Multiple long butterflies into earnings (goog)

I haven't read page two of this thread, for fear I may begin to lose my eyesight.

You're giving up a couple of points in edge for this monstrosity.

You're betting black, period. The vols are meaningless here. The shares may open flat, or they may open +/- 30, or more. Three of your flies are instantly worthless.

I would go long the wide fly and a few long calendars. The vols will trade to 24, but the calendars are cheap within +/-20 on the shares. I'd add one or two short Sep07 490 straddles as well, which should be worth 200 on the vol-line or about 5 handles.
 
Quote from scriabinop23:

if you don't mind, can you explain this procedurally?
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Don't listen to IV, he's been drinking battery acid. The correlations haven't worked on the GOOG/YHOO post-earning replication.

He's referring to going long the GOOG May atm straddle and using YHOO stock to lock gammas due to the strong correlation. IV must not like you, hence the suggestion.
 
Quote from atticus:

I haven't read page two of this thread, for fear I may begin to lose my eyesight.

You're giving up a couple of points in edge for this monstrosity.

You're betting black, period. The vols are meaningless here. The shares may open flat, or they may open +/- 30, or more. Three of your flies are instantly worthless.

I would go long wide fly and a few long calendars. The vols will trade to 24, but the calendars are cheap within +/-20 on the shares. I'd add one or two short Sep07 490 straddles as well, which should be worth 200 on the vol-line or about 5 handles.
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what long cal strikes do you like? i think the 480/480 call looks best.
 
I don't have an opinion on the outcome, but I'd rather be long a few deltas than short.

I own the Apr 440/470/500 fly from 11.00
 
Quote from atticus:

Don't listen to IV, he's been drinking battery acid. The correlations haven't worked on the GOOG/YHOO post-earning replication.

He's referring to going long the GOOG May atm straddle and using YHOO stock to lock gammas due to the strong correlation. IV must not like you, hence the suggestion.
More...

no , the trade is GOOG only. GOOG might have ( and did before) nice opening gaps in sympathy with both YHOO and EBAY reports.
Its time to put the liquid plumber aside , atticus.
:)
 
Quote from scriabinop23:


I assume you only intra day this method, since you can't appropriately hedge gaps in gamma.
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c23 , sure you can ; what stopping you to run deltas count in the pre/after market ? I do every day
 
Quote from IV_Trader:

no , the trade is GOOG only. GOOG might have ( and did before) nice opening gaps in sympathy with both YHOO and EBAY reports.
Its time to put the liquid plumber aside , atticus.
:)
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regardless, I like the idea.

so lets say i buy the 470 apr straddle. is that your straddle of choice? since you are long vol, a gap would benefit, since you'd rather 'hedge' your deltas with your straddle accumulating gamma in excess previous to entry.

would you rather buy the apr straddle or may?
I assume apr since the deltas change quicker and provide more entries. how often (in price distance) would you hedge delta intraday? or are you mainly going for gap moves (that hopefully get faded) ?

By the way, in the end I bought 2 primary butterflies. A 480/500/520 for 3.90 and a 430/450/470 (put) for 3.65. So profit zones are 437.50 -> 462.50 and 487.50 -> 512.50. (give or take a few pennies) Max loss is 470-480 of 7.55. Just to clarify, I hold 5x as many long May calls, so even no move isn't the worst case. [worst case is below 437 obviously]

Its a bet on black regardless.
 
Quote from scriabinop23:

regardless, I like the idea.

so lets say i buy the 470 apr straddle. is that your straddle of choice? since you are long vol, a gap would benefit, since you'd rather 'hedge' your deltas with your straddle accumulating gamma in excess previous to entry.

would you rather buy the apr straddle or may?
I assume apr since the deltas change quicker and provide more entries. how often would you hedge delta intraday? or are you mainly going for gap moves (that hopefully get faded) ?
More...

I personally will go with puts+long stock due to new margins rules.Yes , Apr because of the reason you mentioned. Interval ? Anyone's guess ; its more of the art.It will also depends of position size , the larger the better.
Right , the opening gaps are the most important because you adjust 2-3-4 units at ONE transaction.
 
Quote from IV_Trader:

I personally will go with puts+long stock due to new margins rules.Yes , Apr because of the reason you mentioned. Interval ? Anyone's guess ; its more of the art.It will also depends of position size , the larger the better.
Right , the opening gaps are the most important because you adjust 2-3-4 units at ONE transaction.
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yea it occured to me you don't need to go long the straddle. one leg is enough.

so if you don't mind, let me spell out your technique just to make sure i get it:

a) Buy 10x apr 470 puts at 8.70. Net delta is -428. So go long 428 shares of stock to neutralize

b) If stock goes down 10.00 from entry, new delta on puts is now -580. Buy 150 shares to neutralize. (580 - 428 = +150 rounded)

c) Stock goes up 20.00 in overnight gap. New put delta is now -280. Sell 300 shares to neutralize. (280 - 580 = -300 rounded)

d) Gap fades to open to where we started. Go long 148 shares to neutralize. Delta returns to 428 (428 - 280 = +148)

e) rinse and repeat until tired.

Correct?
 
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