oleg.mub

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About me Option trader, quant
Joined
Markets Allocation
67 % commodities 33 % forex
Top Mentioned Symbols
SIU 66% | 2 USDRUB 33% | 1
oleg.mub oleg.mub SIU2015, 30,
SIU2015: USDRUB Madness Insurance
12 0 1
SIU2015, 30
USDRUB Madness Insurance

In case of continued growth of USDRUB its volatility may explode. Current level is 21.5%, it can grow up to 25+. Ratio call spread 69/72 can be an insurance of volatility possible blast. Vega + delta will performe on levels 70-72. Stop loss from theta if grow occure without volatility ...

oleg.mub oleg.mub SIU2015, 30,
SIU2015: USDRUB Delta Hedge Levels
19 0 1
SIU2015, 30
USDRUB Delta Hedge Levels

Delta hedge step has grown last 3 days in USD/RUB options of the September '15 series. Now it is 1000 points. 3 days ago it was 500. An example of appropriate book (option position): http://s12.postimg.org/nrvnhjaj1/20150821_01.png

oleg.mub oleg.mub USDRUB, D,
USDRUB: USDRUB buying volatility
21 2 1
USDRUB, D
USDRUB buying volatility

USDRUB is moving inside the rising channel (green lines), resistance level 60-62 was broken 3 days ago. Probably level 60-62 is a support now. The delta hedge levels of USDRUB volatility trading are 62, 60, 58... or 64, 66, 68 (every 2 rubles, red lines). The September series volatility is 22%, two weeks ago it was 15%. In case of reducing of USDRUB rate to the ...

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