Volatility Views Episode 9: Managing Ratio and Calendar Spreads
Volatility Views 9: Managing Ratio and Calendar Spreads
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Volatility Review: The May 1-month Euro VolContract settlement ended at 12.77, more than 50% higher than March or April.\xa0 What will June bring?\xa0 Two contracts currently trading: June 1-month and June 3-month, creating an interesting arbitrage opportunity.
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Strategy Session:\xa0 1x2 ratio spread.\xa0 Don discloses that he sold premium.\xa0 Spread management, or finding the right parking place.\xa0 Resisting the dark side.\xa0 Calendar spreads and choosing which way to cheer.\xa0 Greek management.\xa0 Position management goes beyond expiration dates.
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Listener Mail: A suggestion comes in for a potential new segment reviewing OTC trading activity.\xa0 What do Mark and Don think of the listed versions of OTC vol products?\xa0 See: OTC cabal.\xa0 Blackjack tips.
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Crystal Ball: Looking at potential arbitrage opportunities through June Euro VolContract expiration.\xa0 Volatility cone updates.