Good morning! Options fairly priced. As a reminder, volex is tomorrow. When we began this expiration cycle, the spread between VIX and VX was very wide, and the question was how would it resolve? Typically VX has the crush on VIX and chases it around.
This time they met in the middle in mutual compromise. However it takes a lot more effort for VIX to meet VX. VX is a futures level, but VIX is a loaded calculation. I keep saying VIX needs context and maybe later today I'll do a quick thread about what that means.
The context that is important right now is vertical skew. This is how VIX went up over the past couple of weeks. The OTM options have been more expensive than normal. Is this an opportunity? How do you short skew? It is hard to do it without a little bit of delta or vega bias.
but some examples include an OTM ratio spread (in SPY something like buying 1 450 put and selling 2 449 puts). Expensive but effective. If you believe there will be volatility, buying an IC will work. Knowing skew will bring edge, not profits, but you cannot have enough edge.
Side note: Pepe Le Pew is a rapist.
• • •
Missing some Tweet in this thread? You can try to
force a refresh
