Jeff 1:04 pm on Friday, January 25, 2019
Tags: SPX1dte ( 1,714 )

SPX 1-dte LONG

#SPX1dte Bought to Open $SPX Jan 28th 2600/2620-2700/2720 iron condors for .70.

Filled after bell, Jan28th IV only 8.7%; expected move 18.77. HV still above IV, but dropping. ATR 43.35.

MamaCash 8:40 am on Tuesday, January 29, 2019

@jeffcp66, looking at the 1-min SPX chart on 1-day interval and 5-min chart on 5-day interval, SPX IV is much higher than HV. Doesn’t this mean that the 1dte credit spreads (ICs) still have an edge? That’s how I’ve been thinking but might have a hole in my logic.
- elitethink 9:36 am on Tuesday, January 29, 2019
  
  MC sounds right to me
  
  Jeff, what is your atr lookback? mine is 8.
- Jeff 11:43 am on Tuesday, January 29, 2019
  
  I only look at Daily charts for IV. Intraday reading usually appear kind of janky.
  
  And to that end, HV did dip below IV today for the first time since late December. I haven’t decided whether to buy or sell yet. The Fed announcement is tomorrow, but I think everyone expects them to hold steady on rates and there may be little to no reaction. Still, IV is higher today than the last few weeks. Also, GDP numbers in the morning.
  
  My setting on HV is (20, Annual). ATR is (14, WILDERS)
  - elitethink 11:48 am on Tuesday, January 29, 2019
    
    SPX/ES ATR… artificially low on the way down, artificially low on the way up… always a debate for me.
    - MamaCash 12:22 pm on Tuesday, January 29, 2019
      
      On what basis? ATR is a mathematical value… not artificial.
      - elitethink 1:11 pm on Tuesday, January 29, 2019
        
        it is lagging, so in sell offs it is lower than likely, and rallies it is higher than likely. High minus Low increases in sell offs and decreases in rallies…overall. If you overlay atr on vix, the delay can be seen.
      - MamaCash 1:14 pm on Tuesday, January 29, 2019
        
        I see what you’re saying. Didn’t realize you were comparing it to VIX. I see the two as each serving similar but different purposes.
  - MamaCash 1:15 pm on Tuesday, January 29, 2019
    
    I have both HV/IV on a lower study on all my main charts.

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