Riskarb's combo to fly conversion journal
- Thread starter riskarb
- Start date
Thunderdog -- the greeks are of little conequence beyond the scanning process, but Natenberg's "Option Pricing and Volatility" would be where to start.
Man -- OMG no, simply using available tools. Like a guy alone on a desert island with nothing but a bbg and an execution terminal. In fact, the only benefit of bbg is clean-data.
Sorry to be brief, but it's tough to keep up with all the questions, no worries.
Man -- OMG no, simply using available tools. Like a guy alone on a desert island with nothing but a bbg and an execution terminal. In fact, the only benefit of bbg is clean-data.
Sorry to be brief, but it's tough to keep up with all the questions, no worries.
Quote from man:
ok. bb is a strange thing. like an ad-show. teases you in the first place, disappoints you once you have it ....
are you going to track some equity urve or something along with the journal?
Totally agree. The database is as though blessed by [insert your God here], but the analytics are total amateur-hour. I am certain the fundy-stuff is top-notch, but that's not my game.
I may chart a curve and Sharpe, depending on my time contraints.
Mo:
I did nto mean to suggest a negative gamma scalp really. I thought the intention was to sell the straddle and gain theta and perhaps IV decay, add the wings as the market moves to hedge and rebalance.
What it appears to be, in English, is to leg into the I-Fly as the underlying moves in one direction by simply buying the one side? Using risk-based haircut you get a cheap FLY compared to if you opened the whole position outright from the beginning? Thus locking in a profit on one side. If the stock reverses and moves back lower you get more wasted movement in the underlying and thus more theta....?
I did nto mean to suggest a negative gamma scalp really. I thought the intention was to sell the straddle and gain theta and perhaps IV decay, add the wings as the market moves to hedge and rebalance.
What it appears to be, in English, is to leg into the I-Fly as the underlying moves in one direction by simply buying the one side? Using risk-based haircut you get a cheap FLY compared to if you opened the whole position outright from the beginning? Thus locking in a profit on one side. If the stock reverses and moves back lower you get more wasted movement in the underlying and thus more theta....?
Thank you.
Sheesh, I really have to learn to stop jumping all over other people's journals lol.
I'm no expert as you know, but in response to your question...hmmm...how do I put it, I wasn't suggesting legging into each wing/vertical "individually" as movement permitted/dictated, though you could do that if you were adept at timing direction.
Rather, I would purchase the strangle outright purely taking advantage of theta/IV as you suggest i.e I wouldn't really consider delta or market movement for the purposes of purchasing the strangle unless it made the completed position untenable at which point buying back the straddle would probably be my move instead.
I don't know how riskarb intends to play it but we shall see.
As you state, at the time of conversion, if the total cost to date is less than what you would have to pay for the fly today, then job done. If you're really lucky you can get the completed fly on for "free" or better.
MoMoney.
I'm no expert as you know, but in response to your question...hmmm...how do I put it, I wasn't suggesting legging into each wing/vertical "individually" as movement permitted/dictated, though you could do that if you were adept at timing direction.
Rather, I would purchase the strangle outright purely taking advantage of theta/IV as you suggest i.e I wouldn't really consider delta or market movement for the purposes of purchasing the strangle unless it made the completed position untenable at which point buying back the straddle would probably be my move instead.
I don't know how riskarb intends to play it but we shall see.
As you state, at the time of conversion, if the total cost to date is less than what you would have to pay for the fly today, then job done. If you're really lucky you can get the completed fly on for "free" or better.
MoMoney.