atticus' "ship it" vol trading journal

Status
Not open for further replies.
Quote from atticus:

I price all hard-delta bets (vertical positions) at wing-touches each day at +/- a small vol change. It's purely discretionary whether the tail-risk seems worth the hold. I also look at recent stat vol and will be less likely to hold a fly if it's printing successive inside days (or whatever frequency I am watching). There are a lot of moving parts in the process.
More...

Atticus, thank you. That will give me something to ponder.
 
Quote from taowave:

Sorry,I wasnt clear..

If someone pays 2.50 for a 10 pt fly,most feel that they are risking 2.50 to make 7.50.
The truth is,I almost never let a 10 pt fly go to more than 4-5 bucks.
So,the R/R ratio is misleading in my case as I am paying 2.50 to make 2.50(selling the fly at 5).

Do you ever hold 10 point flys when they get to 5?
I cant imagine you buying them there.

This has been helpful
More...

considering the max profit on a fly isn't the right way to consider the risk reward i agree...
 
Quote from atticus:

Short SPX deltas here at 1459.73.

I'm going long the Oct26/Nov15 1450 put calendar from 12.00 (11.75 mid). NOT a journal trade. Also in RUT and SPY bear-deltas here as well.
More...

I'm short deltas in a RUT calendar. Also short ES.
 
well...I joined you guys with a 45/35/25 P fly on an SPX weekly (oct 26th) for .90....was shocked when I was immediately filled...so it must be a bad trade!:(

This has to be the 1st SPX weekly I've traded in 4 years.....
 
Quote from RichardRimes:

well...I joined you guys with a 45/35/25 P fly on an SPX weekly (oct 26th) for .90....was shocked when I was immediately filled...so it must be a bad trade!:(

This has to be the 1st SPX weekly I've traded in 4 years.....
More...

the self talk you have is amazing haha..
 
Quote from taowave:

I hear you..

I do realize it should probably be looked at in a theta/gamme realtionship as opposed to some "hard coded rule"..

Are you almost alway net flat options when short gamma?
Seems like everyone is long the wings
More...

Not always. I trade pitchforks in which I am usually net short and in other skewed series. I need wing protection as most of my short gamma bets solve for (the loss to MTM on) the tail-strike touch. I do stat arb in options and skew overwrites in index that are naked. I write puts in street vol in another OPM account that has a CC mandate.
 
I'll post other non journal trades this week, but the journal trade is babysitting AAPL in Jan13 for the earnings report next week. I am long the Jan13 540/640/740 fly from 36.80 risk, all in. I wouldn't short a fly under most circumstances, but I'll refer to positions going forward under "best case" conditions, as flies outside the wing strikes are not materially long or short gamma.

Jan13 540/640/740 from 36.80 risk (36.50 mid), 640 best case, all in (92% of account due to large debit).
 
Quote from RichardRimes:

well...I joined you guys with a 45/35/25 P fly on an SPX weekly (oct 26th) for .90....was shocked when I was immediately filled...so it must be a bad trade!:(

This has to be the 1st SPX weekly I've traded in 4 years.....
More...

I am not linking short delta here, into a pres election. I am out of the SPX calendar at 11.75.
 
I just bought the LNKD november straddle for 13.1. Expectation is for 16+ right before earnings. It might go lower a little bit, but I will average down if that happens. No need to even scalp because 13.1 is too low. LNKD straddle has consistently been above 16 before earnings. Last earnings, LNKD went up more than 16% after announcement. So, IMO, LNKD straddle is undervalued.
 
Status
Not open for further replies.
Back
Top