atticus' single-name delta book

atticus · Dec 20, 2012

Quote from atticus:

Marked 1.80 mid. Working well.

Out at 1.80 (85 mid) on the uptick on the fly and on ES going +. May be back in another VIX by the close. +0.4% net.

atticus · Dec 20, 2012

Quote from atticus:

Took GOOG fly up to 15% at 58.30 on the additional units. Average risk of $57.90. Averaging in on the uptick in vola. and reduction in distro.

Done for the day. I am at >40% of net liq in initial req. Var at 1SD is around 4% (down) due to the fly deltas and the ES overwrite.

Out GOOG basis 58.70, +1.80, but holding the wings for a week, taking a shot on the vola-jump when/if the report date is release for JanEx. I'll mark the wing sale when it happens.

atticus · Dec 20, 2012

Forgot to post it; a token position long the GOOG Jan04/Jan18 720P calendar from 10.50 (35 mid). 3% allocation. I like it a lot, but if they do push the report >17th then it's a generic short-distro play.

Still, should be bigger and I may add here.

newwurldmn · Dec 20, 2012

Quote from atticus:

Forgot to post it; a token position long the GOOG Jan04/Jan18 720P calendar from 10.50 (35 mid). 3% allocation. I like it a lot, but if they do push the report >17th then it's a generic short-distro play.

Still, should be bigger and I may add here.

I think if they push the earnings out, you lose 5 vegas on monthly.

That's why I cut my position. The risk reward was -5/+3.

atticus · Dec 20, 2012

Quote from newwurldmn:

I think if they push the earnings out, you lose 5 vegas on monthly.

That's why I cut my position. The risk reward was -5/+3.

yeah, definitely not symmetrical hence the size.

atticus · Dec 21, 2012

Short 10% (initial req) in the SPY Jan18 138 pitchfork from 9.75 credit. Short 138P, 138C, 3:1 ratio.

Short ES 1422.25, 3% basis initial overnight req.

atticus · Dec 21, 2012

Quote from atticus:

Short 10% (initial req) in the SPY Jan18 138 pitchfork from 9.75 credit. Short 138P, 138C, 3:1 ratio.

Short ES 1422.25, 3% basis initial overnight req.

Flat on ES futures, but the SPY pitchfork is 0.40 in the black. Niish!

atticus · Dec 23, 2012

Quote from atticus:

5% in the AAPL Jan04 500/530/560 fly from 9.30 risk (9.18 mid). Only looking for a limit fill of 11.00 on Friday close, Monday open.

No GTC limit on this as I expect a touch of 528.80 this week with a VWAP of ~523. This has home run potential. I will attempt to hold through expiration.

atticus · Dec 24, 2012

Quote from atticus:

Short 10% (initial req) in the SPY Jan18 138 pitchfork from 9.75 credit. Short 138P, 138C, 3:1 ratio.

Short ES 1422.25, 3% basis initial overnight req.

Out ES 22.00, scratch.

newwurldmn · Dec 24, 2012

Quote from atticus:

No GTC limit on this as I expect a touch of 528.80 this week with a VWAP of ~523. This has home run potential. I will attempt to hold through expiration.

Whatever model you use to predict this seems to be pretty good.