Destriero - Butterfly Trades

destriero said:
No, these are short gamma diagonals. Some are 200 wide. The req on a single of the 200-wide is $20K less the credit. If all 800 were 200-wide my req would be $16MM. It's not, but it's the biggest position I've ever had in index or SN.

It's a cash req. There is no margin.
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Sounds like I wasn't too far off, then - I set mine up (in sim, of course) using 100 point wings. I'll add another lot with 200s; it's marking ~18 right now. Should be fun!
 
My biggest position is this, from a one buck credit. Closed at 1.8 yesterday. Up 4+ on the day (today) to 6. Targeting 9 on the cover.

Later, guys.


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You are in the 2900/2800 Diag put spread and the 3400/3500 Diag call spread???? Im assuming Long the 29th? When did you get that bad boy on for a buck credit? Im attempting to run sims on it and I am running into a problem..I think my Earnings date may be throwing me off
 
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I did some last week shorting the inside strangle and legging into the Jan29 to cover. Bought some this week outright (DD( from 1-2 debit. The position closed at 6.3x to the buy.
 
Im having issues simulating theoretical edge on "time spreads" with my program....Dont trade them much,so your post alerted me to a potential issue...
 
It won't stress using BSM. Vol as synthetic time. The vol-line gains over time as the Street puts a dollar figure on the strikes. AMZN post-report vols typically rally 3-4 handles in the week before release.
 
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