Where I Justify Going Long Gamma in X

• Posted by Adam Warner
• on January 21st, 2010

OK, interesting little dichotomy here in X. The ATR, which essentially measures realized volatility, is at a 6 month high. Options volatility however sits at 52 week lows in all but the shortest of time frames.

Now mind you, options volatility is still higher than stock volatility, but way less than most anywhere else we look at.

X clearly had a pretty orderly ascent higher, but has now stalled. In theory this volatility spike could pressage a turn, but who knows.

I’m long April calls here vs. short stock on a ratio, and also short some OTM puts. Been flipping stock around the range lately to offset the cost, but ultimately will short more stock into strength and buy stock/short puts into weakness.

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