Looks like long straddles post-earnings have a very high win rate for TGT.

But according to the scanner, it is two days away from a technical breakout, so this should be interesting. 40 delta call. Looks very promising:

http://tm.cmlviz.com/index.php?share_key=s_0_20180225224616_EzO5KNfKhNMprpnG

2017 was a full-on Zone 1 VIX environment (to use the Option Pit classification). I think that number is valid for Zone 1. But it’s not valid for Zone 2 or 3. I think there is a good chance that we will stay in Zone 2 for awhile, or it may even become the new normal. So is that number still valid? What would be the new number?

Michael’s Twitter timeline back from the beginning is very educational.

I don’t know how he does it either.

I did a bunch of backtests this week with CMLviz that totally rocked my world.

One of the results is that I am going to stop doing LEAPs and instead focus on the front week options.

Here is my half-time analysis of earnings, for the second go-round using CML TradeMachine Pro Scanner and filtering the results with the Tastytrade liquidity metric. Note that a good portion of this period, the peak of it, was messed up pretty bad by a 6 SD vol event, so the results were hurt by that.

7-day or 14-day pre-earnings 40-delta Call…[Read more]

I hate to admit it, but I am not modeling it. I am jumping in on the crowded strikes, mainly. That’s my strategy, BTFD on the crowded strikes, usually at the even or nodal numbers, 1, 5, 10, 15, 20 and so forth.

Could you share the spreadsheet with me?

Actually, it seems that I cannot read my own results. It’s the 40 delta not the 25 delta.

Why is it that the 40 delta calls and puts so often seem to be the winners in these short duration plays? I guess the answer is obvious.

I did some backtesting today with CML of VXX puts.

Not surprisingly, the 7-day 25 delta puts blow the LEAPS clean out of the water, at least over the past two years of low VIX.

http://tm.cmlviz.com/index.php?share_key=20180216231921_JpMn7bAfo6380iqT

IMHO, what has happened is that the old liquidity providers like Goldman and JPM have gotten out of the business, leaving us at the mercy of HFTs like Citadel, which pull the plug on their algos when the going gets tough.

My put spread from last week is up a little money, and today I bought a few FEB 23 12 calls.

Just for the braggin’ rights.

Here is a great article from Kim Klaiman on their winning SVXY bust trade:

“Overall this trade produced almost 45% gain on margin or 26% gain on $10,000 portfolio.

The bottom line:

A trade that was long SVXY, was a big winner after SVXY went down 90%+. This is options trading at its best.”…[Read more]

Incidentally, something that was pointed out on last week’s Vol Views is that the vol complex is not just impacted by the equity market. It is also being used as a hedge for credit worldwide. Some pension manager in Malaysia is hedging his risk in his local sovereign bonds, which he is required to hold, using VIX futures. Another one is the…[Read more]

The paradigm shift occurred when TNX crossed the line at 2.3%.

The bond market is always right.

I think you are delta neutral if you have less than 1000 betaweighted deltas per $100K of portfolio.

Jim Chanos recently said that he has never made any money on his shorts outright, that the purpose of shorts is to enable you to get more long. Get longer. Whatever.

It’s like the military saying “cover and move”.

And I think that is a big…[Read more]

Good episode of Option Block in which the guys address the issue of trading the “franken products” vs the VIX futures and options.

http://hwcdn.libsyn.com/p/6/9/e/69e9a71b72064aef/OptionBlock690.mp3?c_id=19045106&expiration=1518304792&hwt=7710c8624aa95f42ff25ca244eb90a0a

Short vol and short SPX is an interesting way to hedge. Not a bad idea at all, if you’re willing to monitor it and rebalance as needed.

Welcome to delta neutral trading.

What a wild day… I’m just chilling with cash, waiting for a modicum of stability in the markets.

We’ve seen some wild daily price swings lately. Indeed, this is not the stability I’m looking for. I’m all in cash, waiting for calmer seas…

Same ramp again today in the VXX and UVXY.

>ereitzel I have an account at TD.