atticus' single-name delta book

Cool. I'd prefer to be short some deltas, but that was when it was 690. Sold some AAPL 555 calls at 7.00, covering now.

 

skew in AAPL is crazy flat.

I bought the Jan 550 650 callfly for 11.50

 

I like it a lot. Crazy convexity if you get any kind of rally.

 

I'll be working the GOOG Jan 600/700/800 fly by end of day. ~55, pure straddle risk.

Edit, done on 5% at 55.90 risk, (0.50 mid).

 

Long the AAPL Jan 470/570/670 fly from 50.10 risk, 49.80 mid. 5%.

 

i'm long goog 680 straddles delta hedging with dec (selling short term gamma at the same time).

it's not been that exciting.

 

i like your trade more.

shorter vega and same delta exposure.

 

Though no blowout protection other than allocation.

 

True. That's the risk you are taking, but given the selloff and the reasoning (i'm hearing anyway) it makes sense.

I was thinking about switching to your trade but it's too much premium. I invested 1% on my fly, which is about 4% on your fly (at the same notional). I can't trade in and out as quickly as you.

 

I like the seasonality here into the Holidays. It's a tough bargain to be outright short into Jan. Fiscal BS notwithstanding.