atticus' single-name delta book

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Quote from stevegee58:

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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That's what I thought...
 
Quote from newwurldmn:

you must mean 480/560?
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Haha, I had already edited it. I cannot get it in my head that it's the 500-handle. I was attempting to quote the Jan04 as well and couldn't figure out why it wouldn't quote.
 
Quote from atticus:

Haha, I had already edited it. I cannot get it in my head that it's the 500-handle. I was attempting to quote the Jan04 as well and couldn't figure out why it wouldn't quote.
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I have the same problem with GOOG as well. These stocks are in different "$100 handles" every month
 
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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Out. Scratch (45 mid). I was wrong and not getting hurt so it's gone.
 
Another day and another clip of VIX puts in my book. Today I bought the Jan 20's. I have the Jan 17s and the Feb 19s. I'm underwater on all of them. Have about 1% at risk total now and lost about 40bps so far.
 
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