trading option pitchforks

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Quote from atticus:

Sure. I run bloomberg data through lmt-expo.com running on Solaris. Two old Sparc20 boxes are used as I am also using a port of Inventure's Ranger for a native query engine.

The only automation I run is on remote market-making. Filling a side manually which triggers an automated offset. The gammas in the RMM positions are very low and the average duration before the "lock" is about 20 minutes. In low vol it's a bit better.
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Nice. I understand how you quote possible trades now, I assume data visualization is important to you...only question is what do you look for in the quotes/data, but I guess that's the "secret sauce"
 
Quote from TskTsk:

Nice. I understand how you quote possible trades now, I assume data visualization is important to you...only question is what do you look for in the quotes/data, but I guess that's the "secret sauce"
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The 45 strike was my best guess at a VWAP over the hold. A drop in stat-vol under a flat to down scenario. I won't short vol if I am short direction unless it's a skew-fly and that would require a larger delta position. I think there is edge in the rollover on the calendar as well as the Jul06 expiration (NFP).
 
Quote from atticus:

The 45 strike was my best guess at a VWAP over the hold. A drop in stat-vol under a flat to down scenario. I won't short vol if I am short direction unless it's a skew-fly and that would require a larger delta position. I think there is edge in the rollover on the calendar as well as the Jul06 expiration (NFP).
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That makes sense. 1345 based on WVAP, expiries based on rollover edge and long vol based on downside directional bias or flat, so there is directional bias in this spesific trade, if I read right? Anyways, makes sense.
 
Quote from TskTsk:

That makes sense. 1345 based on WVAP, expiries based on rollover edge and long vol based on downside directional bias or flat, so there is directional bias in this spesific trade, if I read right? Anyways, makes sense.
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Well where a prediction of VWAP will be over that duration. I suppose vol-edge is traded as neutral as possible, but usually there is some initial deltas. The vol on tenor is wrong on the trade into rollover and NFP.

Always glad to help a fellow Scandi, even a NOR.
 
Quote from researcher248:

Why not?
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Just saying that it was not my intent to add a lot of delta exposure. I am still ~neutral in the position. You can earn in short vol in short gamma. I wouldn't have chosen the calendar if I had wanted a touch of 1335.
 
Quote from researcher248:

I see what you mean. What would you have chosen instead?. A vertical?.
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For a touch of 35? Sure. Duration, vol, speed. Pick two.

You lose gamma/vega sensitivity as the trade goes in your favor. There are thousands of permutations. Risk-reversal was probably the best ROC, but the haircut would be an issue. The best payoff/gamma was probably an ATM fly (00/25/50).
 
Quote from researcher248:

I'm always surer about the direction than about the speed (volat), that favors the long fly, but the vol pump and transaction costs cut a lot into the %. The verticals I just don't like them. What's the lesser of the two evils?.
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It's an additional penny (in comms) over the vertical. You can get the fly a dime to a quarter off of mid. It's not an issue for anyone who trads a lot of flies. Pay $8.00 for a fly, $0.20 in -edge and an add'l $0.01 in comms.
 
Quote from atticus:

Well where a prediction of VWAP will be over that duration. I suppose vol-edge is traded as neutral as possible, but usually there is some initial deltas. The vol on tenor is wrong on the trade into rollover and NFP.

Always glad to help a fellow Scandi, even a NOR.
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Thanks, yeah I see what you're saying. And "even" a nor huh.... barely even scandinavian in the mind of a swede :p
 
Quote from TskTsk:

Thanks, yeah I see what you're saying. And "even" a nor huh.... barely even scandinavian in the mind of a swede :p
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JK, we're jealous of all the oil.
 
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