atticus' single-name delta book

kinggyppo · Dec 10, 2012

Quote from atticus:

Dec through Jan vola is running from 45 to 38. I wouldn't want to be in a calendar here. Just IMO.

Edit: I just read new's post about AAPL vola. So yeah it's reaching earnings levels, but flat term structure. Perhaps lose on the vol-line but gain on term structure and gamma.

I meant shorting vol here to be clear, should come in a bit over time although I am sure there is lots of pain for some sellers. looking for a touch of 30 in the next couple of weeks. Direction wise its possible it gets down to 480 not sure there.

atticus · Dec 10, 2012

Quote from newwurldmn:

Why not?

I'm going to be sweating this one for sure. I'm about 60% notional on this trade - that's pretty large for me.

I like the flat term, but 40-line is a tough nut. The Jan 100-wide fly is a 1:1 risk. I haven't seen that since earnings and Jan is not a reporting period.

newwurldmn · Dec 10, 2012

Quote from atticus:

Dec through Jan vola is running from 45 to 38. I wouldn't want to be in a calendar here. Just IMO.

Edit: I just read new's post about AAPL vola. So yeah it's reaching earnings levels, but flat term structure. Perhaps lose on the vol-line but gain on term structure and gamma.

yes. I think you lose on vega but make it up on gamma/theta.

i see the term as flat. my (crap) models show 38 vol. Bloomberg shows atm at 40 vol flat.

newwurldmn · Dec 10, 2012

Quote from atticus:

I like the flat term, but 40-line is a tough nut. The Jan 100-wide fly is a 1:1 risk. I haven't seen that since earnings and Jan is not a reporting period.

yeah. it's pretty high.

the drop in vega can be pretty painful. i think that if we stay around here it gets somewhat muted in the strangle.

atticus · Dec 11, 2012

Out of NDX at 9.80, SPX 7.80, ES 29.50.

atticus · Dec 11, 2012

Long the SPX Dec20 1400/1430/1460 fly from 11.75 risk (50 mid). 10%.

atticus · Dec 11, 2012

Performance to date: +4.05%

Does not include gains on open positions (AAPL, GOOG, SPX).

atticus · Dec 11, 2012

Quote from atticus:

I'll be working the GOOG Jan 600/700/800 fly by end of day. ~55, pure straddle risk.

Edit, done on 5% at 55.90 risk, (0.50 mid).

Increased to 12% here from an average of 56.40 (20 mid). Average on all at 56.20.

atticus · Dec 11, 2012

Debits on all of my short vola positions just rallied an average of 1.5% in the last few minutes. Odd. A substantial drop in vola.

1m bars:

atticus · Dec 11, 2012

Short ES from 27.00. A hedge due to drop in vola. Small position, 3% allocation basis initial futures req.