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Low VIX Environment

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nobatmanjokes
Posts: 96
(@nobatmanjokes)
Trusted Member
Joined: 1 year ago

Also wanted to flag that VIX and the two day vol aren’t always the same. ERN pointed me to VIX9D which is a bit closer, but especially around big news release days you’ll get a short term vol spike that might not be reflected so much in the VIX.

I find ERN’s second to last post on how to calculate DTE helpful. I add a volatility adjustment to it to help set my strikes.

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1 Reply
earlyretirementnow.com
(@earlyretirementnowcom)
Joined: 6 years ago

Member
Posts: 273

@nobatmanjokes Good point. 9-day vol is still a bit detached from the 2DTE options. I have my own little risk model using a 5-day and 20-day half-life. I also distinguish between down-side, upside, and up+downside risk. Doenwide risk is the more relevant one! 🙂

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charlie02
Posts: 12
(@charlie02)
Active Member
Joined: 11 months ago

I have shifted to 2-3 delta for several months now. It's not as profitable but I also do spreads (100 pt wide) to increase profits at the risk of more exposure.

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2 Replies
JSand
(@jsand)
Joined: 4 months ago

Active Member
Posts: 5

@charlie02 Do you do spreads in addition to the 2-3 delta puts? If so, what delta do you target for the spreads?

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charlie02
(@charlie02)
Joined: 11 months ago

Active Member
Posts: 12

@jsand I do more spreads than puts. I'll throw in the occasional 2-3 delta put. But my bread and butter is 2-3 delta spreads 100 pt wide.

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candymika
Posts: 0
(@candymika)
New Member
Joined: 7 months ago

Thanks for posting this info. I just want to let you know that I just check out your site and I find it very interesting and informative. I can't wait to read lots of your posts. paper io 2

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NavyPack
Posts: 162
(@navypack)
Estimable Member
Joined: 1 year ago

Well nice little VIX pop this morning.

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7 Replies
mpaziran
(@mpaziran)
Joined: 8 months ago

Active Member
Posts: 13

@navypack Yea, fear d/t a new covid strain. Loving the premiums right now.

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earlyretirementnow.com
(@earlyretirementnowcom)
Joined: 6 years ago

Member
Posts: 273

@navypack Yeah, but I lost some money on my 4610 puts. Crazy thing is that I initially had my full set of contracts with strikes 4560-4575. As an afterthought, I sold another 2 contracts with the 4610 strike right before the market close on Wednesday because the puts I sold earlier that day had such low deltas.

Oh well. With the vol spike, I should make that small loss back soon!

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TwentySomething
(@twentysomething)
Joined: 1 year ago

Active Member
Posts: 14

@earlyretirementnowcom I also lost money on a single contract with 4625 strike. Similar to you, I also sold that contract right before market close. It was a 4-delta contract at that time, according to my own calculations.

The last time I lost money was early September 2020. A streak of almost fifteen months without a single contract going ITM.

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earlyretirementnow.com
(@earlyretirementnowcom)
Joined: 6 years ago

Member
Posts: 273

@twentysomething Wow, that's an aggressive strike! Because of the holiday, I lowered the premium target to only 1/2 of my usual 2-day income target!

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charlie02
(@charlie02)
Joined: 11 months ago

Active Member
Posts: 12

@earlyretirementnowcom Oof - that was a wild ride. Can't believe the market tanked so much in the last 15 minutes. I barely made it out with short strike at 4590.

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earlyretirementnow.com
(@earlyretirementnowcom)
Joined: 6 years ago

Member
Posts: 273

@charlie02 That's what I call a point landing! 🙂

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nobatmanjokes
(@nobatmanjokes)
Joined: 1 year ago

Trusted Member
Posts: 96

@earlyretirementnowcom I guess I learned that term just in time for today when I hit my first point landing ever. Phew!

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