Option Block 508: The Lobster Flies Solo

Trading Block: U.S. crude options volatility sinks as prices bounce off Feb lows. CBOE to list options on FTSE 100 and China 50. Options traders prepare for "worst of all worlds".Fed scales back rate-rise forecasts as global risks remain. Earnings after the bell: Adobe Systems Inc., Aeropostale Odd Block: Calls trade in iShares MSCI Emerging Markets ETF (EEM), calls trade in Genesis Energy LP (GEL), and calls trade in Technology SPDR (XLK) Mail Block: Listener questions and comments Question from Alex - Mark and the Options Block Dream Team, I have to keep it going in the same spirit since this is extremely educational and I am still not converted to shorter term selling. I was unfair to ask such a broad question so I will try to be as specific as possible. Let's revisit why I shorted 1y 25d (cash-secured) Put Option Vol was at its 2 year high (~57%). Vega($70/bp) further out is much higher than shorter term. Example: 14bp drop in 1 year Vol would result in an easy $1000(6% yield) profit in my strategy where 15% yield is if the option expires worthless. A similar kind of theta($5.55/day) premium of $1000 would require around 180 calendar days. Clearly theta premium collection is not interesting in my strategy (yet). Gamma is virtually 0 and hence the underlying needs to both trend down and Gap sharply (30%+) before I need to start worrying. Most likely the next time the underlying will GAP down significantly is during earnings. Hence I can either avoid the period around earnings (close prior to earnings and reopen after) or gamble and keep my position through and essentially taking a risk of becoming a 'long term' investor with the underlying being in high 70s and then do a Wheel of Fortune kind of strategy on it. Speculation aspect of my simple strategy - 1) Volatility will mean revert down 2) I strongly believe that this is a Side-Ways year for the entire US Market including the technology sector. Hence I believe I can capitalize on this speculation if I extend further out in my short selling. Regarding Baby Sitting question. I can do some low frequency rolling on the Delta. I have done once already. I agree there is nothing much else to do here. Lets forget about Shorter Term Selling and Theta Premium for a second and its nice exponential properties near expiry. The follow up question is which is hopefully more particular: are there any practical ways of locking in on Vega Premium for a longer term Short Puts? Vol dropped 7bp since I entered but there is room for much more. I understand that drawing a line in the sand (say I close when vol drops to 40s or 30s) is a very good and practical way. But are there any other ways to lock in some Vega premium without fully closing on the strategy? My background. I am a hardcore Quant guy who understands the theoretical part of Options valuation and Greeks inside out including some very exotic derivatives structures(calendar year asian options, swaptions, generation assets etc). That said, ironically, most folks like me are not very good with the practical aspects of Options trading so I hope I am not dumbing down the show with my impractical questions smile emoticon. Cheers, Alex. Around the Block: Earnings on Friday in Tiffany & Co.