Dest's Everything Journal

speedo · May 30, 2019

You got your inside day Dest

destriero · May 30, 2019

Hehe. Yeah, it was a good day. UBER trade will open at $3 if the shares are below $41.

destriero · May 30, 2019

Magic said:
Yeah, that release was just about the best case scenario for the trade. I felt good reading that right after close. Hurray for the team!!

Dest, for post-earnings stuff do you try to exit right after things settle following the open, or try to ride out some of the residual vol as well when price is in a good spot like this?

It will depend on where we open. I am inclined to hold it as I’ve only got 50 of these. I’d cover in the first 30 minutes if you can score a fill at 3.2 or better.

destriero · May 31, 2019

destriero said:
I got some done at 1.8 risk.

It’s 3.65 mid right now. A double on the UBER fly.

Magic · May 31, 2019

destriero said:
It’s 3.65 mid right now. A double on the UBER fly.

Yeah, that was a great. I just put in order @ 3.45 right after open and got filled 10 mins in or something. Jumped the gun just slightly, I think I'll get a better feel for exits after more experience with these types of trades.

I didn't take a good look at the vol surface when we opened this; do you typically stagger the strikes toward where ever the higher skew is for assym flies?

Noticed on this one the breakeven range was around same as the implied move for the trade duration (140% IV / sqrt(252) / 1.5 days = 13%; about ~$5 range in $$, is that a good rule of thumb for width?

destriero · May 31, 2019

It just hit 4.00 mid.

destriero · May 31, 2019

Magic said:
Yeah, that was a great. I just put in order @ 3.45 right after open and got filled 10 mins in or something. Jumped the gun just slightly, I think I'll get a better feel for exits after more experience with these types of trades.

I didn't take a good look at the vol surface when we opened this; do you typically stagger the strikes toward where ever the higher skew is for assym flies?

Noticed on this one the breakeven range was around same as the implied move for the trade duration (140% IV / sqrt(252) / 1.5 days = 13%; about ~$5 range in $$, is that a good rule of thumb for width?

I can't get into why I chose the structure. Local vol is so tight on SN that you're not going to gain more than a nickel in edge.

Doobs789 · May 31, 2019

Magic said:
Yeah, that was a great. I just put in order @ 3.45 right after open and got filled 10 mins in or something. Jumped the gun just slightly, I think I'll get a better feel for exits after more experience with these types of trades.

I didn't take a good look at the vol surface when we opened this; do you typically stagger the strikes toward where ever the higher skew is for assym flies?

Noticed on this one the breakeven range was around same as the implied move for the trade duration (140% IV / sqrt(252) / 1.5 days = 13%; about ~$5 range in $$, is that a good rule of thumb for width?

Greeks, vols, skew, etc don't mean jack this close to exp. You are approaching the event horizon ha

ceteris paribus, it'll try to pin 40. Micro-structure is the driver now.

destriero · May 31, 2019

I shorted 5K UBER shares to cover the exercise. An effective cover at 3.9.

Overnight · May 31, 2019

destriero said:
I shorted 5K UBER shares to cover the exercise. An effective cover at 3.9.

I have no idea what yer doing in options, but I like the Uber short idea. How does a taxi company lose over a billion dollars a year and stay in business?