atticus' single-name delta book

newwurldmn · Dec 14, 2012

Quote from atticus:

Long Dec/Jan flattening your gamma? Were you long gamma in GOOG (straddle)?

Yeah, there are some naked wing-trades that look juicy.

No. It flattend half my delta. I am short gamma (a lot of it at this point).

I'm flat gamma in goog. Long jan gamma short dec gamma. I've been wrong however and been losing money (albeit small) on this as the jan has come in a lot.

Edit: thought you were talk about aapl. I had dec jan in goog for a while. Like all of this month.

atticus · Dec 14, 2012

Short 3% of book in ES Dec from 13.25 (initial req); hedge on global deltas.

atticus · Dec 14, 2012

Out of AAPL fly at 47.00 (35 mid) and out of ES (scratch) as the offending position is gone.

atticus · Dec 14, 2012

Had to go long with the AAPL Dec21 490/520/550 call fly from 11.00 (10.80 mid). 5%.

newwurldmn · Dec 14, 2012

Quote from atticus:

Had to go long with the AAPL Dec21 490/520/550 call fly from 11.00 (10.80 mid). 5%.

It's too juicy to avoid it!

I was looking at 500 550 600 jan callflys but decided against.

atticus · Dec 14, 2012

It is!

Short ES from 14.00 again now that I added a few deltas. 3% per initial req.

rockn · Dec 14, 2012

Quote from newwurldmn:

It's too juicy to avoid it!

I was looking at 500 550 600 jan callflys but decided against.

I did this exact trade this afternoon...$12.03 debit.

atticus · Dec 17, 2012

Quote from rockn:

I did this exact trade this afternoon...$12.03 debit.

It's going to hurt a little this morning, but it's a good risk for a wide ATM fly.

atticus · Dec 17, 2012

Quote from atticus:

It is!

Short ES from 14.00 again now that I added a few deltas. 3% per initial req.

Out 16.50, less than 0.1% impact.

atticus · Dec 17, 2012

Incredible. AAPL rallies to 595 off the low of 505 and retraces the entire move in one month. We're under $505 in Europe.