atticus' single-name delta book

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My long CRM Feb. 15 160/170/180 put butterfly worked in spite of CRM as
usual refusing to go down even though the market is somewhat down.
I think CRM is great for butterflies because in my view it is basically a
collared ponzi scheme (income becomes share dilution). I tried to close
the butterfly as a spread, but seemingly IB won't let me do it. I could
sell the ITM 180 put and let the OTM options expire, but what if some
announcement comes out before tomorrow. I would gladly pay the 0.01 to buy
back the OTM options but again IB doesn't seem to let me do it (not showing
a bid/ask). Am I just paranoid?:confused:
 
Quote from vanv0029:

My long CRM Feb. 15 160/170/180 put butterfly worked in spite of CRM as
usual refusing to go down even though the market is somewhat down.
I think CRM is great for butterflies because in my view it is basically a
collared ponzi scheme (income becomes share dilution). I tried to close
the butterfly as a spread, but seemingly IB won't let me do it. I could
sell the ITM 180 put and let the OTM options expire, but what if some
announcement comes out before tomorrow. I would gladly pay the 0.01 to buy
back the OTM options but again IB doesn't seem to let me do it (not showing
a bid/ask). Am I just paranoid?:confused:
More...

IB can't cover a fly natively (on the COB) or at the mkt inter-exchange if there is no mkt showing. I see an offer on the 170P of a penny.

I suggest you take the offer and cover the body here (then the 180P) or you'll be holding short shares on Tuesday morning.

Edit: There is a fly mkt of 480 x 505 currently.
 
Quote from ktm:

I did the 70 late last week...already up about 5 or so.
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Closed this out yesterday AM at +7...would have been about +10 near the close today.

I bought the Feb22 1520/1500/1480 at 1:3:1, for .65 yesterday morning. Mid near the close today was about $1.62. This should look great on Tuesday with a quiet weekend.

Wish they were all this easy!
 
Quote from atticus:

IB can't cover a fly natively (on the COB) or at the mkt inter-exchange if there is no mkt showing. I see an offer on the 170P of a penny.

I suggest you take the offer and cover the body here (then the 180P) or you'll be holding short shares on Tuesday morning.

Edit: There is a fly mkt of 480 x 505 currently.
More...


having once ran into problems with closing a fly into opex. (not being able to sell it with the one way out option having no market.)

after a call to the trade desk at 4:01, (while they were in the process of calling me as well, we both knew the jig was up,) the solution suggested for next time was to buy the backratio, (of the body and one wing), this will close out the part of the position i'm concerned about, and leave me holding the worthless no bid option through the weekend.

this was not at IB, so i don't know what they would recommend. (would it work there?) wanted to hijack the thread a bit, by asking if these ratios would show up on the COB directly. guess i could check myself by throwing an order up, but never i've came that close to the margin train again, lol. though, the quote for the order always seems right when i bring them up on my platform, if such an order is internalized or sent to the COB, at that late point, i don't care, as long as it's closed by 4pm.


peace
 
Quote from atticus:

The 151 vol dropped below 10 today. :amazed:

PF position has gained 0.08 on closing marks.
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Atticus, from your experience, what would be the margin requirement for one 3:1 PF on SPY and in ES (Reg T), and do you find the R/R acceptable?
 
Quote from daniel5198:

Atticus, from your experience, what would be the margin requirement for one 3:1 PF on SPY and in ES (Reg T), and do you find the R/R acceptable?
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From memory, it's approx 2x ATM straddle req. I do these in a PM account. I will update with PF modeling tips here or on a new thread.

I haven't done it for PFs, but I believe you can what-if the req if you build a custom spread in IBTWS. Right click on the spread once it's quoting.

They're inefficient, but the req can be reduced by a third or so if you buy a garbage strangle.
 
Quote from atticus:



I haven't done it for PFs, but I believe you can what-if the req if you build a custom spread in IBTWS. Right click on the spread once it's quoting.

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Yes. In optiontrader, once the spread is added to the quote panel, right click to create an order ticket and the "check margin" is on the lower left.
 
Lost a few trades that were posted to the new site.

Performance to date went to +25.8% at day 106 after the GOOG fly from 10.60 to 14.20.

All new positions were posted to the new site, along with the GOOG offset to new equity highs:




5% in the SPX Mar14 1450/1515/1580 fly from 34.80 risk.

10% in the AAPL Mar15 400/460/520 fly from 35.60 risk.

8% in the SPX long Mar1/8 15 put spread from 4.50.
 
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