Adam's Vol Edge Trading Journal

[Doobs789]

Hi all. I'll add more color to this journal later. But for now;

Trade 1-

3-lot of the SPX Jan31 3175/3250/3400 231 iron fly for 74.70 risk (75.30 cr)

 

[Magic]

Sup Doobs! Hope the journal goes well. I shorted some Jan 31 vol too a few hours ago haha. Always an interesting day when the front of the curve gets shocked.

 

[traider]

Sup Doobs! Hope the journal goes well. I shorted some Jan 31 vol too a few hours ago haha. Always an interesting day when the front of the curve gets shocked.

Which instrument did you use?

 

[Magic]

This particular order was a wide vert, slightly under-hedged. Vol is vol though. I usually have a variety of positions on and the exposures just blend together.

This is doob's journal though; I'm sure he has some wisdom for us forthcoming

 

[.sigma]

Starting the journal off with an $SPX 132 iron fly?


Subb'd.

 

[Adam777]

Definitely following this thread!

 

[Doobs789]

Hi all. I'll add more color to this journal later. But for now;

Trade 1-

3-lot of the SPX Jan31 3175/3250/3400 231 iron fly for 74.70 risk (75.30 cr)View attachment 217590

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

 

[Magic]

Good start! I def didn't expect that magnitude on a gap. gj with the decent -delta lean from inception

 

[traider]

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 = +$2,790View attachment 217804

How to you get execution for so many legs without giving up a lot in spreads?

 

[Doobs789]

How to you get execution for so many legs without giving up a lot in spreads?

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 66 x 64, so width is 2.00. Maybe use 10% to start. So, 2.00*.10=0.20. Pay no more than .20 over quoted mid-price. If you fill too easily, try 5%, no fills, try 15%. Keep adjusting until you dial it in. Nothing magical about 10%, it's just a way to develop a method. Your goal is to avoid "chasing it," or missing it.

If you want a more sophisticated approach, think about it in "theta" terms. How many days of theta am I giving up by paying n over mid? If it's long 100 thetas, and you pay .50 over, then you gave up half a day, and so on. Happy hunting.