atticus' single-name delta book

atticus · Nov 14, 2012

I hit a 7% gain on marks today (first week of trading). PTT draw <1%.

atticus · Nov 14, 2012

Quote from atticus:

Long the AAPL Nov 530/545/560 put fly from 5.57. 10 units.

Out 5.90 (6.04 mid) for 0.33 on the break of 540. I'll wait for the new weekly series tomorrow.

atticus · Nov 14, 2012

Long 12 units in the MA Dec 35/65/95 fly from 11.20 (11.05 mid).

johnshepherd59 · Nov 14, 2012

Quote from atticus:

Long 12 units in the MA Dec 35/65/95 fly from 11.20 (11.05 mid).

I bought the 70 fly a few hrs ago for 11.05. Showing a slight loss.

atticus · Nov 15, 2012

Bought the DEC GOOG 600/650/700 fly at 22.20 risk (21.95 mid), 15 units.

atticus · Nov 15, 2012

Quote from atticus:

Paid 6.05 (5.95 mid) risk for the NFLX 70/80/90 Nov fly. 5 units.

Out at 8.10 (15 mid) for 2.05 gain. +34% on debit and 1.7% on book.

newwurldmn · Nov 15, 2012

Quote from atticus:

Bought the DEC GOOG 600/650/700 fly at 22.20 risk (21.95 mid), 15 units.

Another short I like. I have the dec jan with some short call skew on.
But unlike Nflx, this one hasn't been profitable. Hopefully things will change now (though you seem to do more for vega and i do more for theta)

atticus · Nov 15, 2012

Long the AAPL Nov23 20/35/50 fly from 3.80 risk (3.72 mid) at 10 units.

atticus · Nov 15, 2012

Quote from newwurldmn:

Another short I like. I have the dec jan with some short call skew on.
But unlike Nflx, this one hasn't been profitable. Hopefully things will change now (though you seem to do more for vega and i do more for theta)

Yeah, the slight deltas will invert with a drop in vola when we hit 655.

cdcaveman · Nov 15, 2012

Quote from newwurldmn:

Another short I like. I have the dec jan with some short call skew on.
But unlike Nflx, this one hasn't been profitable. Hopefully things will change now (though you seem to do more for vega and i do more for theta)

I don't get what it means to be "short call skew"