Also, there are a lot of moving parts to this. A guy trading in delta1 doesn't have to worry about the forward, unless they are short-liquidity (and Px). I have to contend with various decay(s) (drift), as well as stickiness and the general vol-line in indices (lesser-extent, in shares).
convexx's "hitting bids and lifting offers" ETF options
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Also, there are a lot of moving parts to this. A guy trading in delta1 doesn't have to worry about the forward, unless they are short-liquidity (and Px). I have to contend with various decay(s) (drift), as well as stickiness and the general vol-line in indices (lesser-extent, in shares).
Out 2.87.
https://www.dropbox.com/s/4sfsty57c2dae2t/FB out.png?dl=0
Accumulating to many upside gammas in all positions. Had to close it.
3.6% gain on mkt orders. 2.5% of portfolio: 0.09% return.
New position. Long the Sep26 SPX 1960/2010/2035 132 in calls. Yeah, a buck over fairval at 23.20 to the buy.
https://www.dropbox.com/s/fnj9pbm3w9k5mza/2014-09-16_0934.png?dl=0
https://www.dropbox.com/s/fnj9pbm3w9k5mza/2014-09-16_0934.png?dl=0
My vanilla short var position. I go 4-6 weeks out. Long the RUT Oct16 1100/1170/1205 call 132 for $28.20 to the buy. mkt is 200-wide.
https://www.dropbox.com/s/7hujbzb1rzdnm29/2014-09-16_1006.png?dl=0
https://www.dropbox.com/s/7hujbzb1rzdnm29/2014-09-16_1006.png?dl=0
My pure short vola "straddle short" in Oct3. The NDX 3900/4050/4200 121 in puts from 75.50 offered. $5 over fairval. Puts for microstructure as the body is OTM.
https://www.dropbox.com/s/us3v08m1n5o0f72/2014-09-16_1011.png?dl=0
https://www.dropbox.com/s/us3v08m1n5o0f72/2014-09-16_1011.png?dl=0
Paid 4.36 offer for the QQQ Oct3 95C. Portfolio hedge. 9% of portfolio.
https://www.dropbox.com/s/j1i07kufjll68gc/2014-09-16_1017.png?dl=0
https://www.dropbox.com/s/j1i07kufjll68gc/2014-09-16_1017.png?dl=0
Long the GOOG Sep26 560/575/610P 231 from 20.50. $1.15 above fairval. I had missed it at 20.00 earlier.
https://www.dropbox.com/s/nf6uo9tzm316j55/2014-09-16_1132.png?dl=0
https://www.dropbox.com/s/nf6uo9tzm316j55/2014-09-16_1132.png?dl=0
poring over details in journals bore me. just curious about a synopsis but never mind I guess. see ya, good luck
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