A Trade

It's like watching paint dry. That line from Robin William's golf bit, "not even a German geneticist could have come up with that one," has still got me chuckling.
 
convexx said:
Yeah, best to spread here. I wouldn't want to short vol naked into a $3 range in SPX.
More...
My thoughts exactly (I think?) I wouldn't mind just putting it back into the approx. shape it was in. I'll wait.
 
convexx said:
Yeah, best to spread here. I wouldn't want to short vol naked...
More...

You summed up the entire trade nicely there. I've been trying to do that from the start. Could have gone with a BWB any old time, but was trying to regain an advantage.

But my efficiency here has sucked. Too many trades. Using the BWB earlier, even at a disadvantage may have saved on costs. I want some delta to work with, anyways, possibly to add size.

I've been thinking about diag. backspreads and that seems like a decent structure to start with in this environment.
 
Well, you won't see a decent return if correct. Asym flies are good risks if made path-dependent and var doesn't stretch. You can easily earn more on convergence (modeled PNL path from inception to expiration) than you lose on vola, even if realized-vol is more than expected. I have to generalize, but there are positions that are indeed best-practice.

If you don't like the wing-risk then trade narrower and smaller size.
 
convexx said:
Well, you won't see a decent return if correct. Asym flies are good risks if made path-dependent and var doesn't stretch. You can easily earn more on convergence (modeled PNL path from inception to expiration) than you lose on vola, even if realized-vol is more than expected. I have to generalize, but there are positions that are indeed best-practice.

If you don't like the wing-risk then trade narrower and smaller size.
More...

Thanks for the input. Much respect. Part of the fun of reading your posts is trying to figure out, What'chu talkin' 'bout, Willis. But you've always been generous about explaining stuff, IMO.

I have an atticus story I should share sometime soon. This thread is way longer than I expected and belongs as a journal. I'll try to finish up the trade and perhaps start one. Can I hear a collective Amen to that.
 
Last edited:
You must log in or register to reply here.
Back
Top