Riskarb's combo to fly conversion journal

Quote from riskarb:

The 20d puts are trading 1250 basis / 20d calls. I would sell the put backspread and match gamma:

Long the 75p x short*3 65p

If trading a stock combo:

Short 100 shares x short 4[or 5] 65p, 4 if slightly bearish, 5 for a neutral position here at $74 on shares.
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got it , thanks a lot
 
The NTES bear risk reversal is only showing a dime in $prem edge. Such is life when trading deep smile at 20d and 1200basis in vol. Ideally, you could structure a 10-lot bear risk-reversal and sell a few hundred shares, but there isn't significant edge in dollar-terms.
 
Quote from riskarb:

The NTES bear risk reversal is only showing a dime in $prem edge. Such is life when trading deep smile at 20d ans 1200basis in vol. Ideally, you could structure a 10-lot bear risk-reversal and sell a few hundred shares, but there isn't significant edge in dollar-terms.
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yep , I already ran some what ifs and tomorrow PnL is heavy depended on the price action.
Heard so much about the smile and decided to check R/R ...
Reverse Calendars are much more attractive , imo
Thanks , B
 
Quote from IV_Trader:

yep , I already ran some what ifs and tomorrow PnL is heavy depended on the price action.
Heard so much about the smile and decided to check R/R ...
Reverse Calendars are much more attractive , imo
Thanks , B
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NP. The short calendar is a thought, but the tenor-vols will flatten. Neither long or short calendar is likely to do much tomorrow with atm March vols trading 1700bp / April and 2200bp / June.

I'd imagine the short calendar loses 800-1000bp in vol edge tomorrow. Will do ok if the stock really moves, 6 handles or so.
 
Quote from riskarb:

NP. The short calendar is a thought, but the tenor-vols will flatten. Neither long or short calendar is likely to do much tomorrow with atm March vols trading 1700bp / April and 2200bp / June.

I'd imagine the short calendar loses 800-100bp in edge tomorrow. Will do ok if the stock really moves, 6 handles or so.
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I meant RC generally (no position on NTES) , its a very low risk when trading the right stocks at the right time.
Looking forward to your Vega journal.
 
thx for the put ratio backspread idea IV_Trader/riskarb. I ran it yesterday in my tos papertrade acc't, and it lost even though vols flattened as expected. their paper acc't does not allow you to split bid/ask, so that prolly had a lot to do with it. Plus r/a said there was only a dime pos. expectancy, so bid/ask must've negated any small expectancy.

STO 30 NTES 65P @1.55
BTO 10 NTES 75P @5.10

this morning:

BTC 30 NTES 65P @.25
STC 10 NTES 75P @.45

Anyhow, it's a pleasure following your thread learning about vega trading! Thnks
 
I certainly didn't trade the NTES backspread, but the debit was $.40 when I ran the vols. It was a suggestion based upon some specific-criteria; short put skew. In retrospect, the bull risk reversal returned better than long stock on deltas.
 
I unwound my MRVL positions today after the earnings announcement and IV crush to the 41% with the stock at $62. I do not think the stock will stay in the tight range of my converted FLY so getting out now. I took off the extra short straddles I added last week for even since IV picked up and the stock was moving lower. Then today closed out the 3 converted Iron Flys.

Total net profit after commissions: $249.37

I only did 3 of these so I cannot complain. I will still keep this positions small as I test them out but I can see adding a few here and there for some extra profits when I can.
 
Another big/un proportional vols collapse into the weekend. Never noticed it before Riskarb mentioned it (Thanks !). Made 1.50 by shorting GOOG 380 straddle , all intraday , no prior overnight position.
 
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