Destriero - Butterfly Trades

When TSLA vol blows up,I find the Robin Hood boys and girls savagely overpay for the wings..I was in the 1/15. 950/1200. 1x3 call spread for a 2 dollar credit..

Thats the trade I was referring to when I said I was short upside skew...Its not a sexy trade,but it typically flips 4 bucks the other way..Margin can get gnarly,and closer to the money has more theoretical edge based on price distributions..

I mentioned the 12/24 Iron fly for a 67 dollar credit...520/610/700 calls..i got too cute and didn't hit the bid ,so now I am left holding herman while the IF is 62 bid ...You snooze you lose...

FWIW, I find it very hard to lose money if you take in 70 percent or more of the "spread width" in condor type strategies...I learned that the hard way early on :)

My weakness is trading Flys that are trading for over 50 percent of strike width,I.e 95-100-105 trading 2.5 or more..Perhaps I should look at them on a flat skew to see if there is "edge"...

I don't get too carried away with microstructure :)

.sigma said:
you're right.. I was assuming we were talking ATM flies since thats the "standard". But we can get into OTM flies!
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.sigma said:
Its a symmetrical fly (90pt widthwings), so your exposure is on both up/downside. Also, iron flies are initiated for a credit. And tao didn't specify but i'm assuming his iron is a 121?
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taowave said:
When TSLA vol blows up,I find the Robin Hood boys and girls savagely overpay for the wings..I was in the 1/15. 950/1200. 1x3 call spread for a 2 dollar credit..

Thats the trade I was referring to when I said I was short upside skew...Its not a sexy trade,but it typically flips 4 bucks the other way..Margin can get gnarly,and closer to the money has more theoretical edge based on price distributions..

I mentioned the 12/24 Iron fly for a 67 dollar credit...520/610/700 calls..i got too cute and didn't hit the bid ,so now I am left holding herman while the IF is 62 bid ...You snooze you lose...

FWIW, I find it very hard to lose money if you take in 70 percent or more of the "spread width" in condor type strategies...I learned that the hard way early on :)

My weakness is trading Flys that are trading for over 50 percent of strike width,I.e 95-100-105 trading 2.5 or more..Perhaps I should look at them on a flat skew to see if there is "edge"...

I don't get too carried away with microstructure :)
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Wow, I will need a few days to study your post but very interesting indeed. Thanks
 
Same Lazy Element said:
Is there a God?
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I'm always here for you, my child. Well, except for the posted lunch hours. And shopping. And there's the D&D game every other night, and Lucifer has this paladin who's just begging for some Old Testament-style divine retribution...

What is the right way to eat oysters?
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Whole. Don't mind the crunch - the calcium is good for you!

Could polar bears and grizzlies have babies?
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Of course! Polar bears with polar bears, grizzlies with grizzlies. Obvious, I'd have thought...
 
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