Why are you testing your filters decile against RV? Shouldn't you actually test how they predict VRP? Predicting a low RV isn't enough by its own for example
Get to expand on my Point here at 5:30 AM on my phone, so let me a little leeway here the nine day and the Vicks are basically flat to each other going into the FOMC. Let’s call it backdated just for fun as an obvious event risk that’s being priced in and Reno based on the way the nine days is calculated the window that is covered. Now we know the denying they actually is in nine days. It’s nine days forward than the Friday before the Friday after the trip of Options premium but we’re gonna put that aside for those folks that aren’t that in the weeds, I like the idea of doing something to take advantage of that and trades looking at these relationships are just one example that I was talking about
Vol clusters, so high “IV percentile” is usually telling you the storm is already here
Question is how early or late in the process to enter … I wonder if you done any studies or thinking about that. I have used things like VVIX and other ratios between the various volatility indicators to kind of get a sense.
Fantastic article. Many thanks for sharing. I trade a lot of calendars on single names so can relate to your remarks here about gamma risk. Would love to read such in-depth article as this is, on calendars one day.
Yet again, you're putting out more straightforward, sensible, and legit content than way more than half of YouTube and pretty much all of the "trading gurus" out there...I commend you! Thank you so much!
Why are you testing your filters decile against RV? Shouldn't you actually test how they predict VRP? Predicting a low RV isn't enough by its own for example
Get to expand on my Point here at 5:30 AM on my phone, so let me a little leeway here the nine day and the Vicks are basically flat to each other going into the FOMC. Let’s call it backdated just for fun as an obvious event risk that’s being priced in and Reno based on the way the nine days is calculated the window that is covered. Now we know the denying they actually is in nine days. It’s nine days forward than the Friday before the Friday after the trip of Options premium but we’re gonna put that aside for those folks that aren’t that in the weeds, I like the idea of doing something to take advantage of that and trades looking at these relationships are just one example that I was talking about
Slight “pushback” from me -
Vol clusters, so high “IV percentile” is usually telling you the storm is already here
Question is how early or late in the process to enter … I wonder if you done any studies or thinking about that. I have used things like VVIX and other ratios between the various volatility indicators to kind of get a sense.
I was about to ask about calendars and diagonals. Also broken wing flies.
Very interesting article
Fantastic article. Many thanks for sharing. I trade a lot of calendars on single names so can relate to your remarks here about gamma risk. Would love to read such in-depth article as this is, on calendars one day.
I do also trade a lot of forward vol using calendars, planning to do one in the future for sure.
Short vol is only “income” until the regime changes.
The edge isn’t selling premium. It’s knowing when the premium no longer compensates you for convexity risk.
Yet again, you're putting out more straightforward, sensible, and legit content than way more than half of YouTube and pretty much all of the "trading gurus" out there...I commend you! Thank you so much!