atticus' single-name delta book

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Quote from ammo:

http://online.wsj.com/mdc/public/page/2_3022-mflppg-moneyflow.html click on find historical data and change the dates and see how many days in the last few weeks its been on this list,
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Yeah, I see that as well as the fact that it's been essentially a free-fall since 610. I am neutral to 545 and not liking it at all (think we go to 555). My point is that it's great in hindsight but does not indicate when it ends... could very well be a contrary indicator (i.e., who left to sell?).
 
Quote from atticus:

So do we go lower or higher on AAPL? Your points seem contradictory.
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right now we are working this bear flag channel ,and im looking for it to drop out of it, but the spy 140 puts need to go out worthless,so the wizards collect,so i say lower but not til after exp,would be hard for them to hold the market up whilst aapl tanks
 

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Quote from ammo:

right now we are working this bear flag channel ,and im looking for it to drop out of it, but the spy 140 puts need to go out worthless,so the wizards collect,so i say lower but not til after exp,would be hard for them to hold the market up whilst aapl tanks
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You do realize that the notional value of the SPY 140P OI doesn't remotely support that theory. It's less than $100MM here, but I don't know the average prem on those puts over their lifetime, but it supports my stance as they've been listed for a couple years.
 
Quote from atticus:

Yeah, I see that as well as the fact that it's been essentially a free-fall since 610. I am neutral to 545 and not liking it at all (think we go to 555). My point is that it's great in hindsight but does not indicate when it ends... could very well be a contrary indicator (i.e., who left to sell?).
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I like 545 still. Your fly is up like 0.60.
 
Quote from ammo:

i just take the 2 fattest and watch to see if it pegs, works pretty well,barring some news event,volente knows the ins and outs,probs, better,add in the millions on everything below
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There is no evidence of strike pegs other than the fact the the near-ATM strike will likely peg near expiration. It's self-fulfilling simply because we're looking at ATM strikes. Of course the 140 is likely as it's 1.50 away from a touch. If we close the week at 142 it will be a miss and the proponents will wait another month for realization. Heads you win tails I lose.

The near-ATM strikes accumulate MASSIVE volume near expiration as they are unwound, and at lower premiums as they converge in price to intrinsic.

Volente tried that going forward and it failed miserably in attempting to call strike pins. Then he said that the range is implied by the OI... when of course the straddle range was a much, much better predictor.

I'd love to see an accurate prediction that DIDN'T occur during expiration week. The excuse is that there isn't enough OI to make a prediction, so we wait for expiration week. Which of course is insane.

This max-pain hasn't been relevant since electronic trading began. The bets are simply not large enough to support it. Yeah, 20 years ago the unwinding of arbs in single-names was exploitable.
 
Quote from atticus:

Yeah, I see that as well as the fact that it's been essentially a free-fall since 610. I am neutral to 545 and not liking it at all (think we go to 555). My point is that it's great in hindsight but does not indicate when it ends... could very well be a contrary indicator (i.e., who left to sell?).
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another quest would be,if the banks made a ton off this move and its over,and they reversed around 1460 ,the 10 yr mean is 1275 area with a brief bounce at 1344,what are they buying ,they are not in cash and not making loans
 

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Quote from ammo:

right now we are working this bear flag channel ,and im looking for it to drop out of it, but the spy 140 puts need to go out worthless,so the wizards collect,so i say lower but not til after exp,would be hard for them to hold the market up whilst aapl tanks
More...

Sometimes I think fishing through open interest is like drifting aimlessly across the ocean looking for a good spot to fish.....
 
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