@destriero Any chance of a delta1/spot journal?
dest's discord group--tickers, structuring and pnl
- Thread starter destriero
- Start date
- Status
Great trade. Timing is everything.
Absolutely amazing!
Probably not. It's a lot of work to post D1 intraday. I am likely going to post PNL from my $2MM IRA at TDA to this thread. My taxable is a lot larger but I'd like to show what can be done with the restrictions within an IRA and, more importantly, the SEC, NV SoS, et al can go fvck themselves if they don't like it.
I realize it's going to read as reckless but I'm shooting for 2% per week in the TDA IRA. I just got back from a sailing trip and I've got a lot going on with family so looking at the first or second week of July for daily PNL. I'll be home and situated for the rest of the year.
Hi Dest, I have some questions regarding the "unimodality of verticals, diagonals, and singles" that you mentioned above.
1-Based on your experience, is it worth it to explore the historical return distribution of the underlying to improve the decision quality on options bets? Or options are forward looking and those historical distributions do not necessarily mean anything?
2-Should I build two separate distributions per company? a) for non earning times b)for earning times?
Thanks man, any insights would be excellent
Last edited:
1) No.
2) Yes, in the sense that you cannot blindly go long or short vol through a report. I tend to favor diagonals and calendars with a pre-post tenor (short non-reporting period) for synthetic time--vol has to rally as we approach the report. The vol-diff on the switch (Jun v Jul vols) makes gamma the overwhelming factor, but you can't lose on vol. You cannot trade it √time vega due to gamma and the net vol on the switch. IOW, stick to 1x1.
Positions taken and held into the report generally are short wings into a vol-line as there is essentially zero speed on the wings. You're betting realized variance as implied will drop to pre-report levels. At a certain point the mkt is paying you to ignore the news, i.e., shares at 350 and the 280/300/400/420 outside is trading $13 credit and equating to an 85 vol with post-report vol at 40. What's to lose? You're being paid 2/1 to sell the news.
2) Yes, in the sense that you cannot blindly go long or short vol through a report. I tend to favor diagonals and calendars with a pre-post tenor (short non-reporting period) for synthetic time--vol has to rally as we approach the report. The vol-diff on the switch (Jun v Jul vols) makes gamma the overwhelming factor, but you can't lose on vol. You cannot trade it √time vega due to gamma and the net vol on the switch. IOW, stick to 1x1.
Positions taken and held into the report generally are short wings into a vol-line as there is essentially zero speed on the wings. You're betting realized variance as implied will drop to pre-report levels. At a certain point the mkt is paying you to ignore the news, i.e., shares at 350 and the 280/300/400/420 outside is trading $13 credit and equating to an 85 vol with post-report vol at 40. What's to lose? You're being paid 2/1 to sell the news.
Hi Dest, following along the idea of carrying through the news:
Hypothetical position: "PLAY", expiring June 19th. I thought of 12/13/27/28, where shares are at 19.80, Earnings will be reported on June 11th afterhours. IV is at 220%, but was historically much lower.
Placing the Condor on June 11th. before market closes, and carrying through the news. It is hypothetical because those strikes do not even exist!!!
My question is that is the trade logically reasonable according to the standards you mentioned? Should I care that the Vol regime has shifted? historically it was at 25% (and 50% around earnings time), but now it is elevated around 220%!!
Thanks again
p.s. 1 month post earnings Vol shows 170%. I assume ideally I would have liked that to be around 110%?
Hypothetical position: "PLAY", expiring June 19th. I thought of 12/13/27/28, where shares are at 19.80, Earnings will be reported on June 11th afterhours. IV is at 220%, but was historically much lower.
Placing the Condor on June 11th. before market closes, and carrying through the news. It is hypothetical because those strikes do not even exist!!!
My question is that is the trade logically reasonable according to the standards you mentioned? Should I care that the Vol regime has shifted? historically it was at 25% (and 50% around earnings time), but now it is elevated around 220%!!
Thanks again
p.s. 1 month post earnings Vol shows 170%. I assume ideally I would have liked that to be around 110%?
Last edited:
Drive safe, we need fricken brilliant minds like yours here! Good Luck and be safe Des!
You better not come back all relaxed and refreshed after your sailing trip and don't forget the sunscreen! When are you going to show some photos of some giant Mackanaws, its that time of year right?
- Status