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

[destriero]

The call = put fly, but I usually structure the natural with the body otm as opposed to going with the put natural in this case. Microstructure will always favor the combo (iron fly in red).

Below, the iron fly mid is only a nickel off NBBO bid while the natural's mid below is 15 cents off the ask.

The iron fly is equivalent to the natural as the 71/81 short put vert is equivalent to the natural's 71/81 long call vert (box arbitrage). Further, you can see below that the natural debit of 3.96 risk equates to the synthetic credit of 6.07 (3.93 risk).

 

[TheBigShort]

IB, the AUG 10 expiration. Not to sure why I did not think of the Iron. Thanks

 

[destriero]

IB, the AUG 10 expiration. Not to sure why I did not think of the Iron. Thanks

Yeah, easy to structure it with the spread/combo builder. The issue is the DITM call. The deeps always are wider in the COB.

 

[destriero]

Natural asym 100/120/130 132 call fly = (synthetic) asym iron fly (1 lot 100/120 bull put vertical) + (2 lot 120/130 bear call vertical)

 

[destriero]

The same can be done with the 253 natural flies. (2x2 bull put vert) + (3x3 bear call vert).

 

[TheBigShort]

The same can be done with the 253 natural flies. (2x2 bull put vert) + (3x3 bear call vert).

Thanks. My position is down 5% as AMZN is testing 1900. Taking the QQQs with it. Do you think the QQQ will fill in this gap by 10 am?

 

[TheBigShort]

Do you have a position on NDX? or QQQs?

 

[destriero]

Thanks. My position is down 5% as AMZN is testing 1900. Taking the QQQs with it. Do you think the QQQ will fill in this gap by 10 am?

That's what, 80 points in NDX? Yeah, may do it.

 

[destriero]

Do you have a position on NDX? or QQQs?

No, not into AMZN earnings. I was considering an ATM long in NDX but got sidetracked.

 

[rallymode]

Yep, there were definitely enough crumbs being thrown around to get a solid head start on some decent edges.

#innercircle