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I knew I would have to do this... -Bot 2-lot ESH20 for 3327 as partial hedge

I wanted to short AAPL. Shares were 323-324 at the time. I WOULD NOT initiate this as a new trade if you have no position. It's a legacy turd in my inventory.

Trade 14 *I did this trade before the SPX 352. I really don't like it anymore, but I am still holding it because I need it as partial offset (with googl) for SPX.* Long 25-lot AAPL Feb07 315/325/330 132 Iron Fly from 3.75 risk (6.25 cr)

Still in this. Marking 32.25 now. Looking for 35-37 at least.

Yes. This is HUGE size.

Trades 13 Long 10-lot SPX Feb07 3250/3300/3375 352 Iron Fly from 36.00 risk (converted) *(78.00 cr fill)

The only data I import from broker are bid/ask prices for each strike. Vols/Greeks are derived from option prices. Vol curve is interpolated/smoothed using cubic spline, and adjusted for p/c parity. Rates are interpolated from treasury yield curve, DTE adjusted for am/pm settlement, holidays...

There is also a these can all be calculated using PF. We are looking to sell the straddle (weighted) and buy strangle. Your goal is to try to preserve the straddle premium, or credit, and choose widest wings. If fly price equals straddle premium that means you are buying free wings. So for 231...

I assume you want to hedge deltas Cleanest way = sell Es future (50 deltas per) Next choice = sell 100 SPY shares

In general, or a specific trade? 121 fly is the default position. One would opt for 231 when there is some level of skew (in this case to downside). If otm puts are increasingly skewed, then a 231 is a cheaper way to make same bet. This is because of the deep otm put wing in the 121. This option...

Trade 12- Long 5-lot GOOGL 1390/1450/1480 Iron Fly from 29.30 risk (30.70 cr)

Realized P/L (since Jan 24) = 13,041-2,555 =+$10,486

Flat here. Rlzd P/L = -$2,555 (if I kept that 1 ES, it would've been -$405) *Stick to the plan*

Out of Trade 11, 46.50 risk (53.50 cr), so PnL = (46.50-49.25)*3*100= -$825

*Cough, Cough...* I think I'm coming down with CV...Hey Mr. Market, did you hear that?

I need a scotch...

Long 3-lot Feb07 SPX 3200/3300/3350 132 Iron Fly from 49.34 risk (avg)* *(I filled 1 @ 50.00 cr, 2 @ 51.00 cr)