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  • #12,521
  • Mar 30, 2016 10:44pm Mar 30, 2016 10:44pm
PBR to pop on news of a Dilma sack, some say it could happen in May
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,522
  • Mar 31, 2016 7:38am Mar 31, 2016 7:38am
Quoting The Fool
loaded SDRL May/Jul $6 call calendar for 10c
no fill re Jul $6 calls too thin, looking at cheap bull call verts
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,523
  • Mar 31, 2016 11:28am Mar 31, 2016 11:28am
hangin in on Apr4 VIX $14 long puts.....but I saw very early this morning that VXX dipped way down to near $13 and those puts were worth over $0.35 - I almost closed them. The CBOE VIX options have wider hours than most exch traded equity options, something to keep in mind.....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,524
  • Mar 31, 2016 1:21pm Mar 31, 2016 1:21pm
Bought UVXY bull vertical calls, Jun $27/$30 for $0.45 - fishing a ^VIX spike in May/June (pre-Brexit referendum 6/23) or perhaps a surprise from the late-Apr FOMC. 45c for a $3 spread is a little rich, I usually try to go 10c per $1 max, but UVXY could easily spike >$40 and those would go full banana, give back close to max profit of ~$2.50.......I have a large stack of bullish Jun UVXY spreads....

Also, bot PBR May/Jun $8 call calendar for $0.06, PBR about $2 off that right now, looking for oil to grind up into May, but also, and more to the point, trying to fish a Dilma Rousseff impeachment, which they could force in May, in which case PBR could rally back >$10, so I look to perhaps see if I can be set up in long $8 Jun calls after the May calls expire, then catch a ride to >$10 - or a >$2 return on a $0.06 stake.....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,525
  • Mar 31, 2016 2:26pm Mar 31, 2016 2:26pm
Quoting The Fool
{quote} you been doing lots of these ER IC's thru several cycles now, I surmise - so is it working out pretty well for ya? - I guess it must be if you keep going at it. Are you taking some/most of these off the Dough board? Just curious....I have enough to do just trading a few indices, 2-3 vix products, some bigger names now & again.....
I've been doing okay with them ... . The vast majority are off the Dough "TastyTrade" grid and are labelled with 3-4 stars for their liquidity. Once you get down to their "two-star" liquidity ratings, you start to have to goof around with fills, which become a particular problem when rolling, I've noticed, so I stay away from those for the most part. I'm kind of getting pickier on what I play and go with the >70 IVR/>50 IV plays and ignore the rest (although it pays to look past that IVR sometimes; the spikes we had in Feb messed up the IVR of a lot of underlyings somewhat, so a >50 IVR play might still be worthwhile).

My order of preference for premium selling plays, though, is: indices/TLT-TBT, then ETF's, then individual underlyings. If you don't have the vol in indices or treasuries, you have to look to earnings plays to sell premium for the most part, which can be a nerve-wracking endeavor at times. As I've said before, if I had my druthers, I'd just play SPY and TLT all the time and leave the rest of the hot mess alone ... . Makes for a simple, quiet, boring trading regimen.

But I do think I've been totally neglecting vol products here. The rotation for me should be into index/treasury plays during high vol and into VIX/VIX derivative products during low vol, so I'm looking to rotate a little bit more into vol products, since I think we're at market extremes given where we were mid-Feb and the VIX and its derivatives are at or near lows that should be taken advantage of. I have that one poor man's covered call on in VXX, but don't feel that's enough here, so I may do a similar setup in the non-contango'd VIX to take advantage ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,526
  • Mar 31, 2016 2:31pm Mar 31, 2016 2:31pm
Quoting ZebraSquirl
{quote} Out of the put side for .05 debit. That side was worth a .68 credit at open, so .68-.05=.57, or a $57 profit excluding fees and commissions on that side. Price dancing around my short call strike; finished the day at 67.75 ... . Hopin' for a pull back going into next Fri's expiry.
Got itchy with LULU's price dancing at or pennies below my short call strike, so rolled it out another week and up to the 68.5 for more room and more time for a .12 credit. Slapped a short put on the setup at 63.5 for a .32 credit, so now I've got an April 15th 63.5/68.5 short strangle. Just goes to show what IV can do for your options: the 1 SD short put I put on as part of the original setup was worth .68. With the IV contraction, the same 1 SD short put is worth less than half that ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,527
  • Mar 31, 2016 2:34pm Mar 31, 2016 2:34pm
I may regret this later, but filled a VRX May 20th 15 short put for a 1.37 credit today. It's $11 away from current price ($26), so I basically was unable to resist. Will take it off at 50% max.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,528
  • Mar 31, 2016 2:52pm Mar 31, 2016 2:52pm
"Locally" (in expirations <45 DTE), SPY IV totally sucks:

Attached Image


It doesn't begin to "regularize" to around 20% until September ... . I laddered on some small SPY IC's in May, June, July when IV in those months was still hanging in there around 20%, but now, hand-sitting on adding any more ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,529
  • Mar 31, 2016 3:01pm Mar 31, 2016 3:01pm
Quoting ZebraSquirl
As I've said before, if I had my druthers, I'd just play SPY and TLT all the time and leave the rest of the hot mess alone ... . Makes for a simple, quiet, boring trading regimen. But I do think I've been totally neglecting vol products here. ... .
Well, it would be cool to be trading high six or 7 figure accts and have portfolio margin, selling naked SPX way out on the curve (Karen ST style), making up for the low value with high volume, high iterations (sounds like work, though) - and, there are no guarantees anywhere. The only things I have ever really done to hurt my accounts is let these wide condors go bad and have to take big losses. Some answers against that is to have big variety either side - if you have enough winners they will defeat your big losers....hopefully the latter will just be an odd stinker here and there....OR, avoid the high risk stuff and go defined (low and very low) risk - some of the latter can still have very high r:r ---- I am m/l in the latter camp these days, working out OK, big paydays always just around the bend.....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,530
  • Mar 31, 2016 3:07pm Mar 31, 2016 3:07pm
Quoting ZebraSquirl
{quote}But I do think I've been totally neglecting vol products here. The rotation for me should be into index/treasury plays during high vol and into VIX/VIX derivative products during low vol, so I'm looking to rotate a little bit more into vol products, since I think we're at market extremes given where we were mid-Feb and the VIX and its derivatives are at or near lows that should be taken advantage of. I have that one poor man's covered call on in VXX, but don't feel that's enough here, so I may do a similar setup in the non-contango'd VIX...
The problem with this setup is (a) it ain't cheap; and (b) you have no idear when you'll get out of it:

Attached Image (click to enlarge)
Click to Enlarge Name: VIX PWCC.jpg Size: 100 KB


For a lazy mofo like me, though, it's perfect ... . Just roll the short strike forward for an additional credit reducing cost basis in your "synthetic long" and leave the long option alone until you're able to bail on the whole setup in profit.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,531
  • Mar 31, 2016 3:12pm Mar 31, 2016 3:12pm
Quoting ZebraSquirl
{quote} The problem with this setup is (a) it ain't cheap;
CBOE VIX options are "non-standard" and have quirky margin requirements on spreads, compared to other options - the only thing that I look at for spreads on VIX is verticals and flys. If I wanted to get in a calendar or a diagonal I would look at VXX.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,532
  • Mar 31, 2016 3:37pm Mar 31, 2016 3:37pm
Quoting The Fool
{quote} Well, it would be cool to be trading high six or 7 figure accts and have portfolio margin, selling naked SPX way out on the curve (Karen ST style), making up for the low value with high volume, high iterations (sounds like work, though) - and, there are no guarantees anywhere. The only things I have ever really done to hurt my accounts is let these wide condors go bad and have to take big losses. Some answers against that is to have big variety either side - if you have enough winners they will defeat your big losers....hopefully the latter...
There is a lot to be said for "naked" ... . That being said, I prefer defined risk because it lets me manage my capital a little more efficiently, since the supposed "max loss" on the setup is known from the get-go.

Massaging your way out of a broken IC, though, is just a ginormous pain in the butt, ties up BP for an unknown amount of time (who the hell knows when price will break your way), but I guess I've just gotten used to rolling tested crap, financing it with another setup/side, etc., so that I'm generally okay with it. But you've seen some of those broken setup trade chains I've posted ... . They go on and on and on .... .

Over the past several months, I've gotten ungodly mechanical about it ... . Most of my strike improvement of broken spreads is extremely incremental; I'll do it one strike at a time usually, sell an oppositional side against, wait until the rolled out expiry, pull off the "financing spread" at near/max profit, and lather, rinse, repeat, until I'm out of the whole kit and kaboodle at scratch or better. With stuff like SPY, which I'm in constantly anyways, I have no problem having a couple broken spreads on (as long as they're not call spreads around ex-divvy time) mixed in with the "good stuff ... ."
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,533
  • Mar 31, 2016 3:41pm Mar 31, 2016 3:41pm
Quoting The Fool
{quote} CBOE VIX options are "non-standard" and have quirky margin requirements on spreads, compared to other options - the only thing that I look at for spreads on VIX is verticals and flys. If I wanted to get in a calendar or a diagonal I would look at VXX.
I have one on in the VXX flavor ... . Lol. But you're right about VIX; doesn't have VXX's or UVXY's warts, but it's got warts of its own ... . I may just do another setup in VXX. Failed to think about sizing the darn thing when I set it up, which is okay, since we're still in "the volatility dungeon," so I've got another shot ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,534
  • Mar 31, 2016 3:45pm Mar 31, 2016 3:45pm
God, I'm looking at FXE again. EURUSD nearly at 1.14 makes for a good short entry of some kind. I dunno ... .

Maybes a May/June 111/113 long put vert ... . Goes for 1.59.

Meh.
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,535
  • Mar 31, 2016 3:45pm Mar 31, 2016 3:45pm
I have gotten really used to being in the UVXY & SVXY spreads, am a little worried the mf SEC will screw those up with new rules.....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,536
  • Mar 31, 2016 3:54pm Mar 31, 2016 3:54pm
Quoting ZebraSquirl
God, I'm looking at FXE again. EURUSD nearly at 1.14 makes for a good short entry of some kind. I dunno ... . Maybes a May/June 111/113 long put vert ... . Goes for 1.59. Meh.
if you are looking out to June, keep the Brexit referendum in mind - that's 6/23. Classic binary event - if the referendum fails, we should see sterling & FTSE rally. For the latter, check EWU. If it succeeds, well let your imagination run wild. Either way, I have to guess we will see equities sell off in May/early June, the ^VIX roll up in a mofo of a sell May/go away. --- Not one to sit out....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,537
  • Mar 31, 2016 4:30pm Mar 31, 2016 4:30pm
Quoting The Fool
{quote} if you are looking out to June, keep the Brexit referendum in mind - that's 6/23. Classic binary event - if the referendum fails, we should see sterling & FTSE rally. For the latter, check EWU. If it succeeds, well let your imagination run wild. Either way, I have to guess we will see equities sell off in May/early June, the ^VIX roll up in a mofo of a sell May/go away. --- Not one to sit out....
Thanks for the EWU ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,538
  • Mar 31, 2016 6:48pm Mar 31, 2016 6:48pm
Quoting ZebraSquirl
Thanks for the EWU ... .
YW....Options suck though, no volume except on a few strikes, I will be watching it - might just go long cheap otm Jul calls in June....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,539
  • Mar 31, 2016 6:53pm Mar 31, 2016 6:53pm
green China data, now a short NFP number will encourage the bulls
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,540
  • Mar 31, 2016 9:40pm Mar 31, 2016 9:40pm
good upside potential if this premise pans out

http://www.forexfactory.com/showthre...27#post8846927
"If The Fool persists in his Folly he will become wise." - William Blake
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