atticus' single-name delta book

[atticus]

Quote from newwurldmn:

Good trade on the AMZN. Almost a double?

Is it me of is Jan14 vol in AMZN crazy cheap?

A double and change. Out all at 6.60 (70 mid). Yeah, Jan14 looks cheap.

Unfortunate that it didn't trade above 285 as I would have been up to 20% in short deltas.

 

[atticus]

Performance to date: +19%

 

[atticus]

Quote from atticus:

I think the shares touch $270.00 tomorrow.

Ticked that I didn't short the open in deltas... 270 handle reached.

 

[atticus]

I have a few small limit-shorts sitting from 281-82 on AMZN spot. If those are hit I will enter into some short deltas in vol (and cover these placemark shorts). I'll be in and out all day and will get a text if filled on the stock.

 

[atticus]

3% in the NFLX 120/160/200 Feb15 fly from 21.60 risk (45 mid). Looking for a couple bucks here on a touch of 160 by Friday.

 

[atticus]

Long 10% in AAPL Feb8/15 455 put calendar from 2.65 risk (60 mid). Looking for 50% on debit within 4 trading days (for half) and will hold the remainder.

Expecting a VWAP over the hold of 457 on shares.

 

[atticus]

Quote from atticus:

Long 10% in AAPL Feb8/15 455 put calendar from 2.65 risk (60 mid). Looking for 50% on debit within 4 trading days (for half) and will hold the remainder.

Expecting a VWAP over the hold of 457 on shares.

Added. 15% from 2.62 average (53 mid).

 

[Daal]

What is the best way to bet that volatility will rise in most stocks? VIX futures (or options), ES/SPY puts or something else?

 

[trefoil]

Quote from Daal:

What is the best way to bet that volatility will rise in most stocks? VIX futures (or options), ES/SPY puts or something else?

I don't know what atticus would say, but Jan 2 is set to roll off the 21 day realized vol calc on the S&P tomorrow, and if nothing happens it will drop by half. Just to stay where it is, 10.3 or so, would take a drop to the low 1460's, and as you can see by that number it's already well below VIX.
And the employment report is tomorrow, after which you could probably expect some sort of drop in IV. At the least wait until tomorrow to put on a bet vol will rise.

 

[atticus]

Yeah, vol is bid (as seen in my SN positions) into nonfarm. I would suggest an ATM upside fly in VIX options or some down and out calendars in single-names. The VIX fly is neutral gamma at inception but short G/V at neutrality, so it's self-regulating. You're reducing convexity as you gain on VIX (price).

Buy some up and out long calendars in VIX if you want to maintain convexity to vol inside a couple sigmas. Term structure risk, but less gamma at the neutral strike.

Trade down and out long calendars in single name or index if you want unimodal vol and no bleed. Primary risk is delta. If spot rises (index) you gain a bit from skew (sticky-delta yada yada), but lose on the strip (VIX dissection -- "strips").