I do too. I don't think the stock crashes from here. I also bought the Dec Jan 500 putspread 1.5x1 for like $5. Delta flat on inception short some gamma, long small nominal vega. If AAPL continues to selloff, this will offset my callfly. If AAPL rallies the callflies convexity will pay for teh putspread many times over. This is all with the view we stay within 50 handles of where we are now and i get expected vol movements.
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atticus' single-name delta book
- Thread starter atticus
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I do too. I don't think the stock crashes from here. I also bought the Dec Jan 500 putspread 1.5x1 for like $5. Delta flat on inception short some gamma, long small nominal vega. If AAPL continues to selloff, this will offset my callfly. If AAPL rallies the callflies convexity will pay for teh putspread many times over. This is all with the view we stay within 50 handles of where we are now and i get expected vol movements.
That sucked. Towards the end premium got sticky.
Looking at a handful of names this was a pretty eratic close. A sell program or something?
Looking at a handful of names this was a pretty eratic close. A sell program or something?
Quote from newwurldmn:
I'm still holding my position. Down small. I'll prob be in through Dec expiry
edit: everytime I refresh my position on my spreadsheet, I'm getting a mini-heart attack. Price keeps blowing up for some reason.
lol yes. I couldn't hold it based upon the stat-vol. When we went + on the day I started looking for the exit.
Paid 49.90 risk (49.60 mid) for the Jan18 455/555/655 fly here. 8% allocation
Quote from atticus:
lol yes. I couldn't hold it based upon the stat-vol. When we went + on the day I started looking for the exit.
Paid 50.10 risk (49.85 mid) for the Jan18 455/555/655 fly here. 8% allocation
I agre the realized vol in this name is a little scary.
It's like a small cap.
But I think that at this point every insititutional asset manager HAS to own apple in a similar relation to the index. So overall vol should be muted to something closer to the index. On a daily or intraday basis vol doesn't have to behave that way.
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