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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
VIX over 31, other than the 4 days in August, last time VIX was this high was late 2011.
Feb ATM straddle (1810), with 22.5 trading days to expiry, trading 11250 which is 6.2% of the underlying.
Mar ATM straddle trading 14625 which is 8.1% of the underlying.
It looks like the market is trying really hard to stay in the mid-1850s and not extend losses too far below the August lows from last year. But who knows, the way things are going tomorrow is going to see another 2% drop at opening.
The ROI on ES calls is horrible and not worth selling.
I have bought puts but you need for the market to move enough down to make up for time erosion of the premium. So only in circumstances when you think a major down move is coming soon.
I totally agree. I'm not really in the mood to do anything until after earnings and the next few fed meetings..... There are just too many unknowns.
I will say this, your spread model holds up very well....it can survive almost 200 points in 20 days before reaching the limit..I've been running backtests every few days. It does rely on a VIX below 30 though.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
VIX peaked just below 32 hours after posting that and its now at 23.
2 days later Feb ATM (1895) is trading 8400 (-2850 -25.4%) and Mar is 11900 (-2725 -18.8%)
