Sep 26, 2010

Week in Volatility

Beside market weakness on Wednesday and Thursday volatility indexes remain almost unchanged for the week. We're only few trading days away from October, but futures and skew in vol options remain cheap. The 22.5/25/27.5 fly I put on a while ago is not working well - even though the futures approached the sweet spot, marks have barely moved - probably because of the skew. Now I'm trying to roll the fly somewhere lower.

I am still on vacation, so there probably will be no other posts this week.

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