Back in the day, when I traded RV vol, I had a reliable setup: identifying stocks that experienced significant overnight vol changes (either a big gap up or down in spot moves). My focus was to sell a near-dated strike immediately at the open, with a maximum Vega loss. At 10:05 AM, I would re-enter the market to buy the same strike (or one close to it) with a longer tenor.
This setup was effective because market makers (MMs) tend to increase the vol right at the open for stocks with larger overnight moves. It involves assessing how aggressive the market is. After the initial shockwave, usually within the first 30 minutes to an hour, they generally reset the vol to more "reasonable" levels.
This setup was effective because market makers (MMs) tend to increase the vol right at the open for stocks with larger overnight moves. It involves assessing how aggressive the market is. After the initial shockwave, usually within the first 30 minutes to an hour, they generally reset the vol to more "reasonable" levels.
Obviously the actual setup had a little more nuance. But I’m sure you guys can dig in that area and find your own edge 🙂.
Also, why doesn’t Ambrus trade RV vol? Because we like to sleep at night 😅.
Much more relaxing to trade short-term flow stuff and inventory tails.
Much more relaxing to trade short-term flow stuff and inventory tails.
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