New North Capital Profile picture
Independent/Retail options trader. Opened a side account with ~10k to play around at year end 2021. Sharing views now. Just opinions & never investment advice
Dec 21, 2021 7 tweets 2 min read
1/ I had been using slightly different methods to find these expected moves, straddle pricing, etc. for a bit now, but I wanted to point out this method showed to me by @jp242x 2/ this seems like tricky math but what's important is the simplified version of Black-Scholes found at the bottom.. here's the screen grab
Dec 20, 2021 6 tweets 2 min read
1/atm straddles came down significantly from the open as nothing has rly happened in $spy #SPX since open but premium destruction. The play was to short overnight but this account can't do that. Expect more volatility as $vix expiration this week.. 2/ $vix showing no real signs of panic, fear, or backwardation (bullish). The curve is in contango and suggests this 3-day down move has been a healthy shakeout. We keep a long-bias here but it has been smart to not be aggressive as OpEx just passed and VIXperation lies ahead