Destriero - Butterfly Trades

Microstructure on synthetic flies is much cleaner than trading an ITM leg. I trade 2-3K contracts a day (in/out) and my average fill on all spreads/combos is 0.3% off mid as a price taker.

GOOGL 1700/1800/2000 231 put fly = 2x1700/1800 bull put verts x 1x1800/2000 bear call vert (combo). I don't have the numbers in front of me but IIRC the Px-improvement is on the order of 0.1%.
 
destriero said:
Microstructure on synthetic flies is much cleaner than trading an ITM leg. I trade 2-3K contracts a day (in/out) and my average fill on all spreads/combos is 0.3% off mid as a price taker.

GOOGL 1700/1800/2000 231 put fly = 2x1700/1800 bull put verts x 1x1800/2000 bear call vert (combo). I don't have the numbers in front of me but IIRC the Px-improvement is on the order of 0.1%.
More...
Good to know. Thanks.
 
taowave said:
Why leg at all???

Not bragging,but I am really good at "mechanical" trading,I.e legging in and out of spreads..

I find I am often filled on TOS at prices better than I could have legged..In fact,I sometimes get fills that make me check to see if I fat fingered the order..

What are you trading??
More...
I was unclear, I typically don’t leg and experience horrible fills on SPX if I can get a fill at all. I have tried to leg in/out to improve fill price but as mentioned before is small hit or big miss. With U/Ls that can be purchased directly (such as GOOG) I get much better fills when go synthetic route, however since I trade SPX almost exclusively I don’t have that option directly and would prefer to not use /ES as substitute.
 
ironchef said:
Read what I posted before on fly on thinly traded options.

If you trade butterflies on thinly traded, you are going to get killed by the market makers because of bid/ask (unless you know the underlying like your know your better half and set up a fly with a huge advantage). Often even when the fly was profitable I couldn't get out with a profit unless I let it expired. Legging in and out often made thing worse - e.g. my GILD flies.

Now I focus my trades mostly on high volume narrow bid/ask options. With SPY, with $0.02 bid/ask spread and thousands of OI, it is easy to get in and out.
More...
Do you consider SPX to be thinly traded?
 
Dmajirb said:
Do you consider SPX to be thinly traded?
More...
I don't know about SPX because I trade SPY. Look at what else I traded: 121 butterflies on GILD call options.

upload_2021-1-28_22-2-45.png


Very difficult to exit at mid.
 
destriero said:
GME is going to announce an offering/secondary next week. Stock will hit $550 and crater to $250 by the end of the day. Be careful, fvckers.
More...
Dude stop it... who in their mind is going to buy stock here for their fund.
 
deltaf0rce said:
Dude stop it... who in their mind is going to buy stock here for their fund.
More...

Have you seen what happend in amc? They converted notes the day after the stock went +300% into 44M shares, the stock halfed on that news
 
Why wouldn't they announce another offering? At this $300+ it would be irresponsible not to. People on some reddit were saying they were short at $380!!!

This vol spike was awe to watch. How would a vol insanity on this be tradeable? A diagonal?
 
You must log in or register to reply here.
Back
Top