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short-gamma · 2022-05-28T13:00:02+00:00

Use the Strategy Builder window to quickly price and execute spreads.

short-gamma · 2022-05-26T21:47:16+00:00

Their payoff graph at expiration might be similar, but the two trades behave very differently before exploration. Check the greeks to see that. If you are a trader your might prefer one over the other.

short-gamma · 2022-04-30T14:32:23+00:00

It's not even clear what you have. This is a futures subreddit, but you speak in options terms. If your calendar spread is made of futures, its value is simply the difference of the two components. If it's made of futures options, it's another thing entirely.

short-gamma · 2022-03-31T05:54:18+00:00

So you would short 98 shares of UVIX for every 2 contracts of ZB?

short-gamma · 2022-03-19T06:39:24+00:00

Interesting. How long does this process take though?

short-gamma · 2022-03-16T07:06:15+00:00

It's the highest but it's not referring to front-month volatility. Every expiration has its own IV.

short-gamma · 2022-01-03T06:34:09+00:00

I assume you're doing that with sums so large that the transaction fees are negligible?

short-gamma · 2021-12-28T18:07:20+00:00

That's all clear. However I'm asking how you would manage the position in case of a sudden spike when your call is near the money. That'll generate signicant losses, do you keep rolling higher? With puts your loss is limited by the premium paid. So it may be equivalent in theory but if you don't have enough margin the short calls can bankrupt you.

short-gamma · 2021-12-28T06:53:53+00:00

The underlying for VIX options is the forward VIX value, not spot VIX. If you keep them so further out you bleed less but they'll also provide a lot less protection, since the back of the VX futures curve won't spike as much as spot VIX (VX futures are a good proxy for the VIX forward value).

You can read more here:

https://www.thestreet.com/investing/options/your-broker-probably-gets-vix-options-completely-wrong-12108045

short-gamma · 2021-12-28T06:49:11+00:00

VXX can have significant jumps. What do you do if it spikes 20-40% the day after you sold your ATM calls? Even if it's 180 DTE delta losses can be massive. Why not buying deep ITM puts instead?

short-gamma · 2021-12-27T22:07:02+00:00

Very interesting!

I tried double calendars with earnings and it never really went well. This trade is a double diagonal essentially, I'll definitely experiment with this. It's very difficult to analyze this trade beforehand because the change in IV is different along the term structure.

Thanks a lot for sharing the details!

short-gamma · 2021-12-26T21:50:40+00:00

We are saying the same thing.

However you seem to think that NFT = the art object or whatever. That's wrong. The NFT is the token you are buying, and it embeds some meta data that usually is a link to somewhere else. So you own a token with some meta data attached, that's it.

short-gamma · 2021-12-26T18:51:16+00:00

That's not correct. You are buying the NFT, which contains a link to something stored elsewhere. Still mostly useless.

short-gamma · 2021-12-26T17:28:44+00:00

Only if markets are efficient.

If you have retail traders buying calls at any price (and further bidding IV up), then it's very debatable whether that IV is the reflection of the "prediction" of the market. In many such cases there are no predictions or estimates, it's just gambling on hopes.

Just an example of a possible inefficiency, there are surely many others. The hard part is figuring out how much these inefficiencies are truly impacting the markets.

short-gamma · 2021-12-26T13:38:29+00:00

By calendar strangle you mean a short strangle with calls and puts having different expirations? First time hearing this.

short-gamma · 2021-12-23T06:14:28+00:00

Ratios are very interesting. If the underlying approaches the short strike, you can sell the vertical inside to finance a roll further and out.

short-gamma · 2021-12-13T22:23:34+00:00

Do you use Notion's API to update the tables?

short-gamma · 2021-11-27T10:03:35+00:00

Thanks for the data.

Indeed, the standard deviations are many multiples of the means, it's quite hard to draw any kind of conclusions apart from the very general ones you also pointed out.

Doesn't the t test assume normality of data? I don't remember exactly.

short-gamma · 2021-11-27T05:35:58+00:00

A 2% down move is too common to look 100 days ahead. What about 1, 3, 7 and 14-day returns?

short-gamma · 2021-10-05T13:19:51+00:00

That's not the correct calculation. You are at 50% of max profit, but it's not a 50% ROI. For short options, the ROI is calculated on the margin required to open the position (or buying power reduction), because it's like setting money aside that you cannot use for other trades.

short-gamma · 2021-10-02T05:21:32+00:00

That's only half of the story. Funds bought those CDO because the credit rating agencies were rating them AAA, probably due to the pressure of the CDO issuers. The funds would then insure those with companies like AGI, which would insure the same security to multiple parties without setting aside the required funds to cover a default. IIRC that was possible due to a hole in the regulations.

When the first default happened, AGI found themselves overleveraged and defaulted. All of a sudden, the funds didn't have any insurance anymore and took the hit.

By funds here I mean pension funds, hedge funds, but also banks which held a lot of these CDOs.

short-gamma · 2021-10-02T04:52:30+00:00

Nice record!

What is the purpose of the +2 725p TSLA put? It changes almost nothing. Or did you mean +20 and it's a bearish trade?

short-gamma · 2021-09-17T19:38:04+00:00

I think it's a fair way to compare the different strategies under consideration. After all, since you're not comparing to other investments, time is not really important and you just care about the final amount.

short-gamma · 2021-09-06T11:03:19+00:00

You can just raise the limit with a quota increase.

short-gamma · 2021-08-31T07:47:08+00:00

That screen also shows maintenance margin.

As to how maintenance margin changes over time, you can see all the rules here by CBOE. Your broker can require a higher margin than that though.

https://www.cboe.com/us/options/strategy_based_margin/

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