I was modeling the STT trade in TOS and everything looks fine until I introduce IV increase. I would expect IV to increase in a case of a 10+% sell-off. With the IV increase of 10 points, the value of the STT is cut in half. This is for a well aged position, so a new position would be a loser anyway. This does not look like a good hedge.
I have noticed that presentations about STT definitely ignore ( if not refuse) to include the IV increase. I watched a number of them and every time all modeling is done without taking IV into consideration.
Am I missing something in the TOS model?
Didn’t think this was going to fire, but it did late today:
BTC $PTON Jan-15-2021 130 puts @0.12 debit. Was STO @1.32 on Jan-05.
Pretty extraordinary moves for the SPY and some mostly sleepy stocks just in the last 5 days
SPY from 368 to 381
SLB from 21.98 to 26.73
WFC from 29.46 to 34.52
MRO from 6.81 to 8.38
CINF from 82.62 to 93.83
I’ve been fading most of these movers with Bear Call diagonal spreads. The next few weeks should be interesting.
Could be something or could be nothing
Morgan Stanley Spots An Extremely Rare Market Signal Which Precedes Selloffs
The percentage of NYSE stocks above 200-day moving averages has surpassed 90% for the first time since 2009. This rare event has happened only five times using weekly data going back to 1974.
Not everyone agrees: without looking at the data, Bank of America notes that the 2009 and 1975 signals occurred after “generational lows” for the SPX, and explains – somewhat hopefully – that while “market corrections are a part of the life of an investor, if history is any guide, this move above 90% for the % of stocks above 200-day MAs is less likely a sign of a major top and more likely longer-term bullish confirmation after a period of economic and market stress.”
One of the two banks is wrong, and since nobody likes unnecessary suspense, we will know who is right and who is wrong in just a few days.
#BullPutSpreads – Riding with jsd501 on this one. Playing for a breakout with very limited downside. Could get stock or roll into earnings. Staying small…
Sold PINS JAN 29 2021 80.0/75.0 Bull Put Spreads @ 3.20
#SPX7dtelong Bought to Open $SPX Jan 19th 3770/3790-3800/3820 iron condors for 16.75, with SPX at 3796. This is next TUESDAY expiration due to the Monday holiday.
#SPX1dte trade to follow
Both SMM and Minervini have this on their buy list today so I sold the January 29, 72 puts at 2.95 with earnings on February 5th.
#ShortPuts – Got this from a friend. Taking a small starter for first time in it. Hard to say when earnings will be….could be anywhere from mid Feb to early Apr.
Sold BLNK FEB 19 2021 25.0 Puts @ 1.03
#ShortPuts – Filled while I was out earlier. Adding to the ladder.
Sold TQQQ FEB 19 2021 115.0 Put @ 2.40
Sold $OXY 2/19 16/19/25/28 iron condor @ 1.00. Collecting 1/3 the width of the strikes. Stock at 22.16.
BTC Jan-15-2021 $ABNB 125/135 #BuPS @0.15 – was STO @2.00 Jan-05-2020
STO Jan-29-2021 $ABNB 125/135 @1.5
Holding Jan-22-2020 $ABNB 128/137.
STO February 19, 115 puts at 2.35
In my IRA, STO February 19, 120 puts at 2.72
#ShortPuts – Making a little room for earnings season.
Bought to Close COUP JAN 29 2021 290.0 Put @ 1.80 (sold for 4.60)
$OSTK BTC 1/15 50.5 put at .80. STO at 4.46. Thank you @fuzzballl
$RKT BTC 1/15 21.50 put and STO 1/22 21 put at cost of .15 but would gain .50 if assigned.
BTC $TSLA Jan-15-2021 685/695 #BuPS @0.14. Was STO Jan-06 @1.50
Holding $TSLA Jan-22 690/700 and Jan-29 680/690 #BuPS.
#ShortStrangles – Coming out of a squeeze but bumping into resistance. I’m still getting out of the way of the upside. Closing call and rolling put side up. Earnings the week after this trade.
Bought to Close REGN JAN 29 2021 550.0 Call @ 3.70
Rolled REGN JAN 29 2021 460.0 Put to JAN 29 2021 480.0 Put @ 2.95 credit
This leaves 480 put @ 5.45
BTC January 15, 90 puts at .02, sold at 2.75
#ShortStrangles – Looking weak so taking profits. Earnings a week from today.
Bought to Close NFLX JAN 15 2021 485.0/585.0 Strangle @ 4.81 (sold for 8.30)
STO February 19,130 put at 4.20
BTC January 15, 85 puts at .02, sold at 2.40