atticus' single-name delta book

IV_Trader · Jan 9, 2013

Quote from atticus:

2/24?

I am seeing 1/31 for the release. I don't think it's material, but I'll defer to IV on that. There is nil-risk of Feb vols dropping from here to Jan18. I am in it small as the risk is still there due to the duration which is so heavily weighted.

I was just using 24 as example...yes , 1/31 is much more realistic

newwurldmn · Jan 9, 2013

I think the Feb is cheap. I don't know if I agree with the Jan being expensive.

atticus · Jan 9, 2013

Quote from newwurldmn:

I think the Feb is cheap. I don't know if I agree with the Jan being expensive.

I don't think Jan is overpriced in the slightest. I have to spread something against it and I don't want to trade verticals in Feb and take the event-risk.

newwurldmn · Jan 9, 2013

Quote from atticus:

I don't think Jan is overpriced in the slightest. I have to spread something against it and I don't want to trade verticals in Feb and take the event-risk.

I don't understand the motivation for the trade. Why not just buy straddles in Feb?

atticus · Jan 9, 2013

Quote from newwurldmn:

I don't understand the motivation for the trade. Why not just buy straddles in Feb?

Feb straddles will still decay and I don't think we're going to see significant stat vol into earnings. I am not making a call on Jan vol as Feb implieds will have to rise on time. Simply looking to reduce the debit on Feb vol.

vinc · Jan 10, 2013

this thread gets a 5 star rating : http://www.elitetrader.com/vb/showthread.php?s=&threadid=250379 , god only knows for what.. and this one here is worth only one star..
you guys care to explain this phenomenon??

funny sociological event I'd say

in the above mentioned thread the guy doesn't make any money which makes it even more hilarious

Rationalize · Jan 10, 2013

"this thread gets a 5 star rating : http://www.elitetrader.com/vb/showt...threadid=250379"

SOLD.

atticus · Jan 10, 2013

lol guys.

Bought the GS Feb 25/35/45 fly for 3.80 risk (70 mid) at 5%.

atticus · Jan 10, 2013

Paid 10.90 (80 mid) for the AAPL jan18(S)/jan25(L) 520 put calendar. 15% allocation.

Looking for a VWAP over the week at 524, but went with the 20-strike to split the difference. Went ITM for microstructure as I expect we'll be above 520 (as stated).

Spreading pre/post term structure. Looking for three handles on vol and essentially a pure play on distribution. Will exit on at 15 (on the cal) if touched.

Doobs789 · Jan 10, 2013

Quote from atticus:

Paid 10.90 (80 mid) for the AAPL jan18(S)/jan25(L) 520 put calendar. 15% allocation.

Looking for a VWAP over the week at 524, but went with the 20-strike to split the difference. Went ITM for microstructure as I expect we'll be above 520 (as stated).

Spreading pre/post term structure. Looking for three handles on vol and essentially a pure play on distribution. Will exit on at 15 (on the cal) if touched.

11.30 Looking good.