1. Midterm Political Scenario
Election Day: Nov 3
2. Volatility Trade Structure
SPX Index Baseline
5,400
Pre-Election Vol Ramp (VIX)
22.5%
Days to Resolution
14d
Post-Vote IV Crush Factor
-30%
P&L Payoff Profile & Volatility Skew
Long Straddle (5400 Strike)
Max Risk / Loss
-$14,200
Net Vega Exposure
+$840 / 1%
Daily Theta Decay
-$195/day
Upper Breakeven
5,542 (+2.6%)
Lower Breakeven
5,258 (-2.6%)
Pre-Election Projected P&L
Post-Vote IV Crush Curve
Expiration Payoff (Intrinsic)
| Leg Description | Delta (Δ) | Gamma (Γ) | Vega (Ν) | Theta (Θ) | Est. Prem |
|---|
Trader Tactical Memo: Navigating the Contested Certification Shock