Worst of 25' and in a while...- while there is always
ample time for 0DTE sellers to move around strikes, and make
adjustments intraday, the later in the day a move occurs, the more
expensive it is to make said adjustments. This was one of
those days. Even accounting for some adjustments on earlier
action from the day (prior to 1 pm), the net realized losses on SPX
put volumes are close to $1.2 bln notional. And while they
can still count some wins from intraday call sales, today's marks
on realized losses vs total volumes look to amount to the 2nd
largest losing day ever for 0DTE.
I subscribe to a 0DTE hedgefund that collects premium daily and
although later in the afternoon we had a small loss (much smaller
than the market), we ended up with a decent gain today as some of
the "black swan event", way out of the money, puts bought in the
morning as insurance, exploded in value.
0DTE Bloodbath Worst of 25' and
Posted by te22 on 27th of Feb 2025 at 06:58 pm
0DTE Bloodbath
Worst of 25' and in a while...- while there is always ample time for 0DTE sellers to move around strikes, and make adjustments intraday, the later in the day a move occurs, the more expensive it is to make said adjustments. This was one of those days. Even accounting for some adjustments on earlier action from the day (prior to 1 pm), the net realized losses on SPX put volumes are close to $1.2 bln notional. And while they can still count some wins from intraday call sales, today's marks on realized losses vs total volumes look to amount to the 2nd largest losing day ever for 0DTE.
I subscribe to a 0DTE
Posted by oreo on 27th of Feb 2025 at 09:21 pm
I subscribe to a 0DTE hedgefund that collects premium daily and although later in the afternoon we had a small loss (much smaller than the market), we ended up with a decent gain today as some of the "black swan event", way out of the money, puts bought in the morning as insurance, exploded in value.
Where did this info come
Posted by vasiboy on 27th of Feb 2025 at 08:03 pm
Where did this info come from?