Previous pitch forks worked: on 09 June sell 1 SPX July 19 1895.0 call for 61.40 on 07 july buy 1 SPX July 19 1895.0 call for 74.50 loss 13.00/spread on 09 June sell 3 SPX July 19 1895.0 put for 11.20 ** Expired OTM ** gain 33.20/spread total: +2020.0/spread ----- New September pitch fork (start about delta neutural). IV is so low mostly nothing is working so I tried another, but this time tried some far OTM long puts as a hedge. on 23 July sell 1 SPX Sep 18 1910.0 call for 83.50 per spread on 23 July sell 3 SPX Sep 18 1910.0 put for 16.20 per spread Tried some (under) hedging this time: on 23 July buy 2 Aug 14 2014 1850.0 puts for 2.15 per spread
So are you doing this trade for any reason other than "the last ones worked"? Being naked short a 1x3 straddle isn't exactly something you want to be doing on a whim....
I must have missed the first thread, but what are you hoping to accomplish with this trade that you can't get just shorting an atm straddle? You are neg. a lot of vega what is your plan if we drop and vol pops?
He is short implied vol ~13 when SPX realized between 6 and 7 in the last few weeks, so its not too bad. I saw some funds selling variance at 12 recently.
You're down about $1,300 per with the hedge. I would not have entered that trade, but did one of the NDX 3800s today in Aug monthly for kicks. The 3x1 went off at a credit of 168 or so (marketable). 3800P/C 3x1 pitchfork at 168. PF risk to strike at flat-vol: 17 pts. (today) Risk to strike on ATM straddle: 10 pts. (today) (102 - 92; 3955 combo less ATM combo) I will update this thread if/when spot touches 3800, a trigger to cover (profitably), or at expiration.
Closed 143 for a gain of 25. Expecting a rally tomorrow in NDX, so expect a trade to 135 on this PF, but I went slightly long elsewhere (and short vola). NBBO at the close (142 marketable):