Destriero/Atticus Vol Journals.

[TheBigShort]

Chapter 10: atticus - the options expert

There were supposedly a few future magazines featuring him but I do not know his name so I can not find them.

 

[TheBigShort]

After reading the section on you in the book traders of the new era some of my questions have been answered.
You state you are more likely to sell vol if skew is high. But skew decreases as vol increases. Can you elaborate a bit more there?

 

[Kevin Schmit]

@atticus, @riskarb, @convexx, @destriero

You forgot drownpruf. Maybe a few others that I have forgotten.

Since reading all the posts from the usernames above takes approximately 8 months at 10 hours per day, I kind of doubt that the OP has got all the way through them.

Not that it is a bad idea, it is in fact a good idea. I suggest reading in chronological order and taking notes as you go. RiskArb et alia has given away more edges than the typical ET poster sees in a lifetime.

 

[OptionsOptionsOptions]

........ I suggest reading in chronological order and taking notes as you go......

Taking notes is so 1990's. I suggest exporting to a PDF file, printing if necessary and yellow highlighter.

...... RiskArb et alia has given away more edges than the typical ET poster sees in a lifetime.

A bit of an exaggeration.

 

[destriero]

Hey Des, I am not battling you at all. Infact I have read all of your journals and find them very insightful. Your strategy is very simple and I would like to create a similar strategy.

Some questions I have for you :
Why do you create flies directional and not have the short strike where you can sell the most Vega?
How do you come up with your stat vol forecast?
Where do you place your stops to exit the trade?
Thanks Des, have fun on the ocean

I didn't mean to imply...

1) The long (short vol) fly with the most vega would be the neutral fly. "Local" modeling of fly payoffs is simple for time and price. Say you notice a 2:1 premium (c/p) on the RR flies which equates to a large skew. A directional (ATM) fly will earn more from flattening (Derman) than delta.

2) I can't say

3) Stops are based on expectancy (vol-drop) or spot.

 

[destriero]

Chapter 10: atticus - the options expert

The author asked me to edit the chapter but I was in Sweden at the time. There are some conceptual errors in the chapter. "logarithms" springs to mind.

 

[destriero]

After reading the section on you in the book traders of the new era some of my questions have been answered.
You state you are more likely to sell vol if skew is high. But skew decreases as vol increases. Can you elaborate a bit more there?

When SPX vols recently hit (22?) the down and out skew was nearly flat. The 20D strikes were trading nominally over ATM (23?).

 

[sle]

"logarithms" springs to mind.

Logarithms usually spiral to mind

 

[destriero]

There were supposedly a few future magazines featuring him but I do not know his name so I can not find them.

I wrote an op-ed after Jeff Joseph bought Futures (I lived next door to Jeff at the time) about Buffett's index put shorts and someone at Futures went to Berkshire for a comment. They threatened to sue so the letter was pulled. The thrust of the letter is on ET somewhere.

 

[vanzandt]

@optionsinvestor has a documented journal that turned 2K into over $100,000 in 8 months.
@Handle123 has more likes than anyone. When you were commenting on Lawrence-Lugar that metric seemed important to you.