dest's discord group--tickers, structuring and pnl

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destriero said:
So say you're trading vol on XYZ with shares at 215 and you're bearish. You enter into a 180/190/200/210 put fly long from 2.2. You want to determine your static stress at neutrality. Static stress means current values save for price of the underlying. No change to vol or TTE (time to exp). No change in the smile. No accounting for vol-inverse to share/index price.

You are looking at a DN price of 195 (mid between inside strangle) which is your neutrality absent the price of the forward, but let's assume it's the front month that you're trading.

You stress (static) by pricing the 200/210/220/230 condor (neutral condor). The neutral condor is trading at 4.9. Therefore your gains to neutrality should be something approaching 2.7 points--static stress ignoring change to vol, decay, GBM, etc.
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Alright I’m following, I think. Here’s what I did, if I’m wrong and you don’t feel like explaining further it’s all good. One of these other dudes will chime in I’m sure. Anyway.

for sake of stress example;
Idea: sept djx put condor 15/30/40/55: 2.22 debit vol 33.78

stress: 40/55/65/80: 5 debit

stress is 2.78?
 
deltaf0rce said:
Alright I’m following, I think. Here’s what I did, if I’m wrong and you don’t feel like explaining further it’s all good. One of these other dudes will chime in I’m sure. Anyway.

for sake of stress example;
Idea: sept djx put condor 15/30/40/55: 2.22 debit vol 33.78

stress: 40/55/65/80: 5 debit

stress is 2.78?
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2.78 gainer, yes.

It's also useful for bet sizing.
 
Bearish put vs Short Iron Condor:
upload_2020-7-11_23-0-38.png

upload_2020-7-11_23-1-59.png


6.65 Vs 10.85, so $4.20 gainer if underlying hits 235?
 
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destriero said:
I had the best day of my career today (MRNA) and I am probably done with shitposting to blogs/boards. If I bother it will be to post here. Love you all and g-bye.
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Dest, but why? You have way too much fun rubbing your massive gains in all the bashers faces so please don't leave us!
 
destriero said:
Insert the entire conversation on stressing the option position
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Since Dest is now off wall papering his house with $100 bills, would someone care to elaborate a bit on the stress thing? I was poking around in Natenberg and don't see this mentioned and the Google wasn't my friend. From his example, I get that you are constructing an equivalent of your desired position at the current spot price. From his description of all the things you ignore, is it correct to say this is just a quick approximation to ballpark how your position will do if nothing changes? Feel free to direct me to a source to investigate further...part of me is tempted to start my own thread: "The Atticus Stone" or "Atticus/Dest 101: What he really said" or something and dig back thru all his old threads so more knowledgeable folks can elaborate. From watching over the years, he seems to have been able to merge the theory and practice quite well, so I feel there's tons of good stuff buried in his other threads.

Thanks
 
https://www.elitetrader.com/et/threads/mrna-getting-more-money.347454/#post-5155211

I'm not coming back, guys. I've consolidated my taxable into a single account and the IRA. MRNA was so good that you wouldn't believe it if I told you the figure. I have enough in taxable to ride on an IB's ISDA and that starts in Aug. I'd intended on posting daily vanilla-vol PNL to blow myself and demoralize the trolls and losers, but shitposting here doesn't move the needle. All that is accomplished is regulatory hassles.

So this is my sign-off, legit. I'll be by occasionally to answer PMs but I will no longer comment on threads. Be well.
 
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