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

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Straitjacket said:
Will you have a different position management approach here vs. the GOOG trade? I'm guessing that in this trade, you will be more lenient for the price up/down because you are trying to capture theta?

If the price moves to 87.5 or 92.5, do you unwind?
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I consider the GOOG a directional/delta trade. IMO there is an edge in trading a 132 over a 121 fly in the final week of trading (Ddelta/Dtime). I would not allow the position to break into the debit (terminal BE) unless it gapped below. So yeah, I would be out on a touch of 91 in shares.

Edit: I have the nearly identical trade on. I would be out of this 25-body trade on a touch of 87.
 
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Subscribed. Thx for doing this. Lacked quality content in options or commentary ever since @sle left.

Just a quick question. Since you mentioned TA is out, how are you determining strike selection?
Looks like for the upper long you are using couple of strike outside of ATM straddle, curious about your short strike selection.
 
destriero said:
I also use a backprop NN with some TA inputs; outside/inside days, etc.
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That’s what I thought when I saw the GOOG chart. It looks like it’s “choppy” at the bottom of support.

Unrelated question for you... do you have any advice on how to deeply learn about volatility? I feel that I don’t have a good grasp of its effect on positions.

For example, I understood that the MsFT position (specifically this type of trade) will benefit from an increase IV - but don’t we want it to stay as close as possible to 90?
 
Straitjacket said:
That’s what I thought when I saw the GOOG chart. It looks like it’s “choppy” at the bottom of support.

Unrelated question for you... do you have any advice on how to deeply learn about volatility? I feel that I don’t have a good grasp of its effect on positions.

For example, I understood that the MsFT position (specifically this type of trade) will benefit from an increase IV - but don’t we want it to stay as close as possible to 90?
More...

There are plenty of good books. I used to recommend specific books on trading volatility, but recommend a broader approach like Hull's "Derivatives"
 
destriero said:
Trade: Dest1
Spot: GOOG
LTD: 04/13/2018

955/1025/1060 132 fly in calls at $31.45 mid NBBO. Expecting a touch of 1025 on spot no later than Tuesday's close. Trade will be short-delta at body, but vola will drop more than 400bp in a trade to body.

Looking for a 15% gain by Tuesday's close for half. Potential to let remaining half ride through LTD Friday.
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Closed ~34.00 mid. Worst mark on the day was 28.00 for 3.5 in heat.
 
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