atticus' single-name delta book

Status
Not open for further replies.
Quote from kinggyppo:

got a yacht...fine
made some $$$ on some real estate moves...fine
32 ticks A DAY, EVERYDAY, hold on there Paul Bunyan!
By the way nobody gives a flying f&*k if this guy has a yacht or can
make it to Europe; the saddest part if the tall tale is true.
ET serious entertainment, carry on......:p
More...

He must have an RSS feed where he's notified when I post a hedge in futures and then he sends one of his PM queefs. He should have waited until it went against me. I've never witnessed a bigger tool.

Oops, I am up 2.50 on my futures.
 
Quote from MushinSeeker:

Thanks atticus. Regarding the averaging of the fly delta vs. half the gain hedge, does this mean that if pos delta of fly is +20 and the 50/55/60 fly has gain to neutral of $200 and it is now trading at 54, you would average 20 and 100 yielding 60 short shares as a hedge ratio? I noticed that in cases where the IV of the stock goes down or skw changes (after earnings for example) all the deltas drift towards 100 or 0 depending on moneyness of legs so what used to be a 10 delta fly becomes a 20 delta fly since the 50 strike delta goes towards 100 and the short 55 goes toward zero. If that should happen you are now looking at a fly that is more pos delta which means you can short more stock. Is that why you average the fly delta w the half the gain-to insulate against these IV drops?
More...

I wouldn't average in that scenario as it's nearly at neutrality. I'd go with something slightly exceeding delta. The goal is to avoid flipping and carrying a hedge that has now become the primary risk. The half-hedge would force you to reduce at the strike or close the position down. Honestly, I'd probably be out of the fly if it was initiated OTM with shares at 48.

Yeah, the vegas go "thin" on convexity (platy to lepto) which is one reason it's important to watch your fly-deltas closely as you approach exp.
 
I think I get it. The decision to half hedge vs. close the position and book profits depends on how close it is to short strike and how close to expiration? So if stock starts meandering up from 48 to 54 at about 7 DTE, you'd book pnl and take it off due to risk reward... BUT what if it drifts up too early (15-20 days to exp). Your fly pnl has not "blossomed" yet, slightly up maybe. Is that when you do half hedge to distribute the pnl across the curve from 54 downwards albeit creating a bigger risk above 55? At that point I guess you are making a distro call that since xyz has gone form 48-53, next moves prob going to be at or lower hence the half hedge?
 
Quote from atticus:

He must have an RSS feed where he's notified when I post a hedge in futures and then he sends one of his PM queefs. He should have waited until it went against me. I've never witnessed a bigger tool.

Oops, I am up 2.50 on my futures.
More...

We are indeed witnessing entertainment here these days. Between your jackwagon stalker and the apparently futile attempted education of PM over in the Options forum, we've clearly devolved. I think it's great that you put yourself "out there" and subject yourself to these invasions and insults. I wouldn't do it. I don't possess your skill set or patience for such digressions. We're all the better for your tolerance as we learn from your sharing. And for that, we thank you.
 
Quote from atticus:

Sorry if this is hard to read but I've been up most of the night trading exotics.
More...

No worries, just needed to read carefully and visualise exactly what you advocate here.

BTW, this discussion on OTM butterflies has been great, most helpful.
 
I'd like to echo ktm's sentiment re: atticus' contribution here. Might have been overthinking this fly hedge -looking at juice ratios vs open pnl,etc when atticus's take "half the gain" seems efficient. Still don't know what tipping point to use to hedge vs. take off the position specially if there is still > 5-8 days till exp as detailed in my prev post. Any suggestions are welcome.

Thanks again Atticus.
 
Thanks guys.

I just covered my ES futures short (hedge) at 42.00 for a gain of 8. That reduced the debit risk on my NDX fly to 25.25. I will hold it through NDX settlement tomorrow morning.
 
Quote from MushinSeeker:

I'd like to echo ktm's sentiment re: atticus' contribution here. Might have been overthinking this fly hedge -looking at juice ratios vs open pnl,etc when atticus's take "half the gain" seems efficient. Still don't know what tipping point to use to hedge vs. take off the position specially if there is still > 5-8 days till exp as detailed in my prev post. Any suggestions are welcome.

Thanks again Atticus.
More...

I often take an "80% approach", although you should substitute any percentage that you are comfortable with.

Since the market feels a bit capped here, I like to buy an SPX call and sell 2 more (15-20 points higher) for a small debit or maybe free if there's enough time left. Let's say we do the 1540/1560C. When I can roll the 1540C up to 1545C for $4, I do it.

I do the same for the larger downside flys that I put on. Obviously it works best in choppy or flat markets, which we have most of the time. I give up a bit of profit (and loss), but it helps me strike a balance between taking the position off and leaving funds on the table.

I've also found that this works much better with the weeklies.
 
Quote from atticus:

Thanks guys.

I just covered my ES futures short (hedge) at 42.00 for a gain of 8. That reduced the debit risk on my NDX fly to 25.25. I will hold it through NDX settlement tomorrow morning.
More...

Ndx settle tomorrow morn? I thought it was pm on non monthlies.
 
Status
Not open for further replies.
Back
Top