atticus' single-name delta book

Long 7% of the SPX Dec07 1375/1405/1435 fly from 10.50 risk (20 mid).

 

Short GOOG outright at 688.61 3% overnight req (6% cash).

 

Out at 688.80. No impact.

Long 10% in the GOOG Dec21 650/685/720 fly from 13.90 risk (70 mid).

 

I think you have been peeking at MY trading book I'm short the 1405 straddle on the ES weeklies. Just thinking of a lot of churning over the next 30 days...

 

Long ES 15.00 for 5% initial req.

 

Out all at 49.00 (10 mid). +2.80 per.

 

Someone asked why I dumped AAPL. I did so as GOOG is accumulating -deltas and I had a 80bp drop in AAPL vola. Ideally, I would've held through the weekend, but my ES hedge is too light to carry AAPL as well.

 

you said you exit flys on a particular theta value.. was that when it was 50 percent of entry theta?

 

I rarely wait for that exit parm. I often exit on book deltas. I was short too many deltas into the close.

 

Atticus,
May I ask how you choose the wideness of your flys? Is it based on historical volatility?