Last pitch fork worked - trying another

[vanv0029]

Previous pitch forks worked:

on 09 June sell 1 SPX July 19 1895.0 call for 61.40
on 07 july buy 1 SPX July 19 1895.0 call for 74.50
loss 13.00/spread


on 09 June sell 3 SPX July 19 1895.0 put for 11.20
** Expired OTM **
gain 33.20/spread
total: +2020.0/spread

-----

New September pitch fork (start about delta neutural). IV is so low mostly
nothing is working so I tried another, but this time tried some far OTM
long puts as a hedge.

on 23 July sell 1 SPX Sep 18 1910.0 call for 83.50 per spread
on 23 July sell 3 SPX Sep 18 1910.0 put for 16.20 per spread

Tried some (under) hedging this time:
on 23 July buy 2 Aug 14 2014 1850.0 puts for 2.15 per spread

 

[samuel11]

Do you ever hedge delta in futures?

 

[actionzip54]

So are you doing this trade for any reason other than "the last ones worked"?

Being naked short a 1x3 straddle isn't exactly something you want to be doing on a whim....

 

[Dolemite]

Previous pitch forks worked:

on 09 June sell 1 SPX July 19 1895.0 call for 61.40
on 07 july buy 1 SPX July 19 1895.0 call for 74.50
loss 13.00/spread


on 09 June sell 3 SPX July 19 1895.0 put for 11.20
** Expired OTM **
gain 33.20/spread
total: +2020.0/spread

-----

New September pitch fork (start about delta neutural). IV is so low mostly
nothing is working so I tried another, but this time tried some far OTM
long puts as a hedge.

on 23 July sell 1 SPX Sep 18 1910.0 call for 83.50 per spread
on 23 July sell 3 SPX Sep 18 1910.0 put for 16.20 per spread

Tried some (under) hedging this time:
on 23 July buy 2 Aug 14 2014 1850.0 puts for 2.15 per spread

I must have missed the first thread, but what are you hoping to accomplish with this trade that you can't get just shorting an atm straddle? You are neg. a lot of vega what is your plan if we drop and vol pops?

 

[samuel11]

I must have missed the first thread, but what are you hoping to accomplish with this trade that you can't get just shorting an atm straddle? You are neg. a lot of vega what is your plan if we drop and vol pops?

He is short implied vol ~13 when SPX realized between 6 and 7 in the last few weeks, so its not too bad. I saw some funds selling variance at 12 recently.

 

[convexx]

I must have missed the first thread, but what are you hoping to accomplish with this trade that you can't get just shorting an atm straddle?

Skew? And locally you are not short a lot of vega. Less so than an ATM combo.

 

[FXforex]

Skew? And locally you are not short a lot of vega. Less so than an ATM combo.

Drownpruf? Welcome back.

 

[convexx]

Previous pitch forks worked:

on 09 June sell 1 SPX July 19 1895.0 call for 61.40
on 07 july buy 1 SPX July 19 1895.0 call for 74.50
loss 13.00/spread


on 09 June sell 3 SPX July 19 1895.0 put for 11.20
** Expired OTM **
gain 33.20/spread
total: +2020.0/spread

-----

New September pitch fork (start about delta neutural). IV is so low mostly
nothing is working so I tried another, but this time tried some far OTM
long puts as a hedge.

on 23 July sell 1 SPX Sep 18 1910.0 call for 83.50 per spread
on 23 July sell 3 SPX Sep 18 1910.0 put for 16.20 per spread

Tried some (under) hedging this time:
on 23 July buy 2 Aug 14 2014 1850.0 puts for 2.15 per spread

You're down about $1,300 per with the hedge. I would not have entered that trade, but did one of the NDX 3800s today in Aug monthly for kicks.

The 3x1 went off at a credit of 168 or so (marketable).

3800P/C 3x1 pitchfork at 168.
PF risk to strike at flat-vol: 17 pts. (today)
Risk to strike on ATM straddle: 10 pts. (today) (102 - 92; 3955 combo less ATM combo)

I will update this thread if/when spot touches 3800, a trigger to cover (profitably), or at expiration.

 

[convexx]

You're down about $1,300 per with the hedge. I would not have entered that trade, but did one of the NDX 3800s today in Aug monthly for kicks.

The 3x1 went off at a credit of 168 or so (marketable).

3800P/C 3x1 pitchfork at 168.
PF risk to strike at flat-vol: 17 pts. (today)
Risk to strike on ATM straddle: 10 pts. (today) (102 - 92; 3955 combo less ATM combo)

I will update this thread if/when spot touches 3800, a trigger to cover (profitably), or at expiration.

PF is trading 148 marketable. PNL up 20 marked over the weekend.

 

[convexx]

PF is trading 148 marketable. PNL up 20 marked over the weekend.

Closed 143 for a gain of 25.

Expecting a rally tomorrow in NDX, so expect a trade to 135 on this PF, but I went slightly long elsewhere (and short vola).

NBBO at the close (142 marketable):