Des couple questions for you.I know you have mentioned before that you don't delta hedge your positions once they are put on. Would you mind explaining when you realize you are wrong on the trade?
Destriero's single-name vola journal (riskarb; atticus; et al)
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I am hedged on the current SPX trade. It was going well until T-Rump made his bogus trade "deal" with Juncker.
Generally I don't because it's likely that I'm wrong and would be better suited in another exposure or the (risk to) delta modality outside of 1SD. I am short 50-delta in the SPX trade; short 50-SPX deltas in ES. I'll lose on ES and the SPX if we drop a sigma tomorrow as the delta pos will flip. There are times that you win on the primary and hedge, but you'll never win as much as your potential loss (on both).
Regardless, I'll be out the the trade if we hit the terminal BE on the upside (~2855) or we touch the body strike.
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That's good insight, but when do you pull the trigger to close the position? For example "the SPX trade was going great until..." yet you are still holding the position instead of closing it. I have read many of your threads and have seen you take off positions the same day because you are wrong and other times where you will hedge and hold on a bit longer like in the current SPX case. What are some of the signals that you use to tell you its time to close out the position. Thanks Des
I don't see the body strike being touched this week so I went with the futures hedge. I may hold it on the terminal BE due to the hedge. I have some intermediate term stuff that says we trade to 2815 next week.
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