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

[deltastrike]

Oh hell yeah...

 

[destriero]

Dest1 GOOG trade at 37.90 mid here. I'd reduce position by half. For some reason I cannot share the dropbox link.

 

[destriero]

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.

20% gain on half, basis mid. Figure a $1 loss to microstructure on an actual fill.

Dest1a half-out: 17% gain

 

[destriero]

Are you using mainly GARCH to forecast volatility?

Not at all. I lump GARCH (ARMAs) into the same shitter as VaR. Obv entirely different models and applications.

 

[destriero]

Can we join in with VX trades (VIX futures for those playing at home) as vol plays for the disucssion (might get sellingvol and rally in here as well )? Don't want to encroach but its all vol related . I promise only good memes...

You haz position? Yes, let's look at VIX towards the close.

 

[destriero]

132/231 flies. Refers to leg-size:

You need to structure the body/wing strikes at 2/1 (or more) to avoid taking a haircut on the position. Obviously the terminal PNL is geared (2x) from the body strike to the wing, so it's asymmetrical, but remains a simple debit requirement.

Example:

XYZ at 100
XYZ APR 100/110/115 132 call fly
2/1 strike width

The only difference between a 132 and a 231 is call vs. put. It's a naming convention as I always quote strikes as ascending:

100/110/115 call fly is a 132
100/105/115 put fly is a 231

The put and call flies (132 put and call flies) are equivalent. I typically go with a 2/1 ITM to body strike-width natural due to microstructure, but they are equivalent.

132 call = 132 put (put is synthetic)
132 call = 231 put (both are natural)

 

[destriero]

Dest2: Long TSLA APR 20; 285/300/330 231 put fly from 9.70 actual.

 

[destriero]

Dest2 is an anomaly, stat-vol on the day is higher than implied, but I'll keep it on a short leash. Half-size.

 

[destriero]

Dest2 is an anomaly, stat-vol on the day is higher than implied, but I'll keep it on a short leash. Half-size.

Out of Dest2. Can't abide...

(0.40) loss. 4% but half-size. Loss of 2% on microstructure.

 

[destriero]

To answer a PM question, yes, these are returns on debit. No, I am not shipping the account all on one position. My average size is 3% per position, but the variance is high. Dest1 was something I've had on for over a week in various strikes and expirations.