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VIX trade for 8/18 exp
- Thread starter atticus
- Start date
Quote from newguy05:
atticus why long 10 shares per contract over the fly? isnt that a big exposure on the delta. thanks
The stock hedges the fly, the fly hedges the stock.
Of course there is risk, but this close to expiry, time decay probably adds to downside cush.
Long stock guarantees upside profits and beefs up where the fading 250s leave off.
At only 10s per, downside bail out of stock well below the short strike is possible, with still a decent profit.
Quote from atticus:
I am too light on the hedge. Increased to 20 and took some gains, Back to 10D. The exposure at my hedge point exceeded 10D.
sorry dont think i was using the correct term, yeah with +10 shares you are getting close to net 0 delta per contract, but what if the stock crashes in afterhours wouldnt that be a risk with share price at $241? max at risk for the fly is $630 but adding 10 shares increase that risk by quite a bit. If i did the math right, the fly's delta will flip if amzn drops ~$15
not challenging your trade just curious if this is a standard way to hedge against a fly, or a special case for this trade.
Quote from donnap:
At only 10s per, downside bail out of stock well below the short strike is possible, with still a decent profit.
looks like we posted at the same time, thx this is what i was looking at. can you explain how bailout is possible if the underly opens well below strike? i cant see it.
Quote from newguy05:
sorry dont think i was using the correct term, yeah with +10 shares you are getting close to net 0 delta per contract, but what if the stock crashes in afterhours wouldnt that be a risk with share price at $241? max at risk for the fly is $630 but adding 10 shares increase that risk by quite a bit. If i did the math right, the fly's delta will flip if amzn drops ~$15
not challenging your trade just curious if this is a standard way to hedge against a fly, or a special case for this trade.
The delta flips at 235, and 237 with the share hedge. I don't see a lot of potential to trade <235 by this Friday. I will close share hedge at 237.
Quote from EdwardMBlake:
What's the typical % risk you take in this one versus other smaller trades like the VIX-VXX?. Also what is the planned exit strategy for the VIX-VXX trade?.
AMZN is 3%, but I am mostly in cash at the moment. I have taken positions up to 20% of AUM. I will be out of AMZN today.
The VIX/VXX trade may be held to October expiration.
Thanks. Good luck.