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Well, you would've thought wrong then. Straddle has been decaying consistently. In any case, regardless of what the Fed does, I doubt AAPL vols will trade anywhere near where they did at the open. Conversely, I still can close the trades prior to 2:00 est. So stay tuned, I guess...

Adding the shares hedge was impulsive. I had closed the SPX diagonal, so was concerned I had nothing to offset. The AAPL trade(s) are just a bet on 325, cleaning any vol-scraps off the bone. Nevertheless, the journal is off to a good start.

I am out of Trade 2, the SPX diagonal, at 1.00 debit. Which was my “conservative” fair value target. So... PnL = 1.00-(-.25)*20*100= +$2,500 *Edited to add order ticket

Sold 250 AAPL shares @ 323.42

Trades 3-4: Ok. Here's what I brought back; 10-lot AAPL Jan31 310/325/340 121 iron fly from 7.65 risk (7.35 risk) 6-lot AAPL Jan31 315/325/340 352 iron fly from 6.82 risk (16.36 cr) (really a 3-lot) *prices in picture are not fill prices, I took screenshot right after

Good morning. I am looking to fade residual AAPL vol right at the open. I will try for the atm 121 irons. I'll post order tickets, if I get filled.

Looking good here. 0.40 debit now. Looking for about 1.25 fairval. It’s a 20-lot btw.

So you attempted to sell at 1.5, and it filled at 1.6? Congrats, you filled .10 better than quoted mid. What are you complaining about?

Trade 2- Long the SPX Jan31/Feb07 3325/3360 Call Diagonal from -0.25 cr

Nat King Cole...duh

Oh I see. I’m sure there are other free scanners out there that may have some option/vol data. Or, perhaps your front-end/trading platform. There are plenty of paid ones, but a lot are junk.

try avg daily option volume of >= 2500 Significance of 2500? None. I just threw out a number. If your scan yields too few/many results, then decrease/increase accordingly.

Edge must be quantifiable, exploitable, and scalable. How much edge exists? Can you capture that edge? Does that edge persist when increasing bet size?

Yes, you are missing something. The thing you are missing is called “gamma.” An option’s p&l wrt gamma =0.5*gamma*dS^2

Which strike/duration/etc? Why not simplify even further, and just buy shares?

Sold to you. The market is fully aware of past history, and it’s baked into option prices. Vol may be a massive sale (or buy), but betting on either case is essentially a coin flip (unless you know something the market doesn’t, and if you did, I doubt you would post it in a public Internet forum).

Iron vs natural (c/p) fly are synthetically equivalent. There are only two reasons why one would trade one over the other. First, if the underlying pays a dividend, you would opt for the put fly or the iron, so as not to be exposed to exercise risk on any calls. Moreover, if close to expiry you...

I'm going to sit tight here. Not adding anything today.

I always execute as a package (multi-leg order). The ability to fill at, or around, mid varies depending on several factors. Since you'll never know the true price it will fill, you have to come up with some sort of heuristic method. Try this to start, take a % of the bid-ask spread. Say it's...

I am out of Trade 1. I'm probably leaving money on the table, but so be it. Once a trade like this flips delta, it's usually a pretty good exit signal. My opinion on spot was dead right, it just happened too fast. I closed for 84.00 risk (66.00 cr). So PnL = (84-74.7)*3*100 = +$2,790