one/off

Quote from atticus:

Long the SPY Dec02/Dec16 119 calendar from 1.18, 6% allocation. 1.18 mid-marked.
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I like.

I have the following on: Dec 02 119 (sold today) vs the Dec16 126 (bought long ago) such that the Dec02 119 notional = Dec16 126 delta.

This is about 1% of my account by your calculations.
 
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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On what timeframe is the data you're using as an input - are you using daily data?

Sounds like a fun acct to run. GL.
 
Completely flat and up 2% since the new format. PTT (peak to trough) draw-down was 0.3% marked. I'll post weekly IB performance stats.
 
Quote from atticus:

Completely flat and up 2% since the new format. PTT (peak to trough) draw-down was 0.3% marked. I'll post weekly IB performance stats.
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good trading. being fundamentally short gamma and still making money last week and today is impressive.
 
Quote from newwurldmn:

good trading. being fundamentally short gamma and still making money last week and today is impressive.
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Primarily from the index calendars. That narrow AAPL fly helped. My VaR is always <10% at 3SD.
 
Quote from atticus:

Primarily from the index calendars. That narrow AAPL fly helped. My VaR is always <10% at 3SD.
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Those were a good trade.

Thoughts on this? I did this for 2% risk (based on your calculations)

SPY Dec 110 134 call fly for 6.7
 
Quote from newwurldmn:

Those were a good trade.

Thoughts on this? I did this for 2% risk (based on your calculations)

SPY Dec 110 134 call fly for 6.7
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110/117/134?
 
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