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i'd like to offer a counter-example to your weighted vega example. this trade is an earnings diagonal with the short strike with 3 dte and the long strike at 10 dte. earnings trades take the concept of weighted vega to the extreme. the iv of the front week declined from 60.7 to 27.19 and the...

for further reassurance the low volume isn't much of a problem, here's a time and sales snippet from today. you can see, trades in the low thousands didn't move the price much.

that's definitely something to be aware of but the spreads aren't too bad; 4-5 cents. if you're doing a large size it might take a while to get filled, but trades in the hundreds shouldn't be a problem. i wouldn't do options in it and i wouldn't day trade it.

i'm just identifying these as potential pairs. i don't know if this is a good time to trade them. qqqe is the equal weight qqq and rsp is the equal weight spy. back in late february, qqq was under-performing qqqe; it usually outperforms. at that time there was a lot of political flack for the...

i don't do apple products, but vmware sells a virtual machine product called fusion that will let you run a windows virtual machine on a mac. you'll also need a windows license but the cost of both may be reasonable. i have no experience with fusion so you should research it if it's an option...

i saw the xrt trade in a scan early this morning. it was the 40 call; i didn't do it. i also didn't do the amd trade. most of the 93,000 volume monday were day trades. only 28,000 ended up in the open interest. probably a bunch of computer bots trading among themselves. that trade didn't fit...

93,000 contracts at the end of the day. that's a lot for a non-earnings day. but the largest single trade i saw at that strike was 400 contracts. that doesn't mean some large trader didn't blast small trades all day long, though. i did see a large straddle on the 23rd, at the september...

i started a paper trade in a silver - gold pair in response to a trade that tom sosnoff did on trastytrade this past friday. i used an 8:1 ratio based on the notional values. i finally updated my pairs trading web page to a new data supplier and also added a backtest feature that simply models...

thanks for the pointer. i'll check it out.

all true, but that contributes to why 50% of the trades failed in my study. also with further research you can get a reasonable answer to a lot of the uncertainties of the trade. for example, the volume shows up in the open interest the next day so you can track if the trade gets closed. you...

i'm talking about unusual options activity, not actual elephant hunting. this past april someone bought 21,000 jul 25 calls in symc. this is a very large trade for symantec. at the time symc was trading around 23.5. the calls were trading around $1.16. earnings were in may and the stock cratered...

what ratio are you using on the vxx/upro trade?

correct, the pairs trade won't hedge anything besides the trade itself. i didn't mean to imply it would hedge a portfolio or anything else. sorry for the confusion.

vxx - upro is an interesting and complex trade. vxx can drop without upro changing much because if the market settles down, volatility will fall. also vxx has a built-in drag due to the vix rolls. i'd want to study that trade a lot before i traded it. i never considered a volatility pair before...

marcas, i think it's important to model some sort of iv change, just to see how your position responds to changes. the model may not be accurate but you know if the market moves down the iv will increase some. this is especially true when trading calendars or diagonals. using past history you...

got it. thanks for the clarification. i joined the options mechanics group last week. i'll check it out.

gary, my goal isn't to produce a vol surface, the goal is to create the iv curve for tomorrow. in my skew plots above, they are all plotted with the same moneyness. the only difference is time to expiration. i've captured the iv skew for several days leading up to, and the day after the brexit...

i don't know of any articles on that topic but i can describe something i've been working on, off and on, (mostly off) for a while. i'm attempting to curve fit the vol skew and then model the equations as time progresses. i'm not attempting to predict future vol skew, only model "normal" and...

thanks, andrew. good point, that is very well possible. i watch overnight quotes a lot more these days but it doesn't help with options trading. you can trade spy, qqq, and a few other etfs after hours as a possible hedge, though.

today in tg1, someone mentioned that most of the market returns occur overnight. i read this study last year and decided to prove or disprove it myself. as with all market performance statistics, it depends on when you start measuring. my conclusion is it's true and not true. i couldn't locate...