how is this making money when it breached one of your strikes and you sold 1150 when it was near 1200?
Destriero's single-name vola journal (riskarb; atticus; et al)
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i know thats why im asking..
googl: 1204
just trying to understand the mechanics behind the trade..
when you put it on googl was almost 1200..
did you expec to make your money on a vol drop, or delta gain? was there a price target?
The short strike is at 1150. None of the strikes are currently ITM. The thing is actually long delta at the current vol-mark (report vol). So no, it never touched 1150.
The MTM is now 4.90. It traded as low as 2.90 mid yesterday. It's an event trade. The rationale is that we may break 1150, but vol will be halved, post-report. I am showing a one lot for the journal as it's a $5K req per contract, but I have size on.
I may pull half in my account and let half ride. This trade should be considered a one lot for the journal.
whyd you choose the put fly over the call? i notice youve been doing put flies lately.
An ATM fly is largely directional. The gamma position explodes post-report. I chose the "path of least resistance (down)" in my estimation.
I could try to sound cool but all I did was model the post-report vol and worst-case of 1150 on shares.
I was just simulating vol change (either up or down) to see the behaviour. I think I understood this.
Vol going down:
Vol going up:
What I noticed, though, is that 30 days IV_rank of GOOGL is only 43.4%. Doesn't sound too high for a position where the rational is to wait a decrease on vol.
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