atticus' "ship it" vol trading journal

Doobs789 · Sep 21, 2012

Quote from atticus:

I really like the MA Oct/Jan long calendar here at 14.00. I don't own it, but will be in it by the close. It's 13.88 mid. November report will boost jan a bit into Oct expiration. Not something to be held for a few days. This is a trade you would attempt to hold to expiration of Oct and roll into some OTM weeklies.

455 strike?

atticus · Sep 21, 2012

Quote from Doobs789:

455 strike?

Edited, yeah. I think we touch 455 today or monday, so I expect that it's a rolling position as we approach Oct LTD. IMO, it has the potential to cut that debit in half through rolling weeklies at 450 or 445s before Nov report.

atticus · Sep 21, 2012

Quote from Doobs789:

Being short deltas in GOOG hasn't been working out lately.

I have a black box that pegs GOOG to a VWAP of 430 over the next week. It works to either wing, so not concerned about the position. I own the call fly.

Doobs789 · Sep 21, 2012

Quote from atticus:

I have a black box that pegs GOOG to a VWAP of 430 over the next week. It works to either wing, so not concerned about the position. I own the call fly.

Fair enough. I just got in (irons) at 2.50 risk. Looks like I can better price now.

atticus · Sep 21, 2012

Quote from atticus:

There is no demand for the synthetic short in QCOR even though it's restricted on the natural short. The synthetic is a dime under spot. It's easily shorted near spot so demand seems near equilibrium. I believe vol will drop at least 10 handles in Oct tomorrow.

ATM vola down 10 handles to 94 in Oct.

Doobs789 · Sep 21, 2012

Quote from atticus:

ATM vola down 10 handles to 94 in Oct.

That's a good call.

Why the calls in GOOG?

Doobs789 · Sep 21, 2012

Quote from atticus:

I really like the MA 455 Oct/Jan long calendar here at 14.00. I don't own it, but will be in it by the close. It's 13.88 mid. November report will boost jan a bit into Oct expiration. Not something to be held for a few days. This is a trade you would attempt to hold to expiration of Oct and roll into some OTM weeklies.

Trying to get the 455 put cal at 14.00.

I also like a 455 weekly fly though

atticus · Sep 21, 2012

Quote from Doobs789:

Trying to get the 455 put cal at 14.00.

I also like a 455 weekly fly though

Calendar has rallied 20-30.

atticus · Sep 21, 2012

Quote from Doobs789:

That's a good call.

Why the calls in GOOG?

Call fly? Because I think we VWAP under 730 and the fill may be a little tighter. Also, I didn't want to work the iron.

Doobs789 · Sep 21, 2012

Just got into an Oct MA 405/455/505 Fly for 32.64 risk (irons)