atticus' single-name delta book

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Were there any trades this week?.
Any impact to the ROI from the increase in vola?.
Or simply got bored with posting?.

Opinion (Cliff notes) on Mr. Chuck Hughes, multiple time winner of audited real money trading competitions?.

Wolf out.
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Tired of reporting only the flies. I missed posting two winners (2 and 5% on portfolio) and realized it's too much of a hassle to report PNL and fills on a sub-account. I am strict with making the reporting marketable. I'll update price and size but won't be marking it to a portfolio figure.

I'll put ideas out there at a price that is marketable. My goal was to do better than 10x risk over the period.

I was posting some positions at worst-case (than actual entries) so that people following would be assured of an entry, and that impacts actual (posted) performance. I am up over 45% on actual fills and including two positions that were not posted.

Also the rationale is that flies and other debit positions are a relatively small % of book and the disp, baskets and stat-arb stuff cannot be as easily marked (allocated) as the flies.
 
I may begin posting outright delta1 trades here in SN and index as it fits with the premise. These would be simple, "Short at x, SL at y".
 
Long the GS 12/19 145 calendar is a lock on vol (back 160bp over front) but you have delta risk. I would buy it outright and sell some spot against it at 144 (100 shares per 10 lot).
 
How can you really justify trading dispersion and stat-arb strategies, having such nice risk profile and returns with simpler flies?. Is it client's choice or something missing in the picture (like fee structures)?.
 
The GOOG APR12 55/75/95 fly looks very good here at 8.25 (8.10 mid). May want to go with puts or the iron. Doesn't make a difference as far as they're all equivalent, but microstructure issues on the cover.
 
Also bot the GOOG 775 12/19 call (and put) calendar from 15.08 avg.

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Vol diff (term skew) is 2200 so don't do it large. Mainly a gamma bet on a body touch. The back won't drop.
 
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How can you really justify trading dispersion and stat-arb strategies, having such nice risk profile and returns with simpler flies?. Is it client's choice or something missing in the picture (like fee structures)?.
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The vol-arb stuff is OPM.
 
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The GOOG APR12 55/75/95 fly looks very good here at 8.25 (8.10 mid). May want to go with puts or the iron. Doesn't make a difference as far as they're all equivalent, but microstructure issues on the cover.
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Atticus, I followed you into this trade as it looked good to me, but if you or others would be willing I would like to bounce my logic off you to see if I am thinking about this correctly, in terms of how you identify opportunities for the flies. I saw:

- GOOG had fallen quite a bit the last several sessions and seemed fairly overextended (e.g. from RSI, lower candle wicks)
- Earnings are coming up next week, so that may reduce the chances of dramatic moves in the interim
- There is significant chart support in the 760-770 area
- IV of the options is substantially above HV10/20/30

Thank you for sharing your trades with us through your journals--I have learned a tremendous amount from studying them.
 
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