Vanzandt vs. Destriero Trading Competition

[destriero]

Really nice of you to provide a detailed reply.

I find it interesting to read your trade comments. I don't understand the options side too well, but its fascinating to see how you're always adjusting positions, and perhaps this is the magic of options, in that you can be wrong, but still make money somehow with tweaks.

Your two futures trades were both losers, but if I recall, they might have been a hedge for some of the options, so perhaps the fact they were losers isn't a bad thing since it means your initial trade worked out. Can you comment on your trading if you're just trading futures outright or playing the index directionally via a simple SPX call or put for example? In other words, are you able to get in the market at the right time and in the right direction to make fairly consistent profits? Or do you prefer to play the options game cause you have a better/different edge here?

The ESU8 were attempts to gamma-trade/lock-deltas on the SPX 132 bear flies and the SPY puts. If you look you'll see that the loss to futures were almost dollar-to-dollar equal to the gains on SPX and SPY. FWIW, the index single (SPY) buy was at the offer and the sell to cover was at the bid. I went to mkt both times. No mid.

The futures were an attempt to hedge(lock) the gains from these:

DESTVZ6: L 10 SPY Jul9 272 puts from 1.95 OUT 3.34 +1,390
DESTVZ7: L 3 SPX Jul9 2675/2700/2750 231 in puts from 10.75 OUT 14.35 +1,080

I trade essentially two discretionary methods. One is the kind of stuff you see here and the other is intraday and purely reversal timing on various tick-measures. I look at breadth, arithmetic-baskets (raw, no weighting), other stuff. All of the stuff I do is explicitly a bet on price and vol, but not necessarily in that order.

None is automated except for the vol sheets. I can't get into that as there is a guy here running my stuff and an NDA was signed. His name is DOOBS! ah hahahaha.

 

[destriero]

vanzandt wrote:

"Someone told me there was some major sour grapes regarding my valuation of the VMC puts.
Well, whatever. At one point today the bid was $9.80 on those (near the low of the day). The stock bounced back up .80 and the bid is still $9.10. I think one might even have traded today at $9.70 it looks like.

Yeah I stated in that other thread the midpoint was what I'd use. No one complained when I paid too much and bought em there, at the midpoint that is.

It doesn't matter, I plan on keeping these till August so basically they'll have no extrinsic value by then when I sell them. That'll clear that up.

"Put a few people on ignore as I like to play my own game without distractions, and unfortunately there were waaay too many. So we'll keep this journal going. ttyl Friggin great day!



His marks are off by a grand at mid. The average NBBO width in VMC is 30%. NBBO is 30% of the premium quoted at mid. This guy is 100% fraud.

 

[mukoh]

destriero appreciate you keeping it going some well worth work in these trades already interesting to see how they pan out over the course of the journal.

 

[destriero]

A quick lesson on microstructure: or why you cannot use NBBO for complex positions.

The NBBO on DEST13 was about a dollar wide or 1.8% of underlying (not 35% like on VMC). The delta position of the position, when filled, was roughly -25D. That's some decent exposure on a 132, but it's nowhere near an ATM single, so it's considered "soft" in exposure. Contrast that to say a VMC put which has zero volume and less than 20 open interest. That's -70D and a dollar-wide NBBO. The MMer cannot fill the order and hedge his vol as the only real "local" exposure is delta. Secondary is gamma, but the MMer is simply going to short 70 shares of underlying as there is no liquid market in the option or the series.

The "harder" the deltas... the wider the NBBO (best bid/offer).
The more liquid the option... the tighter the NBBO.

Gamma pos on soft deltas also plays a role. The stuff that I've traded has very little gamma, generally. It's easier for the MMer to sit on the position as a price-maker as the price of the complex position isn't highly leveraged to gamma--all of my positions moved on vol today, or synthetic vol as the Street marked down all vols due to the holiday.

So a complex three-leg, six option position may be more complex but almost neutral D/G and express a very tight NBBO. I've traded SPX 132s NBBO that were $0.40 wide on strikes 50 points wide.

When trading singles in this journal I have lifted the offer on buys and hit the bid on sales. What the guy is doing would be fraudulent on singles on index options, let alone on stuff with zero volume and 30-35% wide NBBOs.

 

[treeman]

I only understood about 20% of that, but 100% of the last part... I agree, that’s some weak sauce. The competition always should have been with live money.

 

[destriero]

I only understood about 20% of that, but 100% of the last part... I agree, that’s some weak sauce. The competition always should have been with live money.

If you’re trading AAPL you can make alllowances and experienced vol-traders will say, “yeah, ten cents off mid is legit.” This clown doesn’t post anything that actually trades. His stuff could go weeks without a one lot hitting the tape.

 

[destriero]

Read this shit. It's un-fucking-believable.

So he's going to use implied vola (taken from mid) to get close to what?! Literally posting that he'll take market-derived IV and apply it to the source. It's analogous to stating that I am going to weigh myself and then enter that weight into a model to derive my actual weight.

The thing doesn't trade. vol = price; price = vol. The vol-figure is simply price in another form. Options are volatility. OTC markets price in annualized volatility, not premium. What does the IV (already have that, thanks) do to tell him what is a fair price within the spread...?

He'll sell at mid on a $1 wide market.

IMPLIED. Implied by what?

This dumb mofo has never traded a day in his life. I don't know what his scam is, but it isn't going to end well for him.

 

[samuel11]

It's analogous to stating that I am going to weight myself and then enter that weight into a model to derive my actual weight.

Hold on. That's not how it works?

 

[destriero]

corrected the typo. My boy Sam!

 

[destriero]

I am sorry, this is fvcking hilarious. It's like watching Kim play with a Teller Ulam toy.

He's stating that the magical CGC shares are "up to 31" which equates to another $1,620 on his 20-lot. The shares are 30.75x30.99 or 30.87 mid on no AH trades. Assuming the f*cking trade was exploitable and frictionless... it's $0.06 on 130 deltas. $800 max.

66 delta per = "pure intrinsic"

This is way more fun than actually trading.