atticus' single-name delta book

A lot of factors. Gamma sensitivity increases proportionally with width, so it approaches a straddle-risk as you go out on wings. Simply, I wanted to replicate a straddle as I had no intent on holding for any length of time.

 

Limit to close 18.75.

 

is this all in relation to your changing deltas.. or do you have a directional view?

 

long from 18.00, same size

 

Long the AAPL Dec21 535-625 fly from 18.60 risk (45 mid). 10%. Need to generate some bear-deltas.

 

Nice. I'm looking at the Dec21 545/580/615 for 11.50

 

Out 13.70, +3.20 (90 mid).

 

Out at 11.00.

 

Out 14.50 (70 mid)

 

Out 19.30 (50 mid)