convexx's "hitting bids and lifting offers" ETF options

Discussion in 'Journals' started by convexx, Sep 13, 2014.

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  1. convexx

    convexx

    Haha, someone here bought the GOOG asym and just covered at 24.00. Filled 20 cents off of mid. Good job.

    [​IMG]
     
    #91     Sep 23, 2014
  2. convexx

    convexx

    MBLY hit 53.10.
     
    #92     Sep 23, 2014
  3. convexx

    convexx

    #93     Sep 23, 2014
  4. convexx

    convexx

    Last edited: Sep 23, 2014
    #94     Sep 23, 2014
  5. convexx

    convexx

    [​IMG]

    Dropbox is down. Out of the SPY 132, Oct monthly RUT and Oct2 NDX:

    SPY at 2.83 bid
    RUT at 24.90 bid
    NDX at 77.20 bid

    Flat -- no positions. I will show PNL to date in a few hours.
     
    Last edited: Sep 23, 2014
    #95     Sep 23, 2014
  6. convexx

    convexx

    Primary (chronological from entry):

    VXX 132: scratch (2 tick gain)
    SPY Sep26 132 calls: buy 2.43 offer/sell 2.83 bid -- 16.4% gain on debit
    NDX Sep25 132 calls: 17.00 filled/sell 25.70 bid -- 51.1% gain on debit
    *FB 132: half-position 2.75% gain on debit
    SPX Sep26 132 calls: buy 23.20 offer/sell 28.65 bid -- 23.5% gain on debit
    RUT Oct6 132 calls: buy 28.65 offer/sell 24.90 bid -- (11.7%) loss on debit
    NDX Oct3 121 puts: buy 75.50 offer/sell 77.20 bid -- 2.2% gain on debit
    GOOG 231 puts: buy 20.50 offer/sell 23.55 bid -- 14.9% gain on debit

    *FB accounted for at half-size

    99.2% gain on debit; 9.92% gain on portfolio at 10%; 4.96% gain on portfolio at 5%

    Hedges:

    NQZ4: -13 points (0.26%) loss on portfolio
    QQQ: $188/$100K notional; (0.19%) loss on portfolio


    9.47% return on portfolio at 10% allocation on primary trades. PTTDD: 1.17% -- less that NBBO width. Gains >8x risk.

    Zero commish
     
    Last edited: Sep 23, 2014
    #96     Sep 23, 2014
    lucysparabola, nvroy and scr12 like this.
  7. yes that fb trade was nice. tell me, what set you up for that? how did you work vol into it?
    or was the plan just a straight delta bet with some theta for good measure?

    im looking into doing more long dated asym fly's for a touch after seeing how that played out.
     
    #97     Sep 23, 2014
  8. "I doubt I could better the performance in listed / vanilla anyway."

    Booya!
     
    #98     Sep 24, 2014
    convexx likes this.
  9. convexx

    convexx

    I don't think much of the FB trade -- it was a 5-day solve on distribution. It wasn't a loss, but I was accumulating too many upside gammas for comfort, overall. Not in FB, but index. FB wasn't helping the situation.
     
    #99     Sep 24, 2014
    voltrader1 likes this.
  10. convexx

    convexx


    It's very, very hard to trade a 2-10 wide (NBBO) fly at mkt when you know that you can go 30-60 cents (buck in NDX) off-mid and receive a fill.

    Timing is everything.
     
    Last edited: Sep 24, 2014
    #100     Sep 24, 2014
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