As noted in Week Ahead, the vol surface is steep and something I want to take advantage of in getting long vol in a more theta manageable way. The prior trade I had on was stopped out; with hindsight, it was a trade that does best in a rapid melt up situation. My focus is more on just surpassing the very low breakevens available in vol, with 1M SPX vol less than 11.
The 2m/6m vol surface is historically steep. As mentioned, some of this is due to the election premium, but not all. We can reduce reliance on election vol by selling an expiry that is just short of the event in October.
