Dirty (sic) Dispersion!

A

atticus

I would start a journal but figured nobody would read anything about options in that forum. I'll outline some concentrated positions in ATM index and OTM constituents in short dispersion. Realize that this is very dirty so I am hesitant to even include the word.

Short OTM puts in constituents, long ATM hedge. Will be structured as diagonals, but inter-market.

Some of the positions will included many tickers and approach a dispersion book (or not).

Many of these will be pure vol and delta bets as well.
 
I am RAW neutral-delta (not beta-adj) in the following. Long QQQ, short street vol. Long about $1,200 thetas:

e6ozes.png


Inside reports on AAPL and PCLN, outside on GOOG. I am up a few dollars as I have been building the position a little every day. For shits this screenshot is within a few bp of my avg fills.
 
My true dispersion book is classic-disp; long constituents and short index. The alpha as it were is in the gamma-trading of constituent outlier events, i.e., GE up a sigma and MMM down a sigma. Those weightings net with minimal impact on the index position (in theory).
 
Quote from atticus:

My true dispersion book is classic-disp; long constituents and short index. The alpha as it were is in the gamma-trading of constituent outlier events, i.e., GE up a sigma and MMM down a sigma. Those weightings net with minimal impact on the index position (in theory).
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This would hurt you though, right? You generally buy correlation (at least based on your previous posts).
 
Quote from newwurldmn:

This would hurt you though, right? You generally buy correlation (at least based on your previous posts).
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Yeah, all-in it would.
 
Subbed, don't know much about options, but always hunger for knowledge. I have an open m1ne...

Saw a video on 60 min recently about HFT. A fund with many quants and server colocation with the exchange reported no losing weeks. They were doing inter-instrument arb. This seems similar though I don't know that much about options like I said.
 
Very interesting! I'll be reading this thread too.

Any interesting links/ books etc on this strategy, anyone? I think I kinda get the gist of it- delta neutral trades based on trading the index and beta adjusted constituents ...

In another note, hey newwurld, my WMT bet is paying off...LOL!!!!
 
Quote from atticus:

nside reports on AAPL and PCLN, outside on GOOG. I am up a few dollars as I have been building the position a little every day.
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so more of a "directional" dispersion thing? trying to understand how you pick the names (the usual "secret" in bespoke disp trading)...
 
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