atticus' single-name delta book

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Quote from atticus:

10% allocated at 57.70 risk (short gamma). (25 mid) bad fill.
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Took GOOG fly up to 15% at 58.30 on the additional units. Average risk of $57.90. Averaging in on the uptick in vola. and reduction in distro.

Done for the day. I am at >40% of net liq in initial req. Var at 1SD is around 4% (down) due to the fly deltas and the ES overwrite.
 
Quote from atticus:

Took GOOG fly up to 15% at 58.30 on the additional units. Average risk of $57.90. Averaging in on the uptick in vola. and reduction in distro.

Done for the day. I am at >40% of net liq in initial req. Var at 1SD is around 4% (down) due to the fly deltas and the ES overwrite.
More...

Aren't earnings possibly within the Jan18 cycle?
 
Quote from Doobs789:

Aren't earnings possibly within the Jan18 cycle?
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Ugh. I was looking at AAPL's BBG screen with dates and estimates when I put it the first leg. I'll offer it before the close. It's 38 mid so I should be out of it no worse than scratch.
 
Quote from atticus:

Ugh. I was looking at AAPL's BBG screen with dates and estimates when I put it the first leg. I'll offer it before the close. It's 38 mid so I should be out of it no worse than scratch.
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I bought the 630/800 strangle in another account at 4.20. I am going to hold the wad through the weekend and see if we print a 10 annualized vola figure over XMAS.

GOOG will add 1.20% on implieds, however.
 
Quote from atticus:

Almost certain to the 1/19, no?
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I wouldn’t bet on it Atty

Usually (for apr , july and oct exp) the front/back vola is at 28/22 by now

Currently it’s 26/26
 
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