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peter.russell


Total Posts: 10
Joined: Dec 2016
 
Posted: 2017-01-27 14:16
With VIX being so low right now, even if I expect some single stocks vol to either continue being so low or going to be even lower (after events maybe), should I even be selling vol/gamma now considering when VIX picks up it could well be greater than difference between the implied and my expected future vol.

Should I either keep selling with more frequent hedging scheme ? Or should I long vol/gamma and hedge infrequently?

sigma


Total Posts: 105
Joined: Mar 2009
 
Posted: 2017-01-29 23:42
There are decent opportunities in skew and term structures. In between there reasonable opportunities in fixed income and bond proxy equities. There is much more to vol trading than selling SPX vols.

peter.russell


Total Posts: 10
Joined: Dec 2016
 
Posted: 2017-02-01 16:16
Thanks for your reply!

Actually I did sell some single stock calls, some of which had higher implied volatilities than puts' about 1-2 weeks from now.

I am just afraid that a parallel shift of implied volatility would account for most of the total variation of volatility so I never thought to really do something with skew and term structures in isolation.

So most of the time I would just take an abnormal skews as a bonus to my risk to reward ratio.

Not entirely sure if this is a good way of thinking about this though...





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