atticus' "ship it" vol trading journal

[atticus]

Quote from atticus:

F me. I am out of the condor at a dime gain and in the 615/635/655 put fly at 8.00 (7.85 mid). All in, journal position. Too much upside here to be neutral to 30. No meaningful change in perf. as the comms ate the gain.

Out at 8.85 (8.91 mid).

Performance to date: +15.52% net of comms.

I may do something by the close.

 

[Doobs789]

Quote from atticus:

Out at 8.85 (8.91 mid).

Performance to date: +15.52% net of comms.

I may do something by the close.

I'm still in it, but will close it soon. I added a 625/640/655 to it at 5.20

 

[Doobs789]

Quote from Doobs789:

I'm still in it, but will close it soon. I added a 625/640/655 to it at 5.20

Out quickly after I put it on, 5.15

 

[atticus]

Hitting 48s here.

 

[atticus]

1/4 position in the 630/645/660 fly from 4.70 risk.

 

[Doobs789]

Quote from atticus:

Hitting 48s here.

Yeah I'm flat here. Just got rid of the last Dec 640 fly.

 

[Doobs789]

Quote from atticus:

1/4 position in the 430/445/460 fly from 4.70 risk.

6xx?

 

[atticus]

Quote from Doobs789:

6xx?

lol thanks.

 

[kinggyppo]

Quote from atticus:

Looking for 15.10 cash, 17.00 on Nov. Covered half already at a gain of 0.30. I wouldn't sit on short call spreads, tho. I know what you mean as if the var drops so will the puts as the vol of vol won't exceed the convergence, but the calls will drop to compensate. That's why I'm in the R/R. Keep it as a pkg if possible. I am in/out of 50 positions a day, so it's in my blood to go for hit-rate.

nice tradin, can you explain this to someone with a lower iq.

"I know what you mean as if the var drops so will the puts as the vol of vol won't exceed the convergence, but the calls will drop to compensate"

 

[atticus]

Quote from kinggyppo:

nice tradin, can you explain this to someone with a lower iq.

"I know what you mean as if the var drops so will the puts as the vol of vol won't exceed the convergence, but the calls will drop to compensate"

That if variance is low then the puts can suffer as well, even under the convergence of Nov to the lower cash number. Var is actually fairly high as we're rally big numbers. We're now ITM which results in peak gamma.

SPX falls, vol/var(usually) up, VIX up. Smile more pronounced. Skew mitigated slightly by stickiness (as 20-strike becomes ATM/ITM).

A lot of moving parts in reality, but not an issue for a quick flip of a few days. I'd wish I'd held it here and would've been better off selling Nov outright.