You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
atticus' single-name delta book
- Thread starter atticus
- Start date
- Status
- Not open for further replies.
Quote from atticus:
Went long the AAPL Jan18 440-640 fly from 54.80 risk (50 mid) at 10% this morning.
Down 1.1% impact to the book with the UBS downgrade. IMO too late to sell deltas in spot so I'll wait and see how we close. My guess is that $500 is strong psychological support and may be broken intraday next week, but will hold on a closing basis.
Best guess for VWAP on the remaining 35 days is 522.80.
Quote from atticus:
Down 1.1% impact to the book with the UBS downgrade. IMO too late to sell deltas in spot so I'll wait and see how we close. My guess is that $500 is strong psychological support and may be broken intraday next week, but will hold on a closing basis.
Best guess for VWAP on the remaining 35 days is 522.80.
I tend to agree, except I don't know if I agree with the $500 being broken. But who knows. Anything can happen over the next few days.
There's a lot of capital gains in this stock that could further downside pressure.
Vol is pretty bid. If I had ammunition right now, I would probably looking to do more term structure.
Quote from newwurldmn:
I tend to agree, except I don't know if I agree with the $500 being broken. But who knows. Anything can happen over the next few days.
There's a lot of capital gains in this stock that could further downside pressure.
Vol is pretty bid. If I had ammunition right now, I would probably looking to do more term structure.
From your mouth to God's ears.... just being pragmatic here as it's getting cratered on a 700 price target by UBS. 700 is fantasy; it won't see that handle in 3 years at least, if ever.
It seemed like a great vol-sale at the 40-line, but it's living up to that number.
Anyway, I am a bull by necessity, but GOOG is eating their lunch.
Quote from atticus:
From your mouth to God's ears.... just being pragmatic here as it's getting cratered on a 700 price target by UBS. 700 is fantasy; it won't see that handle in 3 years at least, if ever.
It seemed like a great vol-sale at the 40-line, but it's living up to that number.
Anyway, I am a bull by necessity, but GOOG is eating their lunch.
I am long Jan vol and short Dec vol in GOOG to get my gamma flat for now. I'm down a little bit on this trade. About a vol I think.
RE: AAPL, I agree. 700 is fantasy. The right trade here is long skew. It's flat and vol of vol is pretty high. I can't trade it however as I don't use portfolio margining and thus won't be able to put on the size that will make it interesting for me.
I cut my Dec Jan 550 calls. So now I just have the Dec Jan 500 puts. This cuts about 1/2 my delta exposure and if the stock does rally, I don't have to worry about Jan vol coming in 5 points (about where it was yesterday) and I take some premium off the table just in case.
so I went the exact opposite way I had just suggested.
Quote from newwurldmn:
I am long Jan vol and short Dec vol in GOOG to get my gamma flat for now. I'm down a little bit on this trade. About a vol I think.
RE: AAPL, I agree. 700 is fantasy. The right trade here is long skew. It's flat and vol of vol is pretty high. I can't trade it however as I don't use portfolio margining and thus won't be able to put on the size that will make it interesting for me.
I cut my Dec Jan 550 calls. So now I just have the Dec Jan 500 puts. This cuts about 1/2 my delta exposure and if the stock does rally, I don't have to worry about Jan vol coming in 5 points (about where it was yesterday) and I take some premium off the table just in case.
so I went the exact opposite way I had just suggested.
Long Dec/Jan flattening your gamma? Were you long gamma in GOOG (straddle)?
Yeah, there are some naked wing-trades that look juicy.
- Status
- Not open for further replies.