atticus' single-name delta book

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Quote from atticus:

Short GOOG outright at 688.61 3% overnight req (6% cash).
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Out at 688.80. No impact.

Long 10% in the GOOG Dec21 650/685/720 fly from 13.90 risk (70 mid).
 
Quote from atticus:

Long 7% of the SPX Dec07 1375/1405/1435 fly from 10.50 risk (20 mid).
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I think you have been peeking at MY trading book:D I'm short the 1405 straddle on the ES weeklies. Just thinking of a lot of churning over the next 30 days...
 
Someone asked why I dumped AAPL. I did so as GOOG is accumulating -deltas and I had a 80bp drop in AAPL vola. Ideally, I would've held through the weekend, but my ES hedge is too light to carry AAPL as well.
 
Quote from atticus:

Someone asked why I dumped AAPL. I did so as GOOG is accumulating -deltas and I had a 80bp drop in AAPL vola. Ideally, I would've held through the weekend, but my ES hedge is too light to carry AAPL as well.
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you said you exit flys on a particular theta value.. was that when it was 50 percent of entry theta?
 
Quote from cdcaveman:

you said you exit flys on a particular theta value.. was that when it was 50 percent of entry theta?
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I rarely wait for that exit parm. I often exit on book deltas. I was short too many deltas into the close.
 
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