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

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El OchoCinco said:
As Cottlesaid, find the baby FLYS or imbedded verticals in the position for replication. Also if you have a standard FLY wide enough you can even sell the baby flys to bring in credit. FLYS are wonderful for studying and learning how options work.
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Sure, but arbs first (boxes) and calendars. Yup yup.
 
oldmonk said:
des - From your posts, it appears to me that your butterfly trades are primarily based on the difference between stat vol forecasts and current implied vol. Are your stat vol forecasts based on simple models like GARCH, or are they more involved than that? Also, do your trades take the vol skew into account?
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Loosely I can state that it's index-based; meaning that the underlying premise is that vol is -corr to index Px. The index trades are direction and skew on equal weights. The single-names are stat-vol and direction (equal). One index model based upon classic skew mechanics (Derman), but the NDA is based upon one proprietary index model.
 
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oldmonk said:
des - From your posts, it appears to me that your butterfly trades are primarily based on the difference between stat vol forecasts and current implied vol. Are your stat vol forecasts based on simple models like GARCH, or are they more involved than that? Also, do your trades take the vol skew into account?
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He’s 6’2” 250 lb...the only Garch he uses is mixed with NO-xplode
 
Taking a shot with these two:

-NDX Jul20 7200/7300/7450 352 fly from 40 risk (40 is reduced to 1-lot equivalent)
-SPX Jul20 2750/2775/2825 231 fly from 15 risk (35 cr)

I am in the irons in both, included natural fly for illustrative purposes.

ndxfly.JPG
spxfly.JPG
 
Worst movie ever.

SPX up 10% on debit. I am walking the dog so haven’t checked the NDX mark, but I assume it’s up marginally. Be back when I get home.
 
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