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atticus' single-name delta book
- Thread starter atticus
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Quote from atticus:
Lost a few trades that were posted to the new site.
Performance to date went to +25.8% at day 106 after the GOOG fly from 10.60 to 14.20.
All new positions were posted to the new site, along with the GOOG offset to new equity highs:
5% in the SPX Mar14 1450/1515/1580 fly from 34.80 risk.
10% in the AAPL Mar15 400/460/520 fly from 35.60 risk.
8% in the SPX long Mar1/8 15 put spread from 4.50.
Out all.
Scratch on the put spread. 30.50 on the fly, loss of 4.30. Loss of 0.6% in the SPX fly and a gain of 0.4% in AAPL.
Performance to date: +25.6%
what a move in vol today! whole term structure rallied.
Quote from newwurldmn:
what a move in vol today! whole term structure rallied.
Yeah, I didn't lose any sleep over it but I was concerned overnight that we'd dump like crazy when DAX opened. I was shocked to see a green ES when I awoke before the bell.
Lucky to be out as spreads blew out towards the close.
I've mentioned it in the past (original PF thread) and on the new board, but want to reiterate it here as some guys are doing PFs. The 3x1 is a synthetic 4x1 overwrite in spot/puts. The spread cannot be reduced, but the synthetic is likely better on microstructure.
XYZ 1000 PF:
Short 3x1000P
Short 1x1000C
XYZ synthetic PF:
Short 4x1000P
Short spot
Short 1000C = short 1000P & short spot, synthetically. So we add an additional short put, short underlying and negate the ITM call.
I normally fill as the synthetic for obvious reasons, but use the "all option" method to illustrate the relationship to the ATM straddle and the relative value (ATM combo*2 less the PF credit)
XYZ 1000 PF:
Short 3x1000P
Short 1x1000C
XYZ synthetic PF:
Short 4x1000P
Short spot
Short 1000C = short 1000P & short spot, synthetically. So we add an additional short put, short underlying and negate the ITM call.
I normally fill as the synthetic for obvious reasons, but use the "all option" method to illustrate the relationship to the ATM straddle and the relative value (ATM combo*2 less the PF credit)
Quote from atticus:
Yeah, I didn't lose any sleep over it but I was concerned overnight that we'd dump like crazy when DAX opened. I was shocked to see a green ES when I awoke before the bell.
Lucky to be out as spreads blew out towards the close.
I agree. I didn't predict this today, but risk premiums were too low for something not to happen.
Ended up scratching today. I was short risk premium. Fortunately downside convexity as well as some risk reduction when we were in the green helped me.
SPX front dated vols look rich. I put the March1 / monthly calendar but closed it when I made 25% of my max pnl as spot blew through my strike.
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