atticus' single-name delta book

Discussion in 'Journals' started by atticus, Nov 8, 2012.

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  1. I found it too difficult and time-consuming to trade a small account at 100% (ship it journal) in a single-name, so I've decided to commit long-term to a new journal in hard-delta bets in single-name vol.

    All trades will express a % of book allocation. Trades with variation margin will be expressed as units in RegT required units.

    Most of the trades with be "delta bets" and significantly away from neutrality, or at least convergent. This is not a passive book and may hold a significant portion of cash, but more likely will be long/short delta hedged among correlated names. I will also be trading delta1 in equities as well as risk-reversals.

    The majority of entries will be event or macro-based. My single-name account is roughly 40% of my (family) net liq, but this will be another (larger) test account, but production as well.

    I'll try to commit to two years and a 15% draw-down. VaR not to exceed 20%. I will be shooting for 30x the marked (from inception, not peak eq to trough) DD figure.
  2. ES at 1371.00 last. Nice rally will be seen to 1383-84 by the close. Would go into ES, but would prefer some convexity, so I'll wait for the open.

    Opening account balance: 100 units.
  3. Paid 2.67 in risk (2.66 mid) on the SPY 134/139/144 fly for Nov16. 10 units.
  4. Long the Nov16 GOOG 40/60/80 fly from 8.30 risk (8.20 mid), 10 units.
  5. Short the ES Dec21 1350 2x1 pitchfork from 89.00 credit, 11 units in initial req.


    Short 2x 1350P per 1x 1350C short. I'll elaborate later. 150bp skew at 30otm.
  6. Optimal marks for the day:

    10 x SPY to 139
    10 x GOOG to 660
    11 x ES to 1388
  7. Long 10 units in the AAPL Nov16 30/50/70 put fly from 5.75 risk (5.60 mid).
  8. What ticker is this?
  9. Long 4 units ES from 80.00. SL 62.75
  10. Long 5 units of the PCLN Nov/Dec 630 call calendar from 15.20 (15.00 mid).
    #10     Nov 9, 2012
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