atticus' single-name delta book

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Quote from newwurldmn:

I did the 710's. Its all the same though.

I have a question. I'm moving to a portfolio margining account. Is that how you trade pitchforks? Seems like it would be tough in a reg T account.
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Yeah, it's in a PM.
 
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.
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Out at 10.75 (88 mid) on the break of 515. +1.45, 0.76%.
 
Quote from atticus:

Long the Jan VIX 14/19/24 fly from 2.37 risk (30 mid), comms included. 5% allocation. Cash at 19.55, Jan futs at 19.30.
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I can't model this but my experience with the vix in "no man's land" it can move 4 handles pretty fast.
 
Quote from newwurldmn:

I can't model this but my experience with the vix in "no man's land" it can move 4 handles pretty fast.
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I think it's pretty rich here at 19-20 cash. We'd likely be at a 16 handle w/o the fiscal cliff. I think we trade to an 18 handle on futures before expiration.
 
Quote from atticus:

Long the Jan VIX 14/19/24 fly from 2.37 risk (30 mid), comms included. 5% allocation. Cash at 19.55, Jan futs at 19.30.
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This is probably a stupid question, but, I'm an option noob. When I plug this fly into my "what-if" on Ib it gives me a max profit of like $25 per fly. Is this correct?
 
With fly's your trying to take advantage of a mispricing in implied vol right? How do you decide on where to set your legs on the fly?

Sorry if these are really basic. I'm just curious.
 
Quote from atticus:

I think it's pretty rich here at 19-20 cash. We'd likely be at a 16 handle w/o the fiscal cliff. I think we trade to an 18 handle on futures before expiration.
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I agree it's high and you see 16 within a day or two of resolution. If we go over though, you might see 25+.

I have no way of modeling the implied vol of the VIX though as it's weird. I would think that VIX implieds would be high, but maybe not unwarranted.

FWIW I have Jan 17 puts that have lost a lot of their value.
 
Quote from actionzip54:

This is probably a stupid question, but, I'm an option noob. When I plug this fly into my "what-if" on Ib it gives me a max profit of like $25 per fly. Is this correct?
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That can't be right. Max profit for a fly (assuming calls) at expiration is mid strike - lower strike - net debit.

That's 19 - 14 - 2.37 = 2.63
 
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