atticus' single-name delta book

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Quote from atticus:

Performance to date: +24.1% at <4% risk PTT. Running >6x risk, MTM.
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great job...very impressive stats!!!!!

so much for these guys digging for edge by saying you can't beat the algo's lol

ps: i just love the sell vol idea!!
 
Quote from sellindexvol66:

great job...very impressive stats!!!!!

so much for these guys digging for edge by saying you can't beat the algo's lol

ps: i just love the sell vol idea!!
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Thanks.

I sold the vol into the close in SPY. I paid just under 0.73 with comms to buy the Feb15 49/51/53 fly. It went out at 0.70 mid, so it's not material that I am posting it late (unavoidable).

15% allocation.
 
Doobs asked about the Mar14 SPX 1475 pitchfork and I think it looks decent here at 77.40 mid. The ATM combo is 40.75 mid (*2 = 81.50). The risk to strike at flat-vol is <4.10 (81.50 - 77.40). Strike vol is 250bp over ATM.

mkbt43.png
 
Quote from atticus:

Yeah, I own it in OPM, and I know a couple guys here own it as well. I am in from 0.38.
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Sold it at four cents. Worth a shot, but contributed mightily to my 17k in realized loss. Was not a journal trade.
 
Quote from atticus:

Doobs asked about the Mar14 SPX 1475 pitchfork and I think it looks decent here at 77.40 mid. The ATM combo is 40.75 mid (*2 = 81.50). The risk to strike at flat-vol is <4.10 (81.50 - 77.40). Strike vol is 250bp over ATM.

mkbt43.png
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Can you interpret this trade for me? You're selling a straddle with a 1475 price target?
 
Quote from rockn:

Can you interpret this trade for me? You're selling a straddle with a 1475 price target?
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Selling the 1475P/1475C in a 3/1 ratio. The risk at the short strike under a flat vol scenario is ~4.00 based upon the mark on the ATM straddle. The risk at the short strike dissects to 4 ATM options, so we take the current ATM straddle premium (*4) as the benchmark to derive the risk of touching the 1475 strike.

There is impact to symmetry and convexity (concavity) as sticky delta. There is an assumption under a static vol-surface that the OTM vol will converge to ATM vol as spot approaches strike. Of course the strips (unweighted strike vols) will rise if we drop, so a static "evolution of vol surface" scenario is not likely. It's beyond this thread, so you should google sticky-delta.

Gains from symmetry
Gains from "stickiness"
Loses on strip-risk on mkt drop
Loses below strike on delta(gamma)

Upside risk contained by size (ratio). Skew increases on our position as mkt rallies, but the risk is materially offset by a drop in strips and that we're not geared (as stated) on the upside.

They are initially neutral to delta, but the gamma-risk is represented in the puts. You can ignore 25% of your gamma figure as all the leverage is in the puts (gamma and speed).

I had a thread devoted to pitchforks and I traded one in the ES for illustration: http://www.elitetrader.com/vb/showthread.php?s=&threadid=244704&highlight=pitchfork I use the PF figure to monetize skew rather than something I trade frequently, but I trade 2-3 per month, mostly with OPM.

Not mentioned in the PF journal, but I usually have a limit-sell order resting on index futures for gap-risk. Typically 10:1 (puts over short futures).
 
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