My option trades

Quote from atticus:

Closed the iron at a scratch.

Short the AAPL May 470/625 strangle at 8.25 (10-lot, personal). Don't short naked unless you're willing to be assigned.

Edit: Also, long the 560/590/620 May fly from 4.50 risk.

Selling 4600 vol. Short most from 4700 in May (flat surface / 100bp across 30 handles) when I posted yesterday, so we've come in a little. Expecting 3500-3600 tomorrow in May.
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Out the strangle at 2.35 (26vol) for +5.90.

Probably time to go long vol in calendars, but nothing is triggered.
 
Quote from atticus:

Out the strangle at 2.35 (26vol) for +5.90.

Probably time to go long vol in calendars, but nothing is triggered.
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Geez, how on earth did you make money on that strangle? So let me get this straight, the MAY 470 put and the MAY 625 call? That was April 24th when you sold it...

But today as I see it, that strangle is worth ~$10.50
 
Quote from atticus:

Probably time to go long vol in calendars, but nothing is triggered.
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Long vega, short gamma or just plain long forward vol? What metrics do you use for these trades, out of curiosity?
 
Quote from babutime:

Geez, how on earth did you make money on that strangle? So let me get this straight, the MAY 470 put and the MAY 625 call? That was April 24th when you sold it...

But today as I see it, that strangle is worth ~$10.50
More...

Sorry, I was short a May04 550/625 after earnings and covered at 2.35. I am still in the May18. I thought I'd posted the 04, but did not.
 
Quote from sle:

Long vega, short gamma or just plain long forward vol? What metrics do you use for these trades, out of curiosity?
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I don't have easy access to the pure vol-line, so I would take the vanilla calendar, buying v, short g.

I think we could see IV go to 2200 with RV above, so it's not a slam dunk. Purely discretionary here, but I quote all of the 121 flies and 1:1 calendars in excel descending in strike-width. I also plot a 30-day running OTC fly (theo) based upon the listed vol+skew and eyeball it. I pull vol from a peak to trough var figure as well. I have cells with 5-day running historical fly prices and some averages. If the bias hits a threshold I go to index vol to neutralize.

The sheet re-calcs every 5mins with the neutral fly:

Spot605

595/605/615... fly mid...weekly...monthly...30d modeled OTC...day5, 4, 3, 2, 1; var-imp. vola.
590/605/620...
585/605/625, etc.

I do the same with the calendars. I can price vol from premium within 100bp on the stocks I follow closely. Not all the time, but I quiz myself and if I am off I will hesitate to pull the trigger. A strong directional signal will trump any vol-bias I may have. IOW, I may short vol into a bear prediction if I am short sufficient delta.
 
Quote from babutime:

Geez, how on earth did you make money on that strangle? So let me get this straight, the MAY 470 put and the MAY 625 call? That was April 24th when you sold it...

But today as I see it, that strangle is worth ~$10.50
More...

FWIW, that May18 strangle was nuts. I didn't look at individuals before pulling the trigger (due to small size) and if I had seen the skew in prem I would never have taken the bear-bias.
 
Quote from atticus:

Derman, sure, but I am referring to a rise in the vol-line irrespective of strike. We will see a rise in the strips/vix (all strikes rise) on a touch of 1370 which is mitigated by the skew. Derman would say that a stationary vix (in the move to 70) would result in a lower 70-strike vol on a touch (than is reflected in the 200bp skew).

I will re-eval on any close above 1400-cash.
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Out at 5.50. Source for a long RUT May03 00/20/40 fly from 7.30 risk.
 
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