Is this Normal?
Data from 2010 suggests this as an outlier
A vix above 30 has been trading less than 55 times in 3000 sessions!
It's a 1.83%
We are living in days of high #Vix with added volatility & movement in our favorite indices
There have been strange opens & very quick movements some to profits, others to losses
There is always a message in the data. Data speaks
Let's explore what Vix wants to tell us
Is this Normal?
Data from 2010 suggests this as an outlier
A vix above 30 has been trading less than 55 times in 3000 sessions!
It's a 1.83%
The mode is seen at 18-20 and anything above the red line of 25 is 2nd standard deviation territory for the markets and a change in Vix regime.
In other words, if you are making losses, relook at your trading strategies and change.
To cut losses, CHANGE your methods for short term.
I did this post back in 2010 and another 1 in 2013
You can look up at -https://t.co/vXQRX6n3cb
You need the price of the previous day and the Vix value .
I'm looking at weekly expiry for 17th.
( The method is explained in the above post)
The range I get is 17130 on higher side and 16130 on the lower side.
The formula can be taken from the image below
Let's see what our wise men in the option market are planning.
The 16600 strike has 252 in the call and 212 in the PUT for a 464 point range.
So they see a range of 465- 500 as well ( 10% is allowed for 5 days)
I just change the "days to consider" to 1 and I get a range of 16853- 16406 for Monday .
What it is telling me now, is that roughly a 225 point move is possible on the same vix and I need to be ready to account for it.
12 days away, we are looking at 17404- 15855 provided VIX does not move up a lot
Option guys are pricing 617 points, which means a lower xix than 25 by 24th Mar
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A THREAD ON @SarangSood
Decoded his way of analysis/logics for everyone to easily understand.
Have covered:
1. Analysis of volatility, how to foresee/signs.
2. Workbook
3. When to sell options
4. Diff category of days
5. How movement of option prices tell us what will happen
1. Keeps following volatility super closely.
Makes 7-8 different strategies to give him a sense of what's going on.
Whichever gives highest profit he trades in.
2. Theta falls when market moves.
Falls where market is headed towards not on our original position.
3. If you're an options seller then sell only when volatility is dropping, there is a high probability of you making the right trade and getting profit as a result
He believes in a market operator, if market mover sells volatility Sarang Sir joins him.
4. Theta decay vs Fall in vega
Sell when Vega is falling rather than for theta decay. You won't be trapped and higher probability of making profit.
Decoded his way of analysis/logics for everyone to easily understand.
Have covered:
1. Analysis of volatility, how to foresee/signs.
2. Workbook
3. When to sell options
4. Diff category of days
5. How movement of option prices tell us what will happen
1. Keeps following volatility super closely.
Makes 7-8 different strategies to give him a sense of what's going on.
Whichever gives highest profit he trades in.
I am quite different from your style. I follow the market's volatility very closely. I have mock positions in 7-8 different strategies which allows me to stay connected. Whichever gives best profit is usually the one i trade in.
— Sarang Sood (@SarangSood) August 13, 2019
2. Theta falls when market moves.
Falls where market is headed towards not on our original position.
Anilji most of the time these days Theta only falls when market moves. So the Theta actually falls where market has moved to, not where our position was in the first place. By shifting we can come close to capturing the Theta fall but not always.
— Sarang Sood (@SarangSood) June 24, 2019
3. If you're an options seller then sell only when volatility is dropping, there is a high probability of you making the right trade and getting profit as a result
He believes in a market operator, if market mover sells volatility Sarang Sir joins him.
This week has been great so far. The main aim is to be in the right side of the volatility, rest the market will reward.
— Sarang Sood (@SarangSood) July 3, 2019
4. Theta decay vs Fall in vega
Sell when Vega is falling rather than for theta decay. You won't be trapped and higher probability of making profit.
There is a difference between theta decay & fall in vega. Decay is certain but there is no guaranteed profit as delta moves can increase cost. Fall in vega on the other hand is backed by a powerful force that sells options and gives handsome returns. Our job is to identify them.
— Sarang Sood (@SarangSood) February 12, 2020
