Destriero - Butterfly Trades

jtrader33 · Jan 13, 2021

temnik said:
Euan's books are great options books. Love them, they make me think. However, my understanding is that his own strategies went under last year.

Where did you see this? (not doubting, just curious)

destriero · Jan 13, 2021

Go long AMZN double diags for Feb/Mar. I have 800 contracts various strikes and exps. Going to earn $3MM when they hit $50 on FebEx. My DCA is $6/contract. $20 last, up a mil.

SEC, you woke?

.sigma · Jan 13, 2021

ironchef said:
Really?

You are the real deal sir.

iron chef, the man of virtue, and the uttermost humility

.sigma · Jan 13, 2021

destriero said:
Go long AMZN double diags for Feb/Mar. I have 800 contracts various strikes and exps. Going to earn $3MM when they hit $50 on FebEx. My DCA is $6/contract. $20 last, up a mil.

SEC, you woke?

LORD HAVE MERCY ON MY SOUL

ironchef · Jan 13, 2021

destriero said:
Yeah, a lot has changed in 17 years. I was mostly working legit arbs (COMS multi-listed under RAES) and rate arbitrage in the early 2000s. That, and unwinding of the telecom dereg and internet bubble. I didn't start making stupid money until I traded a bias. I've made more in the last four years than the prior twenty. I've doubled my net liq three times in the last four(years).

Don't trade neutral... even if it means a large reduction in exposure. I am not stating that you can't trade neutral wings, but it's not a trading strategy. And I am referring to systematic vol-sales via ICs and the like. It will always end badly unless you can time it or hedge in D1 or cheap verticals.

I am essentially trading permutations of one position in vol now. It's not flies, but I still trade flies in large size for a three to seven day hold.

Use wins to finance wing buys (deep verts). Trade futures around your position. Stick to liquid contracts. Work on a skew and smile model. Believe what you see and predict where it will be (sticky models).

destriero said:
And by "bias" I mean it to express a move in strike vol on contamination/touch, not simply a market bias (but that, too).

Thank you. I am impressed and grateful. You are one of the very few willing to freely share and teach. This validates my understanding of how to trade flies.

Why then did you move away from directional flies?

ironchef · Jan 13, 2021

.sigma said:
iron chef, the man of virtue, and the uttermost humility

Not really. I know what I don't know and willing to admit it.

destriero · Jan 14, 2021

ironchef said:
Thank you. I am impressed and grateful. You are one of the very few willing to freely share and teach. This validates my understanding of how to trade flies.

Why then did you move away from directional flies?

I have 500 flies on currently. A mix of classical (121s) and asyms (132s). I still trade a lot of flies. I'm only neutral (D) when I cover.

taowave · Jan 14, 2021

Flat is the new neutral

BlueWaterSailor · Jan 14, 2021

.sigma said:
LORD HAVE MERCY ON MY SOUL

If that's @.sigma-speak for "cover me, I'm going in", I wish you luck. I roughed it in on my options platform, and it's well outside my risk parameters for a single trade. So, as much as I believe in @destriero's ability to read the tea leaves, that's a "no-go" for me.

Analyzing it/setting it up was fun, though. I learned more stuff (as I often do when solving "destriero puzzles"), and will be following along in sim, for sure.

caroy · Jan 14, 2021

destriero said:
I have 500 flies on currently. A mix of classical (121s) and asyms (132s). I still trade a lot of flies. I'm only neutral (D) when I cover.

Do you have a trading partner or an algo to manage these? I'm intrigued by your craft.