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

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convexx said:
4070.44 HOD. ;)
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Great thread. I have some questions:

1) why did you hedge the 132 4000c/-3*4080/+2*4120 fly? I probably am missing something but I calculated only -0.03 delta that I think is only 3 NQ shares?

2) Isn't the 132 fly better than the broken wing 121 fly (4000c/-2*4080c/4120c) because it has a wider profit area?

3) Why do you not use future NQ future options instead of NDX. At least for ES globex futures fills are easier because of the 25 cent tick. Also, ES Globex options can be traded 24 hours so getting out with a good after hours touch might be possble?

Fly idea is much better than the Tasty Trade sell high probability slightly more than the ATM straddle OTM strangles for small profit. For UAL the Oct. 17 43/48/53 iron has same wings, much less risk and higher profit potential than the TT 43P/53Cstrangle. The wing optons are just as hard to fill in both.

I hope you wll continue to post your ideas and reasoning. You do not need to post entry prices since people can figure out good entries/exit prices for themselves.
 
Summary on the asym. ATM vola up nearly 200bp but the asym is up a solid $1 on marks. Up 0.70 on putski.

vanv0029 said:
Great thread. I have some questions:

1) why did you hedge the 132 4000c/-3*4080/+2*4120 fly? I probably am missing something but I calculated only -0.03 delta that I think is only 3 NQ shares?

2) Isn't the 132 fly better than the broken wing 121 fly (4000c/-2*4080c/4120c) because it has a wider profit area?

3) Why do you not use future NQ future options instead of NDX. At least for ES globex futures fills are easier because of the 25 cent tick. Also, ES Globex options can be traded 24 hours so getting out with a good after hours touch might be possble?

Fly idea is much better than the Tasty Trade sell high probability slightly more than the ATM straddle OTM strangles for small profit. For UAL the Oct. 17 43/48/53 iron has same wings, much less risk and higher profit potential than the TT 43P/53Cstrangle. The wing optons are just as hard to fill in both.

I hope you wll continue to post your ideas and reasoning. You do not need to post entry prices since people can figure out good entries/exit prices for themselves.
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I was leaving home for a field trip at my kid's school, so I was off a bit on my forward look. I would've gone with the 4000/4100/4150 132 calls and left it unhedged. I never hedge from inception unless I F-up.

I can't go into detail why I choose the structure.

I don't add a haircut to delimited (ltd risk) positions unless the futures are a portfolio hedge.

Yeah, I am going to post hypotheticals from mid and adjust for -edge. Too many headaches.
 
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I am going to assign a 7% edge loss to microstructure on all trades at mid. Combined. I've modeled this over a period of years, and it equates to the trough in modeled edge loss.
 
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