Noregrets' "Double or Nothing" Volatility Trading Journal

Quote from drownpruf:

I can understand not wanting to be short gamma into the macro situation.
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It's not that I am necessarily opposed to it, but would want to do it through a position that has a slight to moderate bearish bias and a relatively wide "strikezone" (to borrow a baseball term). I lost faith in the calendar position in question when the SPX dropped 7-8 points very quickly after I put it on mid-afternoon Friday. At that point it was neutral and I was not comfortable with that going into the weekend. I think it was Paul Tudor Jones who pointed out that if you are not comfortable with a position, then take it off, because you can always put it back on again after you've had a chance to assess.

In keeping with my outlook, I am considering putting on a somewhat bearish leveraged ES fly tonight or tomorrow. That would be shooting for a small downward move but provide some resilience to the upside as well.

Thanks again for the feedback.
 
Quote from Pipflow:

This strategy sounds very good that double or nothing, but $6000 is a lot of money to bet into this kind of strategy, hope you will be able to manage well. All the best for your trading strategy.
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Thanks for the kind words, Pipflow. Although I certainly would not let the account literally get anywhere close to zero without calling a halt to trading and doing some significant regrouping and soul-searching. The goal to double is very real though and serves as an inspiration for me, and is I strongly feel achievable especially with the advice and support of folks on the board. I am reminded of a quote by Daniel Burnham: "Make no little plans. They have no magic to stir men's blood and probably will not themselves be realized."
 
Quote from drownpruf:

Thanks for the link, Surf.
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DP, no offense but to the extent possible I would ask all of us to please keep the posts in this journal on topic. I don't think anyone is served by engaging here in back and forths over usernames, etc. Thanks.
 
Since I've started to get interested in trading vol. I was wondering if you were looking at AAPL tomorrow. Was thinking of putting on the 540/500/460 iron fly?

Also curious if you ever look at something like yelp? I can see that not being liquid enough. Do you mainly just trade the indices ES etc.? How are you bidding your fly's I put one on in GLD last week super small started bidding at midpoint and then walked it out until it got hit. Are you just letting your orders rest at mid.? Going to do this stuff stupid small and see if it's worth it for me as I don't want to cut into what I do well to much.

Really enjoying this thread and just went back and read most of atticus's old posts.
 
Quote from actionzip54:

Since I've started to get interested in trading vol. I was wondering if you were looking at AAPL tomorrow. Was thinking of putting on the 540/500/460 iron fly?

Also curious if you ever look at something like yelp? I can see that not being liquid enough. Do you mainly just trade the indices ES etc.? How are you bidding your fly's I put one on in GLD last week super small started bidding at midpoint and then walked it out until it got hit. Are you just letting your orders rest at mid.? Going to do this stuff stupid small and see if it's worth it for me as I don't want to cut into what I do well to much.

Really enjoying this thread and just went back and read most of atticus's old posts.
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Thanks, AZ. I had not yet considered trading AAPL tomorrow; what is your price/vol outlook, and what do you like about that particular spread?

I personally try to focus on trading options where the underlying is at least $100, since it reduces the relative commissions especially if you do not hold the position very long, although I do trade those on lower-priced stocks occasionally. E.g., this summer I traded VXX options quite a bit but the commissions were painful. The fact that most of my journal trades so far have been in ES is a bit of an anomaly. I have been spending much of my time building new sheets the last few days, and that has been combined with my fairly bearish outlook of late which (rightly or wrongly) has made me more inclined to focus on trading the index for now since correlation should pick up if we start heading down anyway.

As far as fills, I use the same tactic of "walking out" from the midpoint. I will often put in my first limit order at or a penny off mid, then if that doesn't get filled I will start adding a penny or so at a time until I get filled. If it is a slow market then I try to be very patient to get a good fill. I use resting limit orders often for exits, or on entry if I am willing to do the position but only at a better price. Especially on the leveraged flies that I trade sometimes, the mid prices can fluctuate quite a bit even over fairly short time periods so if I'm not in a hurry I will usually hold out for a better price. Depending on the instrument, I have a good idea going in of how much I will likely have to give up off the midpoint to get the fill.

+1 on reading atticus' old posts. I learned more from reading his journals than anything else on ET to date, specifically the Pitchfork, "Ship It" and "Single-name Delta Book" journals.

I would imagine that others, many of whom have much more trading experience than myself, may want to chime in here as well.
 
Quote from noregrets:

Thanks, AZ. I had not yet considered trading AAPL tomorrow; what is your price/vol outlook, and what do you like about that particular spread?

I personally try to focus on trading options where the underlying is at least $100, since it reduces the relative commissions especially if you do not hold the position very long, although I do trade those on lower-priced stocks occasionally. E.g., this summer I traded VXX options quite a bit but the commissions were painful. The fact that most of my journal trades so far have been in ES is a bit of an anomaly. I have been spending much of my time building new sheets the last few days, and that has been combined with my fairly bearish outlook of late which (rightly or wrongly) has made me more inclined to focus on trading the index for now since correlation should pick up if we start heading down anyway.

As far as fills, I use the same tactic of "walking out" from the midpoint. I will often put in my first limit order at or a penny off mid, then if that doesn't get filled I will start adding a penny or so at a time until I get filled. If it is a slow market then I try to be very patient to get a good fill. I use resting limit orders often for exits, or on entry if I am willing to do the position but only at a better price. Especially on the leveraged flies that I trade sometimes, the mid prices can fluctuate quite a bit even over fairly short time periods so if I'm not in a hurry I will usually hold out for a better price. Depending on the instrument, I have a good idea going in of how much I will likely have to give up off the midpoint to get the fill.

+1 on reading atticus' old posts. I learned more from reading his journals than anything else on ET to date, specifically the Pitchfork, "Ship It" and "Single-name Delta Book" journals.

I would imagine that others, many of whom have much more trading experience than myself, may want to chime in here as well.
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I'm fairly neutral to bearish on the price as I think the S&P is more than likely a sell this week so even if there is good news out of AAPL tues. on their new product I think the vol gets crushed and the stock doesn't move the 20 pts. you can sell the weekly ATM 500 straddle. The wings were more for protection than anything else as I wouldn't want to be naked short the straddle.
 
Quote from actionzip54:

I'm fairly neutral to bearish on the price as I think the S&P is more than likely a sell this week so even if there is good news out of AAPL tues. on their new product I think the vol gets crushed and the stock doesn't move the 20 pts. you can sell the weekly ATM 500 straddle. The wings were more for protection than anything else as I wouldn't want to be naked short the straddle.
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I think that given your outlook your reasoning makes sense. The only thing I might suggest is, since you are bearish and AAPL is currently 498, to drop a strike so you will be helped if it falls as you are expecting, unless you think the risk is asymmetric to the upside. It looks like you are thinking of trading the weekly expiring this Friday; I don't mean to state the obvious but just be keenly aware that if the stock does make a big move and your fly is three days from expiration with the vol just having collapsed that you are going to get hurt.

Finally, I personally would wait until late in the day Monday (with the event Tuesday) to put the fly on. Weekly vol should be held into the event and might even increase in the speculative fever going in, so this will: let you be in the market the minimum amount of time before the event, perhaps let you get a better price on the fly, and ensure that your fly is situated as close to ATM (or wherever in relation to it you wish to be) as possible. That is just a phenomenon that I have noticed in many of my earnings trades.
 
Quote from noregrets:

I think that given your outlook your reasoning makes sense. The only thing I might suggest is, since you are bearish and AAPL is currently 498, to drop a strike so you will be helped if it falls as you are expecting, unless you think the risk is asymmetric to the upside. It looks like you are thinking of trading the weekly expiring this Friday; I don't mean to state the obvious but just be keenly aware that if the stock does make a big move and your fly is three days from expiration with the vol just having collapsed that you are going to get hurt.

Finally, I personally would wait until late in the day Monday (with the event Tuesday) to put the fly on. Weekly vol should be held into the event and might even increase in the speculative fever going in, so this will: let you be in the market the minimum amount of time before the event, perhaps let you get a better price on the fly, and ensure that your fly is situated as close to ATM (or wherever in relation to it you wish to be) as possible. That is just a phenomenon that I have noticed in many of my earnings trades.
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Cool, thanks for the help.
 
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