strategy on CT

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Thanks for the help Sonia ! Don't know how this helps. Account is tits, maybe you should have published this earlier, would saved a lot of trouble...

 

Interesting but the difference in vol is more due to their stupid liquidation algo, the switch is static

 

The difference between Oct. and Dec. is not stationary, Dickey Fuller of order 3 shows it is highly "correlated" to the direction of the underlying which explains (partially) how it is weak when the market comes down

 

It is, but he would have been marked down on net liq on the prem (Dec/Oct value). Wouldn't have increased his haircut. it would have prob improved with CT lower.

There is a lot more to the position than the Oct/Nov long switch. Vols rallied 8-10 pts into his short vol in other CT-positions. It's not my place to talk about his book beyond that comment.

There is vol of vol upside in CT.

 

yeah the skew, though the market is taking a beating so vol of vol should die

 

Even with KC and CC sharply higher, it can’t hold itself up

 

It's going down, I told you so... Don't catch a falling knife. They'll take delivery around 62$

 

It does not look so fresh indeed!

 

It's doomed! Damn I missed it by going too leveraged