Destriero/Atticus Vol Journals.

[destriero]

Essentially, excluding the short shares.

 

[destriero]

How wide do you like to get on your flies? risk of 1:1, 2:1...? I understand short gamma is a +ev trade BUT buying the wings is a -ev trade so does it not cancel out?

I go as wide as possible in order to increase the area under the curve relative to essentially the equivalent risk on a narrower spread. There are maths for that, too.

 

[OptionsOptionsOptions]

Essentially, excluding the short shares.

OK ..... Yes I forgot about the short shares.

 

[TheBigShort]

I go as wide as possible in order to increase the area under the curve relative to essentially the equivalent risk on a narrower spread. There are maths for that, too.

The amzn fly is not very wide compared to its average daily move. Maybe our deffinitions of wide are different. Again, thank you for sharing Des

 

[destriero]

The amzn fly is not very wide compared to its average daily move. Maybe our deffinitions of wide are different. Again, thank you for sharing Des

Without getting into the math; consider the vol-line as a terminal figure vs. persistence. I don’t think that we trade above 1775. It’s a bet on noise/stat-vol.

 

[destriero]

To trade vol with any degree of success:

1) vol target. Vol as synthetic time.

2) price target. Disregard vol as platy or lepto and wager on a terminal price.

3) passive wing shorts. Spray and pray.

 

[destriero]

There was a movie a decade ago about time travel. The movie wasn't great as they attempted to introduce General Relativity. Anyway, the duo build a time machine in their house or storage unit, can't recall, and are totally isolated (Heisenberg, etc.).

They grab the newspaper for closing quotes and bet on the biggest movers of the day. Far more efficient to construct a fly in any single name pinned to a strike.

edit: film was "Primer"

 

[TheBigShort]

There was a movie a decade ago about time travel. The movie wasn't great as they attempted to introduce General Relativity. Anyway, the duo build a time machine in their house or storage unit, can't recall, and are totally isolated (Heisenberg, etc.).

They grab the newspaper for closing quotes and bet on the biggest movers of the day. Far more efficient to construct a fly in any single name pinned to a strike.

edit: film was "Primer"

I look forward to seeing how you manage this amzn trade. I am keeping an eye on it. Good luck with that trade.

When you look for a stock to pin, does Open interest play a role? Or do you like looking at support/resistance

 

[destriero]

I look forward to seeing how you manage this amzn trade. I am keeping an eye on it. Good luck with that trade.

When you look for a stock to pin, does Open interest play a role? Or do you like looking at support/resistance

No, OI doesn't play a role, IMO. It's been debunked and I never gave it any consideration, knowing what I know about flows.

I look at a variety of things; breadth, opportunity (bleeding the position on crosses of neutrality), predictive methods.

 

[El OchoCinco]

Those of you with ToS, it is best to put the FLY position in the analyzer and then you can see the profit profile as well as play with the vol shifts to see how position +/-.