Welcome to NexusFi: the best trading community on the planet, with over 200,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- discounts are available after registering.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Can I ask you options experts a bonehead beginner options question?
(I don't know the first thing about gamma)
I've got a 100K portfolio with about 1000 deltas, betaweighted to the SPY.
Ideally, I would like to get it slightly short delta.
I'd like to get some short delta with some VIX Nov 17 23 1x2 Call backspreads.
TOS is telling me that the short 17's are 131 deltas (10 lot)
and the long 23s are minus 142 deltas (20 lot)
for a net of minus 11 deltas for the spread
That seems sort of low, I would think the negative number would be much higher. Is that number going to move much if VIX spikes? These 1x2s are supposed to be explosive -- 10x or 15x.
Question: how much do Deltas with movement in the underlying? Am I correct in thinking that the deltas associated with this trade are much different between a VIX at 12 and a VIX at 22?
Have look at Gamma. Gamma measures the rate of change in the delta for each one-point increase in the underlying asset. You find more here (and in other sources in the internet):
How does this bode for Live cattle?? Do these trends in cattle continue for days? Am i too late to sell the puts? I could even sell the 101 or 102 both for a short term Oct trade and for a longer term Dec trade IF usually the trend continues
Reason i am looking at Oct is for a quick term play and close prior to USDA Livestock report on Oct 12th. I know not as much premium as i would generally like
I am afraid you are late to take profit from the high volatility before the Cattle on Feed-Report. Option prices probably will open lower on Monday.
I consider this CoF-Report as neutral compared to expectations.
The LCV P102 closed at 0.425 on Friday before the report. It will probably open lower on Monday. I doubt that this premium is worth the risk. LCV options expire on 8th of October.
I prefer the December options. Since 2007 there is only one year when LCZ lost significant value in October - this was in 2008. Not a typical year.
Sold a small lot of the EW1X P2100. Intend to exit on a close below the recent low.
I chose an expiry date before the US elections. I am afraid that volatility might rise for the options expiring later. Does someone remember how it was in passed elections ?
Just a reminder: Friday the USDA crop report will be published at 11 am (Chicago Time) / 18.00 (Central European Time).
I intend to by back the corn calls before the report, and to hold the soybeans calls and the cotton calls. COT data for corn is very bullish, and a surprising result could cause funds to cover their shorts.
