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

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destriero said:
Dest3: Long NDX 6250/6500/7000 231 put fly from 230 actual. Color later when I get back home.
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A play on Px/vol. There was no quant here. I simply wanted to get short knowing that there won't be any more good news out of China this week but w/o a ton of conviction. Holding for a touch of 6550 cash. I trade 132 flies exclusively over symmetric-flies with two weeks or less to LTD. I have to close these (prior to exp) in single-name vol since these are (mostly) traded in an IRA. I may get lucky and underlying may be trading inside the body-strike, but no IRA broker/custodian is going to let you hold through LTD if it's close. I like cash-settled contracts.

I am not in a 20-lot. I don't even use that account. Front-end is set to 20.
 
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destriero said:
Dest3: Long NDX 6250/6500/7000 231 put fly from 230 actual. Color later when I get back home.
More...

Out Dest3 at 248 (250 mid). 7.8% return on debit. I am going flat for the week.
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srinir said:
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.
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Sorry, missed this.

I do use some TA, but not for strike-selection. About 30% of my positions are in flies. I have a lot of cheap "down and out" single-name puts that I buy with a portion of the gains in active positions. I mention that because my wing-prot dictates how aggressive I can be. The cheap dgamma are positions that I may have held for months in the form of outright puts, deep calendars, diagonals, etc. I can increase active-size as those prots wind-down/approach expiration.

The process is built into a sheet. Various spreads used for R/R values, etc. I have a sticky-delta model and stress the thing. Book index-delta & gamma. Last, I look at the initial d/g.
 
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I am taking a week off to prep and backcountry camping with my kids. Bought a couple of new Rab eVent single-wall tents that I want to try. Don't be long this market (not a timing-call).
 
destriero said:
Sorry, missed this.

I do use some TA, but not for strike-selection. About 30% of my positions are in flies. I have a lot of cheap "down and out" single-name puts that I buy with a portion of the gains in active positions. I mention that because my wing-prot dictates how aggressive I can be. The cheap dgamma are positions that I may have held for months in the form of outright puts, deep calendars, diagonals, etc. I can increase active-size as those prots wind-down/approach expiration.

The process is built into a sheet. Various spreads used for R/R values, etc. I have a sticky-delta model and stress the thing. Book index-delta & gamma. Last, I look at the initial d/g.
More...

Thanks for your insight
 
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