atticus' single-name delta book

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Quote from 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").
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obviously to me there is no simple answer.. haha... to take a long view on implieds you have to take other risks... iknow i'm not telling you anything.. but i'm just thinking outloud.. can you say anything about the skew in the vix options through the term structure as opposed to the vix futures term structure themselves... i've looked at upside flys in vix.. they seem counter intuitive to me.. the deeper otm leg is usually so expensive..

theoretically if you had liquid beta names that sold off in a similar fashion to the index wouldn't there be more edge in the single name basket then in the index considering the relatively larger negative skew in the index. .

the sticky delta comment relative to calenders... how exactly does one gain from skew if the underlying goes up...
 
Quote from 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").
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Can someone explain this for those that are not option traders?
 
Quote from Daal:

Can someone explain this for those that are not option traders?
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yes... there are several ways to express your long vol view.... with diferent associated risks... which expression...
 
Quote from cdcaveman:


the sticky delta comment relative to calenders... how exactly does one gain from skew if the underlying goes up...
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Your strikes become further otm
 
I don't know how many I'll do, but the LNKD Feb8/15 neutral calendar is a buy. Got this from a guy in our chatroom. I had no idea that the shares were at 125.

A great neutral lottery shot.
 
I am long the ANF Mar 40/50/60 fly from 3.75 risk. It's not in the journal account (account being merged this week). I am approx 2% in this globally, including OPM. I mention is simply bc it's diverged a bit on this index rally.
 
Quote from 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.
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24.42 mid mark.

Price model was screaming but I have an aversion to trading NFLX in any size. My AAPL cal is long delta so I will hold NFLX as it is sufficiently correlated and $5 above neutrality (shares).
 
Quote from 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.
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Out at 24.00 (90 x 40 mkt) for 2.40; 11% on debit, 0.33 on portfolio.
 
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