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Do you have any information on how the 1/2 spread would have performed?
I'm probably going to download the files tomorrow or the day after and run a few scenarios. If you happen to have the information all the better. Thanks.
Watching the 77 point drop at 9pm ET, I see that my spread, (EW3j18p2250(2)p2000(3)) is only 1.00 to 2.00 higher net premium from the Feb 5 settlements. At 9:15 pm ET my spread is unchanged even though futures are down 37.00.
I use halfway between bid and ask for the current option price.
The 266.75 drop from Jan 26 to Feb 5 is almost the largest point drop since 2009 (268.50 for Mar 2016 contract). But the 9.3% drop is not near the highest percentage drop since 2009 (19.3% for Dec 2011 contract).
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
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I'm not sure whats more amazing, how much vol explodes on the downside, or how quickly it evaporates the second the market pauses it's freefall. Thanks for the updates Ron.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
Do you track your delta and vega? They'll be a sweet spot at which your long option is outperforming your shorts. Sounds like your in the middle of it.
I had 2 positions of -1+2 spread open over the day. Both these positions were traded via IB account which is not ideal, but although high (ca. 840) margin per spread, it never moved much during the day.
When the volatility went crazy after market when ES was down with over -5% and I saw that the long further out of the money options started to gain value faster, so I tweaked my exit LMT order in the hopes of closing out the trade in case of volatility surge, which happened. So as weird as it sounds, managed to get out with a small profit with the -1+2 spread.
I suppose this was one of the crazy examples of where purely having more longs vs shorts helped due to the nature of the move.
The spreads I was holding were:
ES May’18 Short(1) 2400 + Long(2) 2110: entry 29/1/18 @-3.2; exit 5/2/18 @-2.8
ES May’18 Short(1)2275 + Long(2)1980: entry 2/2/18 @-3.0; exit 5/2/18 @-2.0
I wonder how much of that move is due to the heavy positions in ETN space. XIV has hit its intraday over -80% threshold meaning that by prospectus they would have to unwind their 73,000 short contracts, all in all down -84.4%