Adam's Vol Edge Trading Journal

Doobs789 said:
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. For index, euro-style, I use BSM. For Equity/American it’s binomial, adjusted for Divs. For any bespoke calcs (PF, straddles, atm vols) I derive floating, OTC, penny-strike values. Values are robust, runs very smooth with r/t data, refreshes every 2 ms.
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Smooth ...
 
jamesbp said:
Smooth ...
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F4F8E54F-91B2-4F1E-ACB6-184F3B44223F.jpeg
 
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)

aapltrade.PNG
 
Doobs789 said:
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)

View attachment 218543
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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.
 
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