one/off

atticus · Nov 28, 2011

Quote from newwurldmn:

110 122 134

Sorry, I mistakenly read 100. I think it's ok as well drift higher here. I would rather be ATM in the weeklies.

atticus · Nov 28, 2011

I am long the 65/75/85 AAPL weekly fly from 3.30 and long the 119 SPY calendar, Dec02/Dec16 from 1.90. I have a small SPX (300D) risk-reversal long from +320bp skew that is hedged 100D in ESZ1.

I will update with closing fills/hedges and a screenshot of the perf to date this coming Monday.

newwurldmn · Nov 28, 2011

Quote from atticus:

I am long the 65/75/85 AAPL weekly fly from 3.30 and long the 119 SPY calendar, Dec02/Dec16 from 1.90. I have a small SPX (300D) risk-reversal long from +320bp skew that is hedged 100D in ESZ1.

I will update with closing fills/hedges and a screenshot of the perf to date this coming Monday.

I have the 119 Dec02 Dec16 calendar as well.

I think the fly looks interesting technically. But my version of technicals is pretty elementary.

atticus · Nov 29, 2011

Long 5 lot at 1202.25 as portfolio hedge. Well under SPX deltas.

atticus · Nov 29, 2011

Quote from atticus:

Long 5 lot at 1202.25 as portfolio hedge. Well under SPX deltas.

Out 2 at 98.00.

Long the NDX weekly 2225 calendar from 31.00, 5%.

atticus · Nov 29, 2011

Not finding anything here in component vols. Will wait for Thursday to trade some "rollable" calendars in some skew.

atticus · Nov 29, 2011

Quote from atticus:

Out 2 at 98.00.

Long the NDX weekly 2225 calendar from 31.00, 5%.

Flat ES at 98.00.

kinggyppo · Nov 29, 2011

Quote from atticus:

Not finding anything here in component vols. Will wait for Thursday to trade some "rollable" calendars in some skew.

watching amzn here may trade to 200.

atticus · Nov 29, 2011

Quote from kinggyppo:

watching amzn here may trade to 200.

I'll take a look. That ticker is a beast. I am neutral to 119.70 basis SPY, so really not wanting a lot of stat-vol over the next 3 days. NDX position was increased to a 10-lot.

newwurldmn · Nov 29, 2011

Quote from atticus:

I'll take a look. That ticker is a beast. I am neutral to 119.70 basis SPY, so really not wanting a lot of stat-vol over the next 3 days. NDX position was increased to a 10-lot.

what do you mean by "stat-vol?"