convexx's "hitting bids and lifting offers" ETF options

[convexx]

Haha, someone here bought the GOOG asym and just covered at 24.00. Filled 20 cents off of mid. Good job.

 

[convexx]

MBLY hit 53.10.

 

[convexx]

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/q5var12g880uo57/2014-09-23_1036.png?dl=0

Out 23.55 bid (24.22 mid). Expect a bit of recovery from these levels.

 

[convexx]

I've got to leave in a bit. I want to be flat for the next few days. 25.70 out at the bid on the NDX 4000/4070/4105:

https://www.dropbox.com/s/cj71eiik3iiuyhd/2014-09-23_1055.png?dl=0

Naz Sep26 4000/4070/4105 132 calls. I traded this solely for the purposes of this journal. 17.00 to the buy.

https://www.dropbox.com/s/hut12rf9poxucnm/2014-09-15_0907.png?dl=0

https://www.dropbox.com/s/2nczth4ohfyoo9m/2014-09-15_0916.png?dl=0

 

[convexx]

Dropbox is down. Out of the SPY 132, Oct monthly RUT and Oct2 NDX:

SPY at 2.83 bid
RUT at 24.90 bid
NDX at 77.20 bid

Flat -- no positions. I will show PNL to date in a few hours.

 

[convexx]

Primary (chronological from entry):

VXX 132: scratch (2 tick gain)
SPY Sep26 132 calls: buy 2.43 offer/sell 2.83 bid -- 16.4% gain on debit
NDX Sep25 132 calls: 17.00 filled/sell 25.70 bid -- 51.1% gain on debit
*FB 132: half-position 2.75% gain on debit
SPX Sep26 132 calls: buy 23.20 offer/sell 28.65 bid -- 23.5% gain on debit
RUT Oct6 132 calls: buy 28.65 offer/sell 24.90 bid -- (11.7%) loss on debit
NDX Oct3 121 puts: buy 75.50 offer/sell 77.20 bid -- 2.2% gain on debit
GOOG 231 puts: buy 20.50 offer/sell 23.55 bid -- 14.9% gain on debit

*FB accounted for at half-size

99.2% gain on debit; 9.92% gain on portfolio at 10%; 4.96% gain on portfolio at 5%

Hedges:

NQZ4: -13 points (0.26%) loss on portfolio
QQQ: $188/$100K notional; (0.19%) loss on portfolio

9.47% return on portfolio at 10% allocation on primary trades. PTTDD: 1.17% -- less that NBBO width. Gains >8x risk.

Zero commish

 

[voltrader1]

yes that fb trade was nice. tell me, what set you up for that? how did you work vol into it?
or was the plan just a straight delta bet with some theta for good measure?

im looking into doing more long dated asym fly's for a touch after seeing how that played out.

 

[lucysparabola]

"I doubt I could better the performance in listed / vanilla anyway."

Booya!

 

[convexx]

I don't think much of the FB trade -- it was a 5-day solve on distribution. It wasn't a loss, but I was accumulating too many upside gammas for comfort, overall. Not in FB, but index. FB wasn't helping the situation.

 

[convexx]

"I doubt I could better the performance in listed / vanilla anyway."

Booya!

It's very, very hard to trade a 2-10 wide (NBBO) fly at mkt when you know that you can go 30-60 cents (buck in NDX) off-mid and receive a fill.

Timing is everything.