Using SKEW in Low VIX | Market Measures
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- Опубликовано: 10 сен 2024
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This research is simply next level.Keep up the great insights!
Loved this Market Measure! Great work!
At the risk of sounding like an absolute crazy person, doesn't this imply that we should switch to buying options during low VIX, high SKEW environments?
Theoretically it could make sense to go long on the longer dated options, possibly financing and hedging with shorter duration contracts
@@OurNewestMemberso you describing a vertical spread ? Be it call or put spread
@@achristianson4059 a calendar/diagonal debit spread would fit that description: eg, buying a longer dated put and hedging by selling a shorter dated put.
There are various constructs to attempt this, though
Poor mans covered call, or covered put
You’d be burning cash waiting for some kind of vol spike. Best to sell some put/call options to lower cost. Diagonals and calendar spreads seem like the way to go. I’m new to those so here we go 😂
So strangle is bad for high skew and low vol. what would be a good trade in this environment?
VIX and SKEW are at an index level. The opposite would also be to buy positions at an index level or maybe find stocks with high IVR with a high pobability of IV crush in your position timeframe if you still want short premium.
This explains why it’s been really hard to make money selling option premium on strangles for the last several months. I find that I’ve had to roll several positions given the outlier moves.
Y'all put out amazing content.
Thanks for that extremely interesting insight!
Beautiful cuts on the data, very insightful! Love this.
Excellent, excellent, information!!!
I feel like this research is critical information. Would love to see the data in more detail.
Can someone please help me understand this. If Vix is a measure of volatility in direct relation to the S&P as a whole, couldn't you just avoid this issue by playing more volatile underlyings?
Yep you are right
Great research. Since I deal in suicidal stocks like Mara, Pton, Lcid, this is my year-round reality.
More focus on directional trades and earnings, that’s what I do atm.
(Still mostly for credit, sometimes adding a long)
WHATS UP
So don't sell options right now, great.
These guys are great but they're a little too laser focused on selling premium. I think we need to be open to buying strangles or straddles in this environment.
This was good info, but it didn't really say what to do to deal with the current situation!
They mentioned it but in passing. Reduce trade size and allocate less capital to trades. In other words hold more cash.
@@sigmundglobes5147 Better than that, dont sell any options right now, hold and wait for opportunities. The reason they advocate still trading is because they own a brokerage, remember that.
This may seem obvious, but remember, holding cash is a position and is guaranteed to outperform every losing trade of the day. Otherwise, have to sell far OTM positions which has a poor risk/reward. I would be interested in knowing what percentage of days are low vix/high skew. I didn't get a feel for that from them.
Fellas how about allocating capital to 60-90 DTE option selling?
@@prashunpcchakraborty70but VIX is low, so the idea is that it's likely to mean revert and then you will likely be unnecessarily hurt by your short vega exposure (assuming you're asking about 60-90 DTE instead of shorter duration).
However, these are general ideas -- markets and strategies are complex
all this happens partly because of your classes. There are too many stupid kids playing options and 0dte games now, which basically eliminates the short sellers from doing their trick. Short strangles are over.
What are you talking about. That makes no sense.