Summer vol trade

A

atticus

Short vol, neutral price. Market is bound by the Osama print and may see 1300 in the next 30 days. Go long the June AAPL 300/345/390 call(or)put fly or short the iron for ~26 risk. Go on vacation and sell at 36 in a month.

Realized vol and var will be well under implieds here.
 
Quote from atticus:

Short vol, neutral price. Market is bound by the Osama print and may see 1300 in the next 30 days. Go long the June AAPL 300/345/390 call(or)put fly or short the iron for ~26 risk. Go on vacation and sell at 36 in a month.

Realized vol and var will be well under implieds here.
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atticus, that's a huge range on the fly. Did you pick this purely to short more vol?

I am using last trade since it's off hours. Too drunk to verify but the numbers should be close:

10x 300/345/390 Call
-Breakeven: $327 and $362
-Max loss: $27000
-Max gain: $17700

10x 325/345/365 Call
-Breakeven: $331 and $358
-Max loss: $6700
-Max gain: $13000

Wouldnt the 325/345/365 be a better risk/reward in this case? thanks
 
Quote from newguy05:

atticus, that's a huge range on the fly. Did you pick this purely to short more vol?

I am using last trade since it's off hours. Too drunk to verify but the numbers should be close:

10x 300/345/390 Call
-Breakeven: $327 and $362
-Max loss: $27000
-Max gain: $17700

10x 325/345/365 Call
-Breakeven: $331 and $358
-Max loss: $6700
-Max gain: $13000

Wouldnt the 325/345/365 be a better risk/reward in this case? thanks
More...

Yeah, it's essentially a short straddle. I am risking 26.10. Currently marked at 27.30.
 
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