atticus' single-name delta book

[atticus]

Optimal marks for the day:

10 x SPY to 139
10 x GOOG to 660
11 x ES to 1388
10 x AAPL to 550
05 x PCLN to 630
04 x ES D1 from 1380.00

 

[Doobs789]

Subscribed. I look forward to following along.

 

[atticus]

Long 3 units GOOG spot from 663.00.

 

[Doobs789]

Quote from atticus:

Long 3 units GOOG spot from 663.00.

Hedging the short deltas from the fly?

 

[Doobs789]

Do you use kelly criterion to size your bets?

 

[atticus]

Quote from Doobs789:

Hedging the short deltas from the fly?

Yeah, and to add deltas to the book as it's over-hedged.

 

[atticus]

Quote from Doobs789:

Do you use kelly criterion to size your bets?

Generally. PCLN should be bigger.

 

[atticus]

Quote from atticus:

Long 4 units ES from 80.00. SL 62.75

Out 81.00 for 1.00. Own enough delta with GOOG spot.

 

[Doobs789]

Quote from atticus:

Out 81.00 for 1.00. Own enough delta with GOOG spot.

I'm still in that GOOG 675 fly from the other journal. About back to even now, but that's probably all I'll get out of it.

 

[Doobs789]

Quote from atticus:

Long the Nov16 GOOG 40/60/80 fly from 8.30 risk (8.20 mid), 10 units.

Going to go with the GOOG Nov16 645/665/685 for 8.00