SoftBank unmasked as ‘Nasdaq whale’ that stoked tech rally

Re:SoftBank unmasked as ‘Nasdaq whale’ that stoked tech rally by arcticbull on Friday September 04, 2020 @05:33PM (#24379107)

A rising stock market almost always leads to a drop in implied volatility. A falling stock market leads to an increase in implied volatility. The spot VIX is inversely correlated with the S&P.

I mean just look at the spot VIX. It hit 38 at the peak of the crashing yesterday, and settled around 30 today. [1] 0.3 delta option premium on S&P 500 index futures (/ES) is up 50% from a few days ago.

[1] https://www.investing.com/indices/volatility-s-p-500

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Re:SoftBank unmasked as ‘Nasdaq whale’ that stoked tech rally by paulpauper on Friday September 04, 2020 @05:35PM (#24379118)

up to a certain point it does. but not when the gains become too steep. Imagine if the S&P 500 was to go up 100% in a single day. now the range of potential price movement has been increased dramatically, so instead of the annual volatility parameter being around .15 or so for option pricing formulas, it is a much higher value, hence higher implied volatility.

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Re:SoftBank unmasked as ‘Nasdaq whale’ that stoked tech rally by arcticbull on Friday September 04, 2020 @05:38PM (#24379141)

In a sense, I suppose. A simultaneous rise in the VIX and the S&P usually precedes a crash. That's why I bought puts 2 days ago.

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Re:SoftBank unmasked as ‘Nasdaq whale’ that stoked tech rally by selectodude on Friday September 04, 2020 @08:08PM (#24380228)

Good luck. I wish I had the stones for that.

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Re:SoftBank unmasked as ‘Nasdaq whale’ that stoked tech rally by arcticbull on Friday September 04, 2020 @08:47PM (#24380460)

Haha I’m very much an amateur, and this is a strategy I’m going to backtest first.

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