one/off

Quote from atticus:

Yes. :p

I have a vol and timing model. The timing model is based upon Inventure's Ranger, and the vol-model is home-brew. The discretionary component is large.
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Right on...thought you might say it was a hodge podge of tools/skills/etc.. I'm assuming the exit decisions are made using a similar process. Did I understand correctly that you're not doing any delta hedging on these?
 
Quote from atticus:

Bought to open the AAPL Dec 55/80/05 fly at 8.00. 10% of account.

2iwaeww.png


I'll post account metrics (screenshots) going forward. Shooting for a double by the end of 2012 at a MAR/Calmar of 10. IOW, a double is targeted at a DD not to exceed 10% (peak to trough). I will stop the journal if I take heat in excess of 10% over the period.

Blue for opening positions. Red for closing a position at a loss. Green for closing a position at a profit
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The way this is going it may touch 80 today, hard to argue with that entry. :)
 
Quote from bs2167:

Right on...thought you might say it was a hodge podge of tools/skills/etc.. I'm assuming the exit decisions are made using a similar process. Did I understand correctly that you're not doing any delta hedging on these?
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Exits are conditional to vol (1st order). I will tend to close large vol-gains, but directional exits are taken on system signals on indices (2nd order). I won't rule it out, but I rarely hedge these.
 
You find that there is a lot of vega pnl to be made in 1 month butterflies? I always find that my pnl is made through theta and not having too much drift in the underlying.

Or is your vol metric something different than vega pnl?

I like the AAPL term structure more. It shouldn't be that steep in this environment.
 
Quote from newwurldmn:

You find that there is a lot of vega pnl to be made in 1 month butterflies? I always find that my pnl is made through theta and not having too much drift in the underlying.

Or is your vol metric something different than vega pnl?

I like the AAPL term structure more. It shouldn't be that steep in this environment.
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These are stat-vol and directional wagers.
 
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