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one/off
- Thread starter atticus
- Start date
Quote from newwurldmn:
what do you mean then by "you don't want any stat-vol?"
do you mean you don't want any gamma?
Well, I was short gamma so I don't want any "street" vol. In any event, I covered all this morning and am down 1.2% since reporting the new format. A PTT swing of 2.7%. I will wait for the open tomorrow to implement some rollable, weighted calendars (neutral vola).
-1.2% and flat all
-2.7% DD from high-water (HW = +1.5%)
Quote from atticus:
Well, I was short gamma so I don't want any "street" vol. In any event, I covered all this morning and am down 1.2% since reporting the new format. A PTT swing of 2.7%. I will wait for the open tomorrow to implement some rollable, weighted calendars (neutral vola).
-1.2% and flat all
-2.7% DD from high-water (HW = +1.5%)
The terminologies have me a little confused. Wht do you mean street vol? Gamma based on the overall market? (ie. short aapl gamma is like being short spx gamma)
I'm doing okay today largely because Im long a ton of delta, but my short gamma isn't helping either. For me the volatility of my pnl vs what my net will be on this round trip isn't that great.
Quote from newwurldmn:
The terminologies have me a little confused. Wht do you mean street vol? Gamma based on the overall market? (ie. short aapl gamma is like being short spx gamma)
I'm doing okay today largely because Im long a ton of delta, but my short gamma isn't helping either. For me the volatility of my pnl vs what my net will be on this round trip isn't that great.
Stat/HV has no gamma, it simply is... but when I state that I want "no stat vol" I am short gamma. If I am net-short vol I will mention it. All of my greeks or stated exposures are beta-adjusted. Street vol is individual share positions, as opposed to index.
Quote from atticus:
Stat/HV has no gamma, it simply is... but when I state that I want "no stat vol" I am short gamma. If I am net-short vol I will mention it. All of my greeks or stated exposures are beta-adjusted. Street vol is individual share positions, as opposed to index.
Ah. Got it.
You want no stat vol means you dont want any realized vol. I took it to mean you wanted to axe your book to a particular risk.
Flat again. -1.9% return since journal change. In the process of building Dec16 positions up to 18% notional. I'll hedge these in spot as well. Fills at edge, excellent positions, hence the 15-18 target on allocation. I'm not going to post the positions here, but I'll post the full performance review from IB after I close them.