atticus' "ship it" vol trading journal

Status
Not open for further replies.
Thank you Atticus for your prompt answer.

May I ask which volatility is he talking about as I see the current IV around 33% and historical below 25%. It seems a very big increase or is he using another volatility calculation? I am using the IB figures.

Thanks again for your help and thanks for your journal, very interesting.
 
Quote from froluis:

Thank you Atticus for your prompt answer.

May I ask which volatility is he talking about as I see the current IV around 33% and historical below 25%. It seems a very big increase or is he using another volatility calculation? I am using the IB figures.

Thanks again for your help and thanks for your journal, very interesting.
More...

I doubt we touch 110, but Oct vol will be up massively as the report occurs two days prior to expiration.
 
Quote from atticus:

IV's not around as much, so I'll answer and he can correct... he means that Oct19 vola will touch 110% on the day of the report. The idea is that vola must rally into the report, as no significant decay will be seen. If the straddle prem doesn't decay, vols must rise.

It's a "free trade" on long vol. Since the straddle should remain above 3.00 into the report, any large move in the underlying in the interim is free gamma. No "loan" (paid in theta) on the trade.
More...

Yep , exactly that
My bet is that ATM straddle will be at 3$ on the day of report
I am already a hair below after some scalping profits
 
Quote from atticus:

Long the Oct18 RUT 00/40/80 fly from 20.80 risk, 1/2 allocation. 20.40 mid.
More...

RUT trade is a bet on realized to remain low into the election. The month prior to the General is not a volatile month. Implied is low, but realized should be lower. Close to close var should be lower still.
 
Quote from atticus:

AAPL Oct19 50/70/90 long fly from 4.15 risk (4.08 mid). 1/2 allocation.
More...

pin the 70 strike tommorrow.... looking for a buy up into the close

how much you think that 665 calender has in it? think its spent..

still pricing a otm calender..
 
Quote from cdcaveman:

pin the 70 strike tommorrow.... looking for a buy up into the close

how much you think that 665 calender has in it? think its spent..

still pricing a otm calender..
More...

Don't look at the call cal, look at the puts. Same spread, but shows extrinsic prem. 15.50 debit / 14.50 Oct / 30.00 Nov. Nearly 1:1 with Nov as the reporting month. It's still an arb and my biggest position.
 
Quote from atticus:

Don't look at the call cal, look at the puts. Same spread, but shows extrinsic prem. 15.50 debit / 14.50 Oct / 30.00 Nov. Nearly 1:1 with Nov as the reporting month. It's still an arb and my biggest position.
More...

i don't get it ..

AAPL - OCT 19 '12 + NOV 16 '12 665 Call Calendar Spread 14.45
AAPL - OCT 19 '12 + NOV 16 '12 665 Put Calendar Spread 15.50

about a dollar difference... right.. wheres the 30 nov coming from?

extrinsic prem=? lost me
 
if you were going to call a strike pin... is this the most levered way to do it..

665/670/680 on the weekly for like .20 cents.. break the wing.. put up five bills on the wider spread.. and let it rip..
 
Status
Not open for further replies.
Back
Top