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Long/Short SPX Gamma 1-DTE & 7-DTE Straddles

Long/Short SPX Gamma 1-DTE & 7-DTE Straddles

Historical Performance & US Election VRP

Michael H.'s avatar
Michael H.
Oct 12, 2024
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Vol Vibes
Vol Vibes
Long/Short SPX Gamma 1-DTE & 7-DTE Straddles
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Last few weeks, a number of posts came up on Twitter regarding the extreme (in %ile terms) spread between the VIX Index & realized volatility. VIX includes the tails, which will naturally be larger for US elections.

When looking at the ATM IV, as measured by VOLI Index, the spread is smaller (although still elevated against 1m rvol.)

It is expected given seasonality, geopol headline risk for implied to trade at a premium here.

As we approach the election date, lets look at how we can take advantage of the premium, check the historical performance for shorting the implied/realized spread through short 1-DTE & 7-DTE SPX straddles.

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