atticus' single-name delta book

atticus · Nov 15, 2012

Quote from cdcaveman:

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

He means up and otm skew. Obviously both puts and calls will be skewed at that strike.

newwurldmn · Nov 15, 2012

Quote from atticus:

He means up and otm skew. Obviously both puts and calls will be skewed at that strike.

Yup.

Call means upside and put means downside as you generally try to trade the otm options.

Doobs789 · Nov 15, 2012

At the risk of sounding redundant; I bought the AAPL Nov23 510/530/550 put fly for 6.50

I'll probably have to kill it at the open, before it's typical mid-morning sell-off. But the thing has to go up at some point.

atticus · Nov 16, 2012

Quote from atticus:

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

Unreal. 3.30 out for -0.50.

atticus · Nov 16, 2012

Time to take some deltas and duration in AAPL. Long the Jan 490/535/580 fly from 11.30 risk. (edited as fill price averaged lower, 11.20 mid).

Doobs789 · Nov 16, 2012

Quote from Doobs789:

I'll probably have to kill it at the open, before it's typical mid-morning sell-off.

Call me clairvoyant

atticus · Nov 16, 2012

Quote from atticus:

Time to take some deltas and duration in AAPL. Long the Jan 490/535/580 fly from 11.30 risk. (edited as fill price averaged lower, 11.20 mid).

Out at -0.60. Flat into the wknd save for WMT and MA.

Doobs789 · Nov 16, 2012

Quote from atticus:

Time to take some deltas and duration in AAPL. Long the Jan 490/535/580 fly from 11.30 risk. (edited as fill price averaged lower, 11.20 mid).

You're a better man than I. I think I am done trying to short vol in this name for now.

EDIT: Never mind I see that you're out. Maybe we should start buying straddles instead.

johnshepherd59 · Nov 16, 2012

The selloff is just ridiculous. When is it going to stop? Just based on fundamental analysis, Apple to me appears undervalued. What P/E ratio would you give apple with 0% growth next year? I would give it a 10. So even with 0% growth, IMO, apple is still worth 500. They also pay a nice 2% dividend. Now, I do expect apple to grow more than 0% next year. I'm just saying that the selloff is ridiculous.

atticus · Nov 16, 2012

The shares will be at 530 within a week. The problem is withstanding the weekly var. I want to keep the gains I've got over the last 7 sessions so I will wait for the close. If we're over 515 I will re-enter.