“However, with jumpiness now back in full force and volatility-of-volatility on the rise, targeting out-of-the-money options may be a smarter approach”
I thought the overnight straddle trade (Digging into the overnight trade
VVIX or IV regime? APR 17, 2024) relied on an elevated VVIX for its success? Is this still the case for the overnight sell straddle for the indexes?
“However, with jumpiness now back in full force and volatility-of-volatility on the rise, targeting out-of-the-money options may be a smarter approach”
I thought the overnight straddle trade (Digging into the overnight trade
VVIX or IV regime? APR 17, 2024) relied on an elevated VVIX for its success? Is this still the case for the overnight sell straddle for the indexes?
It relies on a regime where VVIX 90 is the average, not the 20th percentile. It has not been doing great the past 6 weeks.