Short gamma trade in EBAY

Quote from riskarb:

Mav,
With all due respect, I do take flyers... This is a play I make every earnings season -- and I WILL gamma trade it, if possible.

If you think 12k delta is a lot, then that's an issue with your risk tolerance, not mine.

FWIW, I trade neutral with the rest of my portfolio, mostly index dispersion, and I'm long gamma overall. When you see some box and roll opportunities, off-floor, you let me know!

I trade micro-flyers all the time, that is close to my risk-limit, but I know guys a lot smaller on the floor that take much larger deltas.



Good trading to ya,
arb.
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Yeah, I'm not trying to give you a hard time. It's just on some of the other boards on options, you were going apeshit over some of my positions because you didn't like the directional exposure on them and then you went on to say that you don't trade directional and that you leave that for other guys. So I'm just giving you some shit for the hell of it because you went out of your way to say you were a non directional trader before.

And it's not that you have a lot of delta on it's just that compared to your vega your delta is way way too much. You are only short about 6500 vega and your short 11k to 12k delta but yet you call it a vega play. It's really a delta play since you have twice as much delta as you do vega. Now if you had -50k delta and -100k vega I would agree with you about the delta in that its inconsequential. But in this case I would call this trade purely directional based on your delta/vega ratio.

Also, I know guys on the floor that purely trade deltas so the fact that they are on the floor doesn't mean anything. I know guys on the floor that hold 400k to 500k deltas. But that's their trading style.

I'll tell you what, I'll go on record saying that vol on ebay will be 33 to 34 after earnings on those strikes. i will also go on record that ebay will gap 3 to 5 pts at least on the numbers. Which way I don't know. And you can trade the gamma all you want but then that just proves you are a directional trader. Ha!

With the way you have this trade structured, I don't think you are going to make any money, but we'll see. I hope you prove me wrong and make a killing. At least you posted your trade before the fact. Have to respect that.
 
Quote from Maverick74:

Yeah, I'm not trying to give you a hard time. It's just on some of the other boards on options, you were going apeshit over some of my positions because you didn't like the directional exposure on them and then you went on to say that you don't trade directional and that you leave that for other guys. So I'm just giving you some shit for the hell of it because you went out of your way to say you were a non directional trader before.

And it's not that you have a lot of delta on it's just that compared to your vega your delta is way way too much. You are only short about 6500 vega and your short 11k to 12k delta but yet you call it a vega play. It's really a delta play since you have twice as much delta as you do vega. Now if you had -50k delta and -100k vega I would agree with you about the delta in that its inconsequential. But in this case I would call this trade purely directional based on your delta/vega ratio.

Also, I know guys on the floor that purely trade deltas so the fact that they are on the floor doesn't mean anything. I know guys on the floor that hold 400k to 500k deltas. But that's their trading style.

I'll tell you what, I'll go on record saying that vol on ebay will be 33 to 34 after earnings on those strikes. i will also go on record that ebay will gap 3 to 5 pts at least on the numbers. Which way I don't know. And you can trade the gamma all you want but then that just proves you are a directional trader. Ha!

With the way you have this trade structured, I don't think you are going to make any money, but we'll see. I hope you prove me wrong and make a killing. At least you posted your trade before the fact. Have to respect that.
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Mav,

I NEVER ONCE maligned your directional trading -- only that you weren't actually trading ANY exposure, no net greeks whatsoever -- simply paying edge to those we know and love(MMs). Trading flat with -edge is worse than trading direction with -edge -- at least with direction you can be wrong on edge and still earn.

Do yourself a favor and run a rel-value line on volty -- no, don't bother, I'll simply tell you that in this volty environment it wasn't a blad play IMHO -- I guess we'll have to wait for the offset to see who's right. Look at the Nas-volty lately??

I've had enough of pissing contests -- you trade your account and I'll trade mine -- and predicting where the stock will trade after the numbers is foolish. Be certain that I will be back here to answer to rebut your spot-move prediction.


Good luck,
arb.
 
Quote from riskarb:

Mav,

I NEVER ONCE maligned your directional trading -- only that you weren't actually trading ANY exposure, no net greeks whatsoever -- simply paying edge to those we know and love(MMs). Trading flat with -edge is worse than trading direction with -edge -- at least with direction you can be wrong on edge and still earn.

Do yourself a favor and run a rel-value line on volty -- no, don't bother, I'll simply tell you that in this volty environment it wasn't a blad play IMHO -- I guess we'll have to wait for the offset to see who's right. Look at the Nas-volty lately??

I've had enough of pissing contests -- you trade your account and I'll trade mine -- and predicting where the stock will trade after the numbers is foolish. Be certain that I will be back here to answer to rebut your spot-move prediction.


Good luck,
arb.
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That's why I'm going on record now so that I don't look like a monday morning quarterback next week. Oh and my position that you said had no net greeks had almost as much vega as this position does. The IBM example I posted was long 2k vega only my position had unlimited upside and was delta neutral. Your position is short only 3500 vega, not much more then mine and has unlimited downside, the exact opposite. But enough of this, I'll be watching your trade closely and we'll let Ebay tell us who's right. You just better hope this market doesn't break out to the upside like I think it will.
 
Quote from Maverick74:



And it's not that you have a lot of delta on it's just that compared to your vega your delta is way way too much. You are only short about 6500 vega and your short 11k to 12k delta but yet you call it a vega play. It's really a delta play since you have twice as much delta as you do vega. Now if you had -50k delta and -100k vega I would agree with you about the delta in that its inconsequential. But in this case I would call this trade purely directional based on your delta/vega ratio.

Also, I know guys on the floor that purely trade deltas so the fact that they are on the floor doesn't mean anything. I know guys on the floor that hold 400k to 500k deltas. But that's their trading style.
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One last comment: if you can show me how to capture as much $$ with a 300bp move lower in implieds, I'd love to hear it. Obviously, a short time spread is out.

BTW, yes, I knew what my gamma and vega pos was before you did, in a low-volty environment, the curve and ratio always looks like crap. We can only trade it, or leave it on the table.


arb.
 
Quote from Maverick74:

That's why I'm going on record now so that I don't look like a monday morning quarterback next week. Oh and my position that you said had no net greeks had almost as much vega as this position does. The IBM example I posted was long 2k vega only my position had unlimited upside and was delta neutral. Your position is short only 3500 vega, not much more then mine and has unlimited downside, the exact opposite. But enough of this, I'll be watching your trade closely and we'll let Ebay tell us who's right. You just better hope this market doesn't break out to the upside like I think it will.
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Dude, I have no idea wtf you're talking about -- I'm referring to your original "Perfect Option Position" post, no ticker was mentioned. I disagree with the theory behind your "POP" -- not the greeks on some IBM position that I hadn't seen posted, ok?

arb.
 
Quote from riskarb:

Dude, I have no idea wtf you're talking about -- I'm referring to your original "Perfect Option Position" post, no ticker was mentioned. I disagree with the theory behind your "POP" -- not the greeks on some IBM position that I hadn't seen posted, ok?

arb.
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Riskarb, I posted the IBM position under the perfect option position what now thread, it's there right now, go take a look. I posted about 6 screenshots for you. Enjoy!
 
Quote from Maverick74:

Riskarb, I posted the IBM position under the perfect option position what now thread, it's there right now, go take a look. I posted about 6 screenshots for you. Enjoy!
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OK then, I'll elaborate, was referring to the first 50 or so threads you made on the "POP" before you actually told us wtf the position was -- although some of us knew after the first five or so...

My brain hurts hitting "Next Page" after awhile, too many iterations... rather do Monte Carlo sims in my head, but thanks for the heads-up, I may take a look.



arb.
 
Quote from Maverick74:

That's why I'm going on record now so that I don't look like a monday morning quarterback next week. Oh and my position that you said had no net greeks had almost as much vega as this position does. The IBM example I posted was long 2k vega only my position had unlimited upside and was delta neutral. Your position is short only 3500 vega, not much more then mine and has unlimited downside, the exact opposite. But enough of this, I'll be watching your trade closely and we'll let Ebay tell us who's right. You just better hope this market doesn't break out to the upside like I think it will.
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Found it... uh... you do know that I'm short gamma/vega, right? If you want to malign the ebay trade, plase take the opposing position -- put your vast ego on the line.

I'm trading this in a swing time-frame, I know the risks, so no need to underwrite it for me, Mr. Allstate, I'll be fine, win or lose.

I mean, it's only logical, if you're so certain I'll lose, then why on Earth wouldn't you trade such a sure-thing as the EBAY feb 65 combo?!?

arb.
 
Quote from riskarb:



I mean, it's only logical, if you're so certain I'll lose, then why on Earth wouldn't you trade such a sure-thing as *BUYING* the EBAY feb 65 combo?!?

arb.
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I'm a stock guy not an option guy, but I was always curious about the following. If someone sold the near straddle two days before earnings in every s and p stock and covered either on the opening or the close of the first day after earnings would he make money. My guess is yes provided of course he was sufficiently capitized
 
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