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- ZebraSquirl replied Nov 22, 2017
Secondarily (and partly out of boredom and having too much dry power just sitting there doing, well, not a heckulalot), I've been acquiring SVXY shares on VXST/VIX ratio prints of >1.00. >1.15 is nice, but it's hard to get in at exactly the right ...
- ZebraSquirl replied Nov 22, 2017
Well, I haven't posted in a bit ... . Broad market, the IV just hasn't been there for the picky premium seller, and I'm a picky bugger. That being said, I've been putzing a lot with VIX and VIX derivatives. You know -- the usual suspects: VXX, UVXY, ...
- ZebraSquirl replied May 8, 2017
An interesting article on short volatility trading: url I slightly disagree that this sort of thing is "commonly done" by sensible risk management traders, although I can see some doing "exactly that" -- increasing their position size in order to ...
- ZebraSquirl replied Apr 16, 2017
Here's how VIX term structure looks at the moment: image Spot's at 16, May's at 15.22, June at 15.27, etc. April's about to expire, and when that happens, the futures structure will adjust somewhat, as will spot. For a May or June setup, I think ...
- ZebraSquirl replied Apr 7, 2017
Some mild backwardation in VIX: image Likely to be short term as April drops off in the next several days. Also, this isn't being "felt" much in the back months; the structure remains quite shallow with Nov at sub-17 ... .
- ZebraSquirl replied Mar 22, 2017
And, just like that -- on rollover -- it's gone ... : image
- ZebraSquirl replied Mar 21, 2017
Quick! Look! It's like a rainbow. It won't be here forever ... . VIX backwardation: image (It's March /VX futures contract "0" day, so this doesn't mean much. Plus, it ain't "Yuuuuuuge.")
- ZebraSquirl replied Mar 17, 2017
It's entirely possible we'll have to endure this sideways to slow up grind for a bit yet ... . VIX still in the pooper, with the first front month future >16 in (yikes) August: image Of course, that can turn on a dime, but I've been waiting for it ...
- ZebraSquirl replied Mar 11, 2017
Ugh. Doing my weekly market review/screening and there is literally nothing high IVR/high IV to play ... . Nada ... . Zilch ... . One option is to sell puts in one of these "just high IV" underlyings: VRX: April 21st 11 goes for .56 AKS: April 21st ...
- ZebraSquirl replied Mar 5, 2017
I may piddle with one of these Liz and Jenny diagonals ... . I'm not a huge fan of them, but if you're going to do diagonals without potentially taking it up the glory hole if price rips away from the setup, well, this is the way to do that. In ...
- ZebraSquirl replied Feb 7, 2017
One of the handful of options traders in StockTwits worth following: image The rest -- pretty much directional traders using options as leveraging instruments -- way not my "thang."
- ZebraSquirl replied Feb 7, 2017
Now that NVDA is at a new ATH, kind of hesitant to go nondirectional. My guess is that this move may be overdone, so thinking backspread: image On first blush, you'll notice there's a huge dead zone between 97.50 and 110. If you do nothing at all, ...
- ZebraSquirl replied Feb 5, 2017
The double diagonals are cheaper to put on ... . I like to start out with not only a delta neutral setup, but also a "side neutral" setup: each side is, in itself, delta neutral, with the front month being the same delta value as the back: image ...
- ZebraSquirl replied Feb 3, 2017
I signed up for a TastyWorks invite right after the fee schedule came out on January 3rd ... . Somehow, I don't think four weeks is "a few days": image Just me ... .
- ZebraSquirl replied Feb 3, 2017
Current VIX term structure per url : image Sad state of affairs when you have to go out to the May expiry in VIX to get .70 from a 16/19 short call vert ... .
- ZebraSquirl replied Jan 27, 2017
Current VIX "Term Structure" Basically looking for a pop of one of these <90 DTE back months to >16 ... image ... to add 50 delta short call verts in the corresponding VIX expiry.
- ZebraSquirl replied Jan 25, 2017
Put another way, this is how much people lost in VXX/UVXY between 2012 and 2016, my guess is primarily due to contango erosion: image
- ZebraSquirl replied Jan 25, 2017
I simply do not understand the capital inflows to UVXY, VXX, presumably as longs, short-term or otherwise ... . VIX Futures Contango Percentages Since the Beginning of the Year: Jan 3rd: 13.07% Jan 4th: 13.66% Jan 5th: 13.82% Jan 6th: 13.98% Jan ...
- ZebraSquirl replied Jan 24, 2017
Sure enough, with VIX spot so low/VIX futures values so "shallow", imprudent to dabble with a "Term Structure" trade here: image The first month in which I would consider a short call vert with the short call strike at the 16 would be May ... . ...
- ZebraSquirl replied Jan 19, 2017
To me, too wide: image The Market Measures research on these: In a nutshell, sell the 45 DTE 50 delta call, buy the 10 delta long. Here, he's getting a fairly nice credit, but at a ginormous buying power effect cost (~$850/contract). And right ...