atticus' single-name delta book

atticus · Dec 1, 2012

Quote from froluis:

Atticus,
May I ask how you choose the wideness of your flys? Is it based on historical volatility?

A lot of factors. Gamma sensitivity increases proportionally with width, so it approaches a straddle-risk as you go out on wings. Simply, I wanted to replicate a straddle as I had no intent on holding for any length of time.

atticus · Dec 3, 2012

Quote from atticus:

Long ES 15.00 for 5% initial req.

Limit to close 18.75.

cdcaveman · Dec 3, 2012

Quote from atticus:

Limit to close 18.75.

is this all in relation to your changing deltas.. or do you have a directional view?

atticus · Dec 3, 2012

Quote from atticus:

Limit to close 18.75.

long from 18.00, same size

atticus · Dec 3, 2012

Long the AAPL Dec21 535-625 fly from 18.60 risk (45 mid). 10%. Need to generate some bear-deltas.

Doobs789 · Dec 3, 2012

Quote from atticus:

Long the AAPL Dec21 535-625 fly from 18.60 risk (45 mid). 10%. Need to generate some bear-deltas.

Nice. I'm looking at the Dec21 545/580/615 for 11.50

atticus · Dec 4, 2012

Quote from atticus:

Long 7% of the SPX Dec07 1375/1405/1435 fly from 10.50 risk (20 mid).

Out 13.70, +3.20 (90 mid).

atticus · Dec 4, 2012

Quote from atticus:

long from 18.00, same size

Out at 11.00.

atticus · Dec 4, 2012

Quote from atticus:

Out at 688.80. No impact.

Long 10% in the GOOG Dec21 650/685/720 fly from 13.90 risk (70 mid).

Out 14.50 (70 mid)

atticus · Dec 4, 2012

Quote from atticus:

Long the AAPL Dec21 535-625 fly from 18.60 risk (45 mid). 10%. Need to generate some bear-deltas.

Out 19.30 (50 mid)