Here is VIX chart for last 3 months.
https://finance.yahoo.com/chart/%5EVIX/

SMCJB 

Sunday morning Math exercise.... FYI ES 2500 represents a 10% drop in ES, 2350 a 15.5% drop and 2200 a 21% drop. Time decay is 11 days, Thursday 9th April Close to Monday 20th April Close Vol increase is 10 points not 10% I think this chart highlights several things. Most Importantly it shows how large an effect a change in volatility can have. Without an increase in volatility returns on a 10% drop are unimpressive for all options.

On Feb 19 ES hit high of 3388. On Mar 11 (21 days) it dropped 19.5%. The VIX went up about 40 points.

So if ES dropped ~20% in 11 days the VIX probably would rise by a lot more than 10 points. More like 40+.

So many variables!

ron99 

Am I correct that the breakeven line at 100% is the option on Apr 20 is the same premium as it was on Apr 9?

The breakeven line is wrong. The Y axis is % returns so breakeven should be at 0%. Corrected below.

ron99 

Could you please do this for ESm20 and EW3n20 options? It would be interesting to see how different DTEs compare.

Done. See Below

ron99 

On Feb 19 ES hit high of 3388. On Mar 11 (21 days) it dropped 19.5%. The VIX went up about 40 points. So if ES dropped ~20% in 11 days the VIX probably would rise by a lot more than 10 points. More like 40+. So many variables!

Yes so many variables. All add some 20% vol changes later. That involves more spreadsheet mods than charting the new expiries though.

ron99 

I didn't get rise in ES futures from 3:30 to 4 pm like it did last 3 Fridays. I bought 120 EW3k20p1500 at 32.00 for my regular account. Bought 210 for my IRAs.

Hi Ron -

Did you ever close or roll this trade?

Thanks for sharing!

kevinkdog 

Hi Ron - Did you ever close or roll this trade? Thanks for sharing!

I exited at a large loss.

ron99 

I exited at a large loss.

Ughh sorry to hear that. I was hoping you pulled a rabbit out of your hat like you have many times before.

When Ohio opens for business, we'll have to have lunch at Bob Evans in Medina again!

Kevin

kevinkdog 

Ughh sorry to hear that. I was hoping you pulled a rabbit out of your hat like you have many times before. When Ohio opens for business, we'll have to have lunch at Bob Evans in Medina again! Kevin

As we all well know, can't make every trade a winner.

Yeah lunch sometime.

I was curious how the ROI% (no fees or commissions in calculation) would be today for various strikes of long puts. Here is chart for EW3n20 that are 93 DTE. ES futures were at 2771.75 at that time. Down 2.51%. Current price was average of bid and offer.



The highest ROI% is for options that settled yesterday at a price between 4.00 and 7.50.

Here is chart for 4:37. Prices have dropped a little even though ES futures are about the same (2771) as prior chart.

Hi
Any one selling put credit spreads Ron99 strategy?
I know Ron is waiting for Trump to leave.

mROI looks pretty good on puts(-1 for +2) Delta 0.03 and 0.015.

Thanks
Babak