atticus' "ship it" vol trading journal

Paid 1.03 risk (1.02 mid) for the SPY Nov9 140/143/146 fly. Limits of account, journal trade.

 

I like the AAPL Nov9 580/600/620 fly here from 6.20 risk. I am in the iron but would suggest the put fly for microstructure. Long from 6.20 risk, non-journal.

 

I bought the 575/605/635 fly yesterday. Doing good today.

 

The LNKD straddle is tanking. Imo market makers are making a big mistake. These new tech companies can easily tank 30%.

 

if you were buying the straddle to gamma scalp the underlying or other options.. and you didn't want to own the straddle through earnings..you'd dump it.. anything i think might super tank i would buy otm puts on..

 

Well, I will definitely dump it, but not before 3:30 pm today. I have seen these straddles rally hard between 3-4 pm before.

 

I am in a similar fly in SPX. 1400/1430/1460 from 10.45 risk (irons).

 

Talking about this in chat on another server about quoting "101":

Say you're concentrated in a few tickers like we are here (for no good reason, but...). You price the underyling and the ATM straddle vol on your quote line.

You feed the data into a r/t excel sheet and price a matrix of expanding flies and calendars. 5w (wide), 10w, 15w, 20w, etc. and the near-ATM calendars.

You run another matrix of expanding strikes in FLAT VOL "TV" (theo val) flies and calendars based upon the prevailing ATM straddle vol.

This is no different than running a quote line with a TV column on a single option.

 

I use both, but was keeping it simple for the thread post.

 

Mods refuse to delete off-topic and troll posts (here and PF thread) so I am done here. I'll update PNL after I close existing SPY position and take my leave (after settling up with election wagers).