MinyanBlog

Kind of beyond ugly here.

I tend to find on move's like this, buying gamma tends to work. Buying puts or put spreads vs. some stock, something like that. I'm doing a bit of the latter in the SPY.

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Now that most of the holiday-related “calendar reversion” (nicely coined by Adam at the Daily Options Report) is behind us, we have the opportunity to get a fresh look at unadorned volatility. You know what? There is not that much of it out there, particularly given the current market conditions.

So a commenter had an interesting question yesterday. Basically, can you buy gamma a few weeks ahead of earnings, knowing volatility is going to spike up ahead of the number.

My answer is "not really".


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