Destriero's single-name vola journal (riskarb; atticus; et al)

destriero · Jul 22, 2018

@trainwreck states that I would have declared him the loser if he had been taken out by a spike above $600 on his naked ISRG short calls. Fallacy. @trainwreck ignores the rules because losing due to a drawdown on a prohibited position would prompt me to declare him the loser? Brilliant rationalization.

Vanzandt, you lost before day two. You would have lost on this prohibited ISRG fiasco. Just pay Baron the $250.

.

destriero · Jul 22, 2018

The PTT drawdown figure is wrong, I had meant to update it. I was down $1,100 MTM on the NDX 3-lot.

destriero · Jul 22, 2018

Return on debit. Used because this was not a portfolio journal. Those were trades posted (in absentia/outside) of a portfolio. Up to you to trade them, but the goal was not to produce a return on portfolio. The goal was to produce individual looks.

The competition trades (Dest8 on) are not return on debit. I posted the debit so that I could glance at the run to do $return w/o going back to each post. I didn't calc a %return figure. I used a $figure.

Dest8-on are dollar returns within a hypo $100K portfolio because I closed the other thread due to trolling after @vanzandt left the competition on day two.

If that's not obvious then I don't know that searching my nick is going to be of much utility.

SumZero · Jul 23, 2018

El OchoCinco said:
Your chart is only isolating vols, at current pricing today, if you can open an option pricing model and enter correct today vol and price and then keep vol the same and chage price to 1150 and price the same FLY you will see what I am saying.

So ToS risk profile is one greek at a time. FLYS are sensitive to vega and delta/gamma at same time, more so based on the strikes Dest chose.

As far as I know, and I may be wrong, I can't model in ToS. Any suggestion of software / url where this can be done ?
Thanks

SumZero · Jul 23, 2018

VixTraderdf said:
is this TOS?

yes

El OchoCinco · Jul 23, 2018

SumZero said:
As far as I know, and I may be wrong, I can't model in ToS. Any suggestion of software / url where this can be done ?
Thanks

I have not used the ToS analyzer in a while but I believe in the analyzer there is a way to price the position with a vol assumption and changing the current underlying price. Rather than use the Vol Steps in the analyzer, change the spot price and adjust the vols.

destriero · Jul 23, 2018

Yeah, sure. Hit the gear toggle on the right side.

Longshot520 · Jul 23, 2018

Hey Des (and others)

At the risk (certainty) of sounding amateurish, any reason you guys aren't paying more attention to TSLA? I always see a ton of volatility in the stock, seems like there might be some opportunities to capture some delta/gamma/vega?

Down 5% this morning, any thoughts on a play?

destriero · Jul 23, 2018

Longshot520 said:
Hey Des (and others)

At the risk (certainty) of sounding amateurish, any reason you guys aren't paying more attention to TSLA? I always see a ton of volatility in the stock, seems like there might be some opportunities to capture some delta/gamma/vega?

Down 5% this morning, any thoughts on a play?

It's on my watchlist. Can't trade in hindsight like everyone else on this board.

SumZero · Jul 23, 2018

Thank you guys. That ToS functionality was just in front of my nose.

So, reading back what Destriero mentioned:

destriero said:
SumZero, you need to price vola in the low 20s for the post-report vola.

destriero said:
Didn't work in NFLX, doe. Sure tho, if GOOG trades to 1100 I am fooked. I give up the debit above 1220. I am forecasting 1175-1180 or 1230.

Making it 1175 or 1220 as key prices and vol around 20, this is how one should model ?

This is the current position:

This is tomorrow centered around 1175 and vol 19%

And this is tomorrow centered around 1220 and vol 19%: