Kudos to MMs

[nitro]

Quote from nitro:

Sold the 1040/1080 strangle around my long "straddle" to recover some theta. So I now have an "iron condor" like position on.

This market is dead.

Bought back this strangle, and I am now long just the zero-beta straddle.

The short strangle turns out to have been a good theta balancing play, as the market has been dead and it contained losses to three handles of theta in combination with the long straddle.

Now we are back to expecting (hoping ?) that markets move enough to cover theta. As stated previously, I need SPX to move approximately 11 handles to downside (now from about ~1066 SPX so ~1055) to break even, after which after I hedge, any movement beyond this is profit. To upside is a little more complicated, but it is a little harder to break even unless we have more explosive movement to upside in which case I also make decent returns.

BTW, for those that noticed, I am mixing SPX and ES options on these positions.

 

[nitro]

"FV" ~894

 

[nitro]

Quote from nitro:

Bought back this strangle, and I am now long just the zero-beta straddle.

The short strangle turns out to have been a good theta balancing play, as the market has been dead and it contained losses to three handles of theta in combination with the long straddle.

Now we are back to expecting (hoping ?) that markets move enough to cover theta. As stated previously, I need SPX to move approximately 11 handles to downside (now from about ~1066 SPX so ~1055) to break even, after which after I hedge, any movement beyond this is profit. To upside is a little more complicated, but it is a little harder to break even unless we have more explosive movement to upside in which case I also make decent returns.

BTW, for those that noticed, I am mixing SPX and ES options on these positions.

Hedged deltas at 1080, and I am now making coin to the upside. As of this moment, I am actually plus on this position by a four handles, even after taking into consideration the small loss and all theta and vola costs.

Letting deltas run a little bit. Will go delta neutral EOD, or if we go up another surge.

 

[nitro]

Sold out the call, and sold twice Nov 1025 puts. So I am now in the 1 x 2 put ratio spread, long 1 unit of Nov 1060 put, and short 2 units of the Nov 1025 puts.

Optimal place for SPX to go at expiration? Always the short strikes, away from your longs. 1015 would have been more accurate, but I think I can manage betweeen here and there.

I actually made money by being wrong in an up market. As Cottle says in probably the best option book ever written, you want positions that have as many ways as possible to make money, not so much the magnitude of the gain.

http://www.amazon.com/Options-Perception-Deception-Dissection-Strategies/dp/1557389071

No I am not selling my copy

 

[arbs-r-us]

Quote from nitro:

Sold out the call, and sold twice Nov 1025 puts. So I am now in the 1 x 2 put ratio spread, long 1 unit of Nov 1060 put, and short 2 units of the Nov 1025 puts.

Optimal place for SPX to go at expiration? Always the short strikes, away from your longs. 1015 would have been more accurate, but I think I can manage betweeen here and there.

I actually made money by being wrong in an up market. As Cottle says in probably the best option book ever written, you want positions that have as many ways as possible to make money, not so much the magnitude of the gain.

http://www.amazon.com/Options-Perception-Deception-Dissection-Strategies/dp/1557389071

No I am not selling my copy

Cottle?? another "once was a trader, now I'm hawking classes & books" relick?

Amazing now that you are a seller of puts at a strike 130 handles above your "fair value".

Oh - wait..... Fair value = broken model.

 

[nltro]

Quote from nitro:

"FV" ~894

Oh my, just realized the interest rate forwards model was using 10% interest rate and not 1%. Crap.

"FV" ~1194

Sorry guys, I'll reimburse everyone for their losses that can be tied to following me over the cliff's edge.....

 

[nitro]

Quote from arbs-r-us:

Cottle?? another "once was a trader, now I'm hawking classes & books" relick?

So you are saying you would be glad if the book never existed and was never written, regardless of what else he does or doesn't do

Amazing now that you are a seller of puts at a strike 130 handles above your "fair value".

Oh - wait..... Fair value = broken model.

It is not amazing at all. I expect market selloff, but I expect dip buyers until the market says otherwise. As stated before, I am done giving up 30 handles of profit to see market mean-return to "FV", until the trend changes. Hence, I have positions that take small profits from downside action, a little at a time.

 

[nitro]

"FV" ~907

 

[kinggyppo]

fair value 1035.

 

[nitro]

"FV" ~910