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SV/IV on SPX post Brexit

Discussion in 'Options' started by Brandon Weaver, Jul 24, 2016.

  1. Looking back over the past 20 years, I can't find a time when the SV/IV ratio has been so low for such a long period (currently 17 days). How is this affecting your trades? What strategy would best take advantage of this situation? Being long vol seems reasonable, in general, as well as being a net buyer instead of seller of premium... curious situation. Risk to reward on the usual trades seems terrible.


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  2. tom

    tom Administrator Staff Member

    Hi Brandon,
    I'm still putting Road Trip Trades on but I'm making them a bit wider as I expect the market to sell off a little given that we are getting seriously over bought. Naturally, the market can ignore that and continue higher, but the risk on the RTTs to the upside is minimal and easily turned into a profit.
     
  3. Thanks for the reply, Tom. I've been reading forums around here and watching Round Tables for many months. What is your primary strategy used to make the upside profitable on RRT's that have run up heavily? Are you just doing a Reverse Harvey? I have a few RTT's on from a few days after Brexit. I've mainly been waiting on pullbacks to buy them back, but pullbacks have been few and far between. I should have probably bought them back sooner, but, as you said, there is so little upside risk, they haven't met my rules for percentage loss to take them off (except the ones that started to go into negative theta. Those have been closed out.). Thanks.
     
  4. tom

    tom Administrator Staff Member

    Hi Brandon. I'm using RH's and adding some put credit spreads. I occasionally add some long SPY to get more positive delta. You can layer other types of trades on top of the RTT like combo trades, small flies, etc.
     

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