riskarb's trading journal

[riskarb]

Quote from IV_Trader:

Risk , about conversions...looks like the best time to close (win or lose) position is around 2 weeks before exp when OTM (long) gamma starts collapsing very fast. Is this fact should be consider ?

I find delta position much more predictive than the rate of gamma-decay. The otm decay isn't going to decline rapidly as the position is lopsided on deltas. The near-wing will be peaking on gammas and the far wing is already depleted.

You're better-served with directional bias and static delta. I'd offset the fly at neutral-delta if vols have declined significantly.

 

[riskarb]

Vanilla strangle:

Short the CME June 430/470 outside strangle for $18.00 at 33% vols. Not a huge fan, but vols have risen 800bp from ther post-report low.

Vanilla short risk-reversal:

Short 100 of the June SPX 1300C // Long 100 the June SPX 1250P at $4.00. Not willing to sell too much into this oversold condition and unwilling to bid for VBI futures... what a quandry.

I am long deltas and short dgammas in virtually all positions. Need to buy some insurance here -- long put gamma/dgamma.

 

[El OchoCinco]

Isn't there that little floating gnome over your left shoulder tapping you and saying "Eh that's enough for today, son. Save some money for tomorrow.."

 

[riskarb]

Quote from optioncoach:

Isn't there that little floating gnome over your left shoulder tapping you and saying "Eh that's enough for today, son. Save some money for tomorrow.."

Risk: "How's it going?"

OC: "Good, just getting some long premo for myself. Uh, gotta have long vol in the house. I like it. Wholesome, natural, chock-full of gamma. Alright let's see... VBI calls... four SPX reversals with red on the skew... OEX... (looks at Risk; Risk gives him a weird look) ooo, just right... and three albatrosses, uh, ought to do it."

Risk: "All right, all right, just hold it right there!"

OC: "What?"

Risk: "This gamma isn't for you"

OC: "(shocked) Wha, what are you talking about?"

Risk: "You think I don't know huh? long premo, gamma, reversals with the red on the skew, that's IV Trader!

OC: "I can't buy calls and puts?"

Risk: "All right, get out!"

OC: "You're making a big mistake, Risk!

Risk: "I'll tell you something else: I don't what your posts on this thread anymore either."

OC: "Are saying you're banning me from the thread?

Risk: "That's exactly what I'm saying."

OC: "I'm banned?!"

Risk: "You're banned."

 

[El OchoCinco]

The scary thing is that you really heard that conversation somewhere in there.... LOL

 

[IV_Trader]

Quote from riskarb:


Risk: "You think I don't know huh? long premo, gamma, reversals with the red on the skew, that's IV Trader!



"[/i] [/B]

the real funny part here is that I don't understand greeks enough to conclude if this is a complement to me or not , hahaha

 

[Optionpro007]

Risk,

Based on today's move down, after 3pm and taking in consideration the last few day's selloff, would you consider it a high probability that tomorrow friday will be really REALLY bloody?

What's your take?

Thnx

 

[riskarb]

Quote from IV_Trader:

the real funny part here is that I don't understand greeks enough to conclude if this is a complement to me or not , hahaha

LOL, well, you fit the skit. You're the only guy on this board that buys a lot of premium, and you're tall [Kramer].

 

[riskarb]

Quote from optionpro007:

Risk,

Based on today's move down, after 3pm and taking in consideration the last few day's selloff, would you consider it a high probability that tomorrow friday will be really REALLY bloody?

What's your take?

Thnx

I don't want to forecast the magnitude, but I think we trade lower. Could be bloody, sure.

 

[IV_Trader]

Quote from riskarb:

LOL, well, you fit the skit. You're the only guy on this baord that buys a lot of premium, and you're tall [Kramer].

Kremer ? More like Rodney Dangerfield --> no respect , hahaha
Thanks , brother B