Atticus please destroy this strategy and suggest alternatives.

[jtrader33]

Quote from Rodney King:

Dear Atty,

I want to own S&P puts because I read on Zerohedge that the market is being artificially supported and will collapse soon. However I don't want to pay anything for the puts. What would you recommend?

Confused in California

HA!

 

[FrankSlaughtery]

You want to benefit from the market falling...as ari gold would say "buy puts. boom. done."

 

[eudaemon]

Quote from FrankSlaughtery:

You want to benefit from the market falling...as ari gold would say "buy puts. boom. done."

I weep for your children.

 

[Rodney King]

Euda's not the only guy who wants puts for free...

“People are starting to realize that black swan events are more frequent than they thought,” said Laurence Black, a director at Barclays Capital’s quantitative indexes and strategies unit. “At the same time, investors are looking for the ideal scenario where they don’t pay anything but still get protection on a black swan event.” -- from a BBG story today

 

[kinggyppo]

Quote from eudaemon:

fwiw: I'm currently looking for 1340+ and/or first week of April for a short, and not right now.

I'm also looking for marketsurfer to get smoked out of his shorts x 3 today.

Inebriated somewhere.

http://www.youtube.com/watch?v=V0fopNiIU0A


some of these posts are interesting, skew/contango blah blah blah.

 

[eudaemon]

Quote from Rodney King:

Euda's not the only guy who wants puts for free...

“People are starting to realize that black swan events are more frequent than they thought,” said Laurence Black, a director at Barclays Capital’s quantitative indexes and strategies unit. “At the same time, investors are looking for the ideal scenario where they don’t pay anything but still get protection on a black swan event.” -- from a BBG story today

I've been working forever in the "perpetual put ratchet"... it is still elusive...:eek:

 

[eudaemon]

Quote from marketsurfer:

Today's the day.

I was waiting for an apology to the idiot remark by today. Apparently you covered 0.5 from the high, but apparently that's not enough.

 

[eudaemon]

Quote from atticus:


I like very cheap ~atm long flies:

SPX 1330
Long 1280/1310/1340 from 5.75 mid, APR monthly expiration. You're actually long gamma atm and become short as you approach neutrality. It's all the curvature you want from the outset. The gamma sensitivity is very close (in slope) to the PNL at flat vol. Of course, vols will rise a bit as we drop.

I also like to team it up with a long calendar at the neutral strike. You're not shorting any appreciable gamma in the calendar, but it will increase net-gammas as it trades your way. It's a means of minimizing vegas as you trade to your neutral strike. It's somewhat self-regulating. You will begin to get uncomfortable with your gamma position right about the time it's optimal to get out. If it touches the center strike you're looking at a double.

Sure, you lose on the upside, unlike the backspread, but I'd rather be wrong and see it in my position than lose opportunity in a backspread creeping to the neutral strike and lose on time/synthetic vol.

Been watching this fly. The plan is still to exit on a 1310 touch or let it go to expiry?. On the push to 1340 it really didn't move that much or gave much heat.

 

[atticus]

Quote from eudaemon:

Been watching this fly. The plan is still to exit on a 1310 touch or let it go to expiry?. On the push to 1340 it really didn't move that much or gave much heat.

I am looking for a touch of 1318 on Monday, but if we close higher I'll get out regardless of the price on the fly. It's only a 4 lot.

 

[atticus]

Quote from atticus:

I am looking for a touch of 1318 on Monday, but if we close higher I'll get out regardless of the price on the fly. It's only a 4 lot.

I am also long a 7 lot in the APR/MAY 1310 calendar, 7x.