Tuesday, April 5, 2011

April Options Expiration Progress Report


  1. Not so good video quality this time, not sure why it's any different from my last post.

  2. Very cool Jason! Congratulations on your great month! I'm having a good one too.

  3. great bond trading man

    one quick note: its tough to "roll" VIX options-- the Apr options and the May options technically don't track the same thing; it's related to the contango that persists in the VIX futures structure. So while it can't go to 0, it can still suck.

  4. Jason,
    Any thoughts on RMBS for May? IV is high with the uncertainty ahead of earnings and probably more importantly various legal proceedings. Interestingly HV is very low. I'm thinking about selling the $16 puts prior to earnings, but still need to think about it a bit more. I've attached a monthly chart, it would have to come down pretty hard to hit $16 and go through the 200 weely avg, though obviously it has done that in the past.


  5. Steven, I hear you. This is actually my first time trading VIX options so I'll be learning on the fly. It might turn in to something I don't want to trade going forward because of contango issues, this happened to me with natural gas and rolling contracts wasn't fun.

    Sandeep, I wasn't planning on playing RMBS for May since earnings happens right after APR options expire. I purposely avoid trading earnings as to me they are a wild card and anything I think I might be doing is an illusion. I would rather react to an earnings events than place my bets ahead of them. RMBS has been too good to be true the last few months for me. I feel like taking my profits and sitting out for a while.

  6. I had orders to sell the May 16/15 Put spread all day long Thurs. and Fri at the $0.24 mid with no fill. Have also had orders to buy to close the April 17/16 Put spreads for 3 cents for the past week which have not filled.

    Something I don't understand - if you look at this screenshot it shows a 27% probability of touching my short April 17 put (much higher than what I would have expected). But the probability of touching the 17 call is 14%. Shouldn't the probability of touching a given strike price be the same regardless of whether you are looking at the call or put side?

  7. New trades on RMBS for me today:

    Sold May 17/16 Put spread for $0.31 credit.

    Sold May 17 Puts naked for $0.95 credit.

    It's a bit of a gamble ahead of earnings, but I like the credit on the put spread but I've had a small long stock position in RMBS for several years and I'm willing to take the chance of being forced to buy more for $17.